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

Global Option Implied Volatility - Opportunities in S&P/ASX 200, KOSPI 200, Nikkei 225, FTSE 100.

Tencent (700 HK): Top Trades: Strategies That Stand Out

Tencent - 27 Feb Options Expiry: Potentially Volatile Session Due to 500 Strike Open Interest

Japan Strategy Weekly | Carlyle's Kaonavi Deal Signals a Shift in Japanese Valuations

Nikkei 225 Started To Trend Up: Where to Buy the Dip?

EQD | Asia January Vol Roadmap:    Outsized Moves, Outsized Volatility

MRM Research

Quantitative Research

Quantitative Analysis

<ul>
<li>One month ago, <a href="https://www.smartkarma.com/insights/nikkei-225-started-to-trend-up-where-to-buy-the-dip" target="_blank" rel="noopener">in a previous insight</a> we theorized that 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> may have started a rally in September 2024, and could reach &gt; 40398. </li>
<li>However the index continued its yo-yo dance roughly between the 37800 and 40200 boundaries - it's not rallying, it did rally in August and September, but that was it.</li>
<li>The question is at this point is: can the index go higher? if the index pulls back, where would it be a good price area to buy?</li>
</ul>


One month ago, in a previous insight we theorized that the Nikkei 225 (NKY INDEX) may have started a rally in September 2024, and could reach &gt; 40398. 
However the index continued its yo-yo dance roughly between the 37800 and 40200 boundaries - it's not rallying, it did rally in August and September, but that was it.
The question is at this point is: can the index go higher? if the index pulls back, where would it be a good price area to buy?


The Nikkei 225 Walks a Tightrope—More Upside or the End of the Run?

Japan Financials

The Nikkei 225 Walks a Tightrope—More Upside or the End of the Run?