Quantitative Researcher, MRM Research

Nico Rosti

Quantitative Researcher

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>A market-timing device that classifies historical trend patterns/reversals in "buckets", to generate a "matrix" showing the market's average trend reversal "behavior" at the end of each trend "type". </li>
<li>A purely statistical approach: using Bayesian Models to determine the probability of DAILY or WEEKLY trend reversal at precise LONG/SHORT support prices at fixed points in time.</li>
<li>The analogy with the game of Blackjack: knowing the probability of a trend reversal can be 30% or 90% (not always =50%) can be a significant edge for the investor.</li>
</ul>


A market-timing device that classifies historical trend patterns/reversals in "buckets", to generate a "matrix" showing the market's average trend reversal "behavior" at the end of each trend "type". 
A purely statistical approach: using Bayesian Models to determine the probability of DAILY or WEEKLY trend reversal at precise LONG/SHORT support prices at fixed points in time.
The analogy with the game of Blackjack: knowing the probability of a trend reversal can be 30% or 90% (not always =50%) can be a significant edge for the investor.


EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

Co-Founder & CEO, Newmark Risk

Nicholas Pezolano

Co-Founder & CEO

Option analytics for institutional investors

Newmark Risk

Fin-tech company focused on providing option derived analytics for institutional investors.

We handle the complexity of options data so you don't have to.

- Data and Analytics available all in one place so you can focus on Strategy Development
- Custom Solutions for your data and/or portfolio needs
- Advisory services to lend our expertise

Knowledge is something that was meant to be shared and we provide insights to our clients and to the community via posting about our research findings.

TSE Tokyo Price Index TOPIX / Event-Driven

<ul><li>A cross-country study on the post earning announcement drift effect.</li><li>We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  </li><li>Options-Implied Analytics can provide empowering information to better inform investment decisions.</li></ul>

A cross-country study on the post earning announcement drift effect.We explore the use of various options-implied analytics to systematically view returns around earnings announcements.  Options-Implied Analytics can provide empowering information to better inform investment decisions.

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

Cross-Asset Liquidity Strategist, CrossBorder Capital

Michael J. Howell

Cross-Asset Liquidity Strategist

Implementing Research Using Alt Data & AI

CrossBorder Capital

CrossBorder Capital is a London-based independent investment advisory firm. Founded in 1996, it exploits a gap in the investment arena by focusing on Central bank liquidity. 

It specialises in the monitoring and analysis of global liquidity flows - an important determinant of asset prices, from currencies through to bonds, equities and real estate.

CrossBorder Capital implements its investment strategy and currently manages over US$ 350m.


Cross Asset Strategy

<ul>
<li>
 QT is effectively dead. We have believed this since the US gilt crisis in 2022, but the SVB issue now confirms it. Game over. QE is back
</li>
<li>2023 will still be volatile. The major markets will range trade, but unlike 2022, investors will enjoy large absolute gains in areas like commodities, EM and cyclicals</li>
<li>Other Central Banks will follow the US Fed. The US Fed is de facto following a bifurcated monetary policy: high rates for inflation and the Fed B/S for financial stability 
</li>
</ul>



 QT is effectively dead. We have believed this since the US gilt crisis in 2022, but the SVB issue now confirms it. Game over. QE is back

2023 will still be volatile. The major markets will range trade, but unlike 2022, investors will enjoy large absolute gains in areas like commodities, EM and cyclicals
Other Central Banks will follow the US Fed. The US Fed is de facto following a bifurcated monetary policy: high rates for inflation and the Fed B/S for financial stability 



The Fed & Global Liquidity After SVB: Climate Change!

<ul>
<li>The <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> has been closing up for 9 consecutive weeks (CC=+9). In theory it could go higher for another 3 weeks, but it is ultra-OVERBOUGHT.</li>
<li>The market has moved past the Tails resistance limit at 4747 this last week, rallying more than +15% from the bottom on October 26th.</li>
<li>A SHORT trade may not be effective but being prepared for a pullback is a good idea, maybe just to add positions at better prices (assuming the rally will continue).</li>
</ul>


The S&amp;P 500 INDEX has been closing up for 9 consecutive weeks (CC=+9). In theory it could go higher for another 3 weeks, but it is ultra-OVERBOUGHT.
The market has moved past the Tails resistance limit at 4747 this last week, rallying more than +15% from the bottom on October 26th.
A SHORT trade may not be effective but being prepared for a pullback is a good idea, maybe just to add positions at better prices (assuming the rally will continue).


