Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher, Algorithmic Trader and former 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 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 make 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 by humans. This approach is very labour-intensive but produces forecasts that have a clearly understandable/explainable rationale (no black-boxes).

Quantitative Researcher

EQD | Nasdaq-100 Index Option Opportunity - Tactical Play on an Oversold Market and Volatility Skew

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq 100 Index (NDX)</a> selling lead the index straight into OVERSOLD territory on December 18th. </li>
<li>The sell off is overdone, our DAILY NDX model suggests a high probability LONG trade for Thursday.
</li>
<li>High volatility may affect trades, triggering stops and making it difficult to hold without taking the risk of big losses, Vertical Spreads (Bull PUTs) are a better instrument choice.
</li>
</ul>


The Nasdaq 100 Index (NDX) selling lead the index straight into OVERSOLD territory on December 18th. 
The sell off is overdone, our DAILY NDX model suggests a high probability LONG trade for Thursday.

High volatility may affect trades, triggering stops and making it difficult to hold without taking the risk of big losses, Vertical Spreads (Bull PUTs) are a better instrument choice.



EQD | NDX OVERSOLD: A High Probability LONG Trade Idea

Nasdaq-100 Stock Index

EQD | NDX OVERSOLD: A High Probability LONG Trade Idea