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 / Weekly Vol Update / IVs Crushed Post Elections but Realized Vol Does Not Disappoint

EQD / Weekly Vol Update / Positive Risk-Sentiment & Short Trading Week Put Pressure on IV Levels

EQD / NSE Vol Update / IVs Stabilize After Falling Dramatically over past 2 Weeks

EQD | The NIFTY May Be About to Start A Come Down

EQD / NSE Volatility Update / 18-Mar-24 to 22-Mar-24

MRM Research

Quantitative Research

Event-Driven

<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 swinging wildly as of lately, but the odds look good for a continuation of the rally at the moment.</li>
<li>The index is in a pattern where it can rally for 1-2 more weeks.</li>
<li>Wait for prices in the 23500/23700 resistance area before considering a SHORT trade.</li>
</ul>


The NIFTY Index has been swinging wildly as of lately, but the odds look good for a continuation of the rally at the moment.
The index is in a pattern where it can rally for 1-2 more weeks.
Wait for prices in the 23500/23700 resistance area before considering a SHORT trade.


EQD | The NIFTY Swung Big But the Rally Could Continue For +2 Weeks