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).

My proprietary models can be accessed directly at www.qantrading.com

Quantitative Researcher

Commonwealth Bank of Australia (CBA AU) In Oversold Territory: Options Strategy on Reversal Range

CBA (CBA AU): FY 2025 Results Drive Sharp Intