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

EQD | S&P/ASX 200 Index Option Strategy -Combining Record Low Volatility with Buy-The-Dip

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

EQD | Nikkei Index Options Weekly - Dec 02 - 06

EQD | Asia December Vol Roadmap - The Big Exhale

EQD | Hong Kong Index Options Weekly - HSI and HSCEI

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 Index</a> continues its <em>going nowhere</em> trend: there is a pattern however in what it does and it's quite repetitive as of lately.</li>
<li>While we don't attribute predictive value to chart patterns, we do know that a flat trend sooner or later breaks out. </li>
<li>Our models see limited upside for the current range-bound mini rally (2 weeks in the making). Next we will have a pullback, and it could happen already after this week.</li>
</ul>


The Nikkei 225 Index continues its going nowhere trend: there is a pattern however in what it does and it's quite repetitive as of lately.
While we don't attribute predictive value to chart patterns, we do know that a flat trend sooner or later breaks out. 
Our models see limited upside for the current range-bound mini rally (2 weeks in the making). Next we will have a pullback, and it could happen already after this week.


EQD | The Nikkei’s Wavering Trend: LONG Investors Should Brace For A Pullback.