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 | KOSPI 200 Time to Crash? or Time to Bounce?

MRM Research

Quantitative Research

Event-Driven

Korea Stock Exchange KOSPI 200 / Event-Driven

Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

<ul>
<li>In a <a href="https://www.smartkarma.com/insights/eqd-kospi-200-time-to-crash-or-time-to-bounce" target="_blank" rel="noopener">previous insight</a>, on Oct 26th, we theorized 2 possible scenarios: a rally or a mini-crash for 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>, from the following week.</li>
<li>It looks like we are more in the mini-crash scenario (see chart below), at the moment, but the index is already very oversold according to our WEEKLY model.</li>
<li>Keep reading to find out where to buy based on our MRM WEEKLY models for the KOSPI 200.</li>
</ul>


In a previous insight, on Oct 26th, we theorized 2 possible scenarios: a rally or a mini-crash for the KOSPI 200 INDEX, from the following week.
It looks like we are more in the mini-crash scenario (see chart below), at the moment, but the index is already very oversold according to our WEEKLY model.
Keep reading to find out where to buy based on our MRM WEEKLY models for the KOSPI 200.


EQD | The "Landing Area" For The KOSPI 200 Is In Sight