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

China/HK: Passive Activity Expected Later This Month

EQD | CSI 300 Stuck in Neutral: Equal Chances to Rally or Drop

STAR50/STAR100 Index Rebalance Preview: One Is Meh; The Other Is👍

CATL (300750 CH): Index Inclusion Post H-Share Listing

MRM Research

Quantitative Research

Quantitative Analysis

Hong kong Financials / Quantitative Analysis

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> appears to be rising while the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> has stalled. The two index often move in tandem.</li>
<li>We read the two markets with our models and we found that actually BOTH markets are equally overbought (according to price models, the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a> also according to time model).</li>
<li>So, there is no divergence, no arbitrage opportunity, the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> will not catch up with the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, both indices are going to pullback very soon.</li>
</ul>


The Hang Seng Index (HSI INDEX) appears to be rising while the Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) has stalled. The two index often move in tandem.
We read the two markets with our models and we found that actually BOTH markets are equally overbought (according to price models, the HSI also according to time model).
So, there is no divergence, no arbitrage opportunity, the CSI 300 Index will not catch up with the HSI, both indices are going to pullback very soon.


Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

HSI Rising, CSI 300 Stalled: No Divergence, No Arbitrage, Both Show a SELL Signal