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 / NSE NIFTY50 Vol Update / Vol Term-Structure Inverts as Front-End IVs Jump to 15.0%

EQD | Global Option Implied Volatility - From Nifty 50 to Bitcoin, Plus BTC-Bond Special

EQD | Kospi 200 (KOSPI2) - Identifying Option Opportunities Amid Political Turmoil

MRM Research

Quantitative Research

Quantitative Analysis

India Financial services / Quantitative Analysis

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> has been rallying more than 5% since its bottom 4 weeks ago. However the index has not returned to its all time high (26277).</li>
<li>Our models indicate that the index is starting to be overbought, but is not yet super-overbought, so the question is: will it continue higher? Or will it pullback soon?</li>
<li>This coming week will be crucial to sustain momentum and possibly accelerate, our models say that when this pattern is encountered the index can rally up to 7-8 weeks.</li>
</ul>


The NIFTY Index has been rallying more than 5% since its bottom 4 weeks ago. However the index has not returned to its all time high (26277).
Our models indicate that the index is starting to be overbought, but is not yet super-overbought, so the question is: will it continue higher? Or will it pullback soon?
This coming week will be crucial to sustain momentum and possibly accelerate, our models say that when this pattern is encountered the index can rally up to 7-8 weeks.


EQD | NIFTY at a Fork: Is the Rally Over? or Can It Stretch for 3 More Weeks?