Quantitative Researcher, MRM Research

Nico Rosti

I have been working for +17 years as a quantitative researcher, offering my investment research insights to investors through two private companies I have founded (Retracement Levels Ltd. and QUANTRADING AG); more recently I worked as a Portfolio Manager at Capital Theory Investment Management, LLC, a CTA based in Austin, Texas (USA), where I developed and ran automated algorithmic trading strategies for the US Futures and Options markets. 

My research work is focused on the statistical study of the "persistence of trends" and "mean reversion" effects in global Equities, Futures, Indexes, Bonds and FX Spot markets. I have created an original proprietary process (called the "Market Reversal Matrix" or "MRM") that makes extensive use of probabilistic Bayesian models to predict short-term (1 day to few weeks) trend reversals.

I do not use any AI/machine learning processes in my work: all models and algorithms are built and supervised by humans. This approach is very labour-intensive but produces forecasts that have a clearly understandable/explainable rationale (no black-boxes).

Quantitative Researcher

Korea FSS Releases Final Guidelines for Short Selling Compliance: Trading Implications

MRM Research

Quantitative Research

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>After a large sell-off, similar to other major global markets, the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">KOSPI 200 INDEX</a> last week rebounded and closed strongly up. In this insight we want to evaluate what's next.</li>
<li>According to our pattern models, at the moment the index is not overbought yet, so in theory the index could rise higher, this week.</li>
<li>Pay attention when the index reaches the <strong>385 price area</strong>, from there the index could start to encounter some <strong>resistance</strong>.</li>
</ul>


After a large sell-off, similar to other major global markets, the KOSPI 200 INDEX last week rebounded and closed strongly up. In this insight we want to evaluate what's next.
According to our pattern models, at the moment the index is not overbought yet, so in theory the index could rise higher, this week.
Pay attention when the index reaches the 385 price area, from there the index could start to encounter some resistance.


EQD | KOSPI 200 Rising With Room to Go Higher (This Week Only)