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

EQD | Dropping NIFTY 50 Could Find Support Very Soon

EQD / NSE Vol Update / Risk Premia Marked Down as Tier1 Event Risks Drop off the Calendar

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>After a period of prolonged sell-off, the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> last week found support around the 23263 level and bounced.</li>
<li>Below we introduce a new "quantitative chart" tool called "<strong>QUANTCHARTS</strong>": it displays in a compact format all the information you need to evaluate the probability of trend reversal.</li>
<li>As you will see the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.</li>
</ul>


After a period of prolonged sell-off, the NIFTY Index last week found support around the 23263 level and bounced.
Below we introduce a new "quantitative chart" tool called "QUANTCHARTS": it displays in a compact format all the information you need to evaluate the probability of trend reversal.
As you will see the NIFTY Index closed just below the 25% (Q1) probability target, so it has room to rise further in the coming weeks, the CC is supportive.


NIFTY Index

EQD | NIFTY 50: State Of The Odds