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

Analyzing the Triggers Behind Global Stock Market Sell-Off in Jul-24

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

What Is Cooking in Indian Textile Sector?

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> has been quietly rallying since its (modest) -11% correction in 2023, mostly unaffected by global turmoils, even the latest sell-off in US, Asia and Europe was "non-damaging".</li>
<li>The index has already recovered a large part of the losses suffered for only 1 week, very brief if we consider that the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">SPX INDEX</a> had corrected for 4 weeks.</li>
<li>Now that the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> has rallied strongly we want to analyze its pattern model, to identify the area where it could pull back again (or slow down).</li>
</ul>


The S&amp;P/ASX 200 has been quietly rallying since its (modest) -11% correction in 2023, mostly unaffected by global turmoils, even the latest sell-off in US, Asia and Europe was "non-damaging".
The index has already recovered a large part of the losses suffered for only 1 week, very brief if we consider that the SPX INDEX had corrected for 4 weeks.
Now that the S&amp;P/ASX 200 has rallied strongly we want to analyze its pattern model, to identify the area where it could pull back again (or slow down).


EQD | The ASX200 Can Rally Higher (If This Is A Rally...)