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

Ohayo Japan | Wall Street Slumps as S&P 500 Enters Correction

MRM Research

Quantitative Research

Equity Derivatives

Nasdaq-100 Stock Index / Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq-100 Stock Index (NDX INDEX)</a> has declined for 4 consecutive weeks. Our model suggests it has entered a price zone where a reversal is highly likely.</li>
<li>Thursday's closing low of 19,225 falls within a price zone where our WEEKLY NDX model assigns a 97% probability of reversal. It's clearly in the tail area and <strong>deeply oversold</strong>.</li>
<li>When the <a href="https://www.smartkarma.com/entities/nasdaq-100-stock-index" target="_blank" data-smartkarma-citation="entities:26197:1" rel="noopener">Nasdaq 100</a> declines for 4 consecutive weeks, our time model assigns a 98% probability of reversal based on the current historical pattern.</li>
</ul>


The Nasdaq-100 Stock Index (NDX INDEX) has declined for 4 consecutive weeks. Our model suggests it has entered a price zone where a reversal is highly likely.
Thursday's closing low of 19,225 falls within a price zone where our WEEKLY NDX model assigns a 97% probability of reversal. It's clearly in the tail area and deeply oversold.
When the Nasdaq 100 declines for 4 consecutive weeks, our time model assigns a 98% probability of reversal based on the current historical pattern.


Nasdaq 100 (NDX INDEX) Poised for Rebound After 4-Week Slump