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

Nikkei Index Options Weekly (Mar 10–14): Assessing Long Vs. Short Vol Strategies & Returns Vs. SPX

Nikkei 225 Index Rebalance: Baycurrent (6532) Replaces Mitsubishi Logistics (9301); Kokusai Elec👎

Nikkei 225 Mar25 Rebal: BayCurrent (6532) IN, Mitsubishi Logi (9301) OUT (Re-IPO). Kokusai MIA

USA Against ROW: Trends in Global Market Leadership

HSI Index Options Weekly (March 03-07): Alibaba’s Breakout and Policy Support Boost HSI

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> has been in a paralyzed trend since August 2024. Then at the end of February 2025 it started to correct.</li>
<li>As explained by <a href="https://www.smartkarma.com/profiles/travis-lundy" target="_blank" data-smartkarma-citation="accounts:25" rel="noopener">Travis Lundy</a> and <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> the index rebalance on March 5th, 2025 was a bit unexpected and minimal in terms of changes.</li>
<li>The index bottomed 1 week after the March 2025 Nikkei 225 Average Review, and then started a rally, quite modest for now which could be signaling short-term tactical <strong>weakness</strong>.</li>
</ul>


The Nikkei 225 (NKY INDEX) has been in a paralyzed trend since August 2024. Then at the end of February 2025 it started to correct.
As explained by Travis Lundy and Brian Freitas the index rebalance on March 5th, 2025 was a bit unexpected and minimal in terms of changes.
The index bottomed 1 week after the March 2025 Nikkei 225 Average Review, and then started a rally, quite modest for now which could be signaling short-term tactical weakness.


Nikkei 225 Outlook After the Mar25 Rebalance