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 / NSE Vol Update / Coffee Boost for Sleepy Vol Mkts as Risk Sentiment Sours into the Weekend

EQD / NSE Vol Update / Controlled Detonation in Vols - Initial Jump Followed by Calmer Levels

EQD / NSE Vol Update / IVs Oscillate  - Reacting First To MSCI-HDFC News & Later to U.S. Inflation

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> defied gravity and kept rallying higher for the past 8 weeks. According to our models it's massively OVERBOUGHT and has been so for a while.</li>
<li>While many other Asian markets have pulled back decisively, the NIFTY is just going higher and higher. </li>
<li>Assuming it has its own uncorrelated drivers, where would it be a BUY again, if it pulls back this coming week? Let's discuss this in this WEEKLY insight.</li>
</ul>


The NIFTY Index defied gravity and kept rallying higher for the past 8 weeks. According to our models it's massively OVERBOUGHT and has been so for a while.
While many other Asian markets have pulled back decisively, the NIFTY is just going higher and higher. 
Assuming it has its own uncorrelated drivers, where would it be a BUY again, if it pulls back this coming week? Let's discuss this in this WEEKLY insight.


EQD | WHAT IF The NIFTY Starts to Pullback This Week?