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 | VIX Index WEEKLY: Has Volatility Already Peaked?

Has the VIX Lost Its Use As A Fear Gauge?

EQD | SPX WEEKLY/MONTHLY OVERSOLD: Global Bounce Upcoming

EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

MRM Research

Quantitative Research

Event-Driven

Chicago Board Options Exchange Volatility Index / Event-Driven

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Chicago Board Options Exchange Volatility Index

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> is currently OVERSOLD from a <em>time</em> perspective, but not yet from a <em>price</em> perspective: if it falls &lt;13, there is a high probability it will reverse up.</li>
<li>A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.</li>
<li>After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.</li>
</ul>


The VIX INDEX is currently OVERSOLD from a time perspective, but not yet from a price perspective: if it falls &lt;13, there is a high probability it will reverse up.
A spike in the VIX will correspond to a drawdown in equities, globally. The MRM model indicates a 1-2 weeks duration for the event, price targets between 16 and 18.
After the spike, the VIX could start to fall again, so this upcoming volatility spike should be a brief, short-lived event.


Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)

EQD | VIX Index WEEKLY Suggests Upcoming Increase in Volatility