EQD | The S&P500 WEEKLY Rally Is At A Crucial Fork: Higher or Lower?

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>Since 11/21/23 Compass we have discussed weekly that even a minor 2-5% pullback is far from a guarantee, considering "breakaway gaps" and what appeared to be an ongoing "lockout rally"</li>
<li>All we got was a 1% peak to trough decline in the S&amp;P 500, while the Nasdaq 100 (QQQ) pulled back 2.9% (though left the 11/14/23 gap unfilled).</li>
<li>Now, SPX and QQQ are breaking out yet again after a multi-week consolidation period, including SPX breaking above 2-year resistance at 4600-4607. This is what a strong market looks like.</li>
</ul>


Since 11/21/23 Compass we have discussed weekly that even a minor 2-5% pullback is far from a guarantee, considering "breakaway gaps" and what appeared to be an ongoing "lockout rally"
All we got was a 1% peak to trough decline in the S&amp;P 500, while the Nasdaq 100 (QQQ) pulled back 2.9% (though left the 11/14/23 gap unfilled).
Now, SPX and QQQ are breaking out yet again after a multi-week consolidation period, including SPX breaking above 2-year resistance at 4600-4607. This is what a strong market looks like.


Lockout Rally Continues; Breakouts Piling Up; SPX Breakout Above 2-Yr Resistance at 4600-4607

United States

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

S&P 500 INDEX (SPX INDEX)

EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

"Market Reversal Matrix" is a newcomer on Smartkarma's platform. This is the "anchor" insight explaining the methodology and process behind this...

Nico Rosti

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

The Fed & Global Liquidity After SVB: Climate Change!

Global Liquidity has bottomed and is likely to rise through 2023. Silicon Valley Bank makes this more certain. QT is effectively dead: QE is back

Michael J. Howell

EQD | The S&P500 WEEKLY Rally Is At A Crucial Fork: Higher or Lower?

The SPX Index has closed up for 9 straight weeks, but it is now ultra-overbought and may experience a WEEKLY pullback soon. The following rally...

Nico Rosti

Lockout Rally Continues; Breakouts Piling Up; SPX Breakout Above 2-Yr Resistance at 4600-4607

Lockout Rally Continues; Breakouts Piling Up; $SPX Breakout Above 2-Yr Resistance at 4600-4607, $COMP Breakout Above 14,400. This is what a strong...

Vermilion Research

EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

"Market Reversal Matrix" is a newcomer on Smartkarma's platform. This is the "anchor" insight explaining the methodology and process behind this...

Nico Rosti

EQD | A Systematic Look at the Post Earnings Announcement Drift Across Asia

We leverage a few analytics from NewMark Risk's proprietary Options Implied Analytics library to enhance common strategies to trade earnings...

Nicholas Pezolano

The Fed & Global Liquidity After SVB: Climate Change!

Global Liquidity has bottomed and is likely to rise through 2023. Silicon Valley Bank makes this more certain. QT is effectively dead: QE is back

Michael J. Howell

EQD | The S&P500 WEEKLY Rally Is At A Crucial Fork: Higher or Lower?

​The SPX Index has closed up for 9 straight weeks, but it is now ultra-overbought and may experience a WEEKLY pullback soon. The following rally...

Nico Rosti

Lockout Rally Continues; Breakouts Piling Up; SPX Breakout Above 2-Yr Resistance at 4600-4607

Lockout Rally Continues; Breakouts Piling Up; $SPX Breakout Above 2-Yr Resistance at 4600-4607, $COMP Breakout Above 14,400. This is what a strong...

Vermilion Research

The SPX Index has closed up for 9 straight weeks, but it is now ultra-overbought and may experience a WEEKLY pullback soon. The following rally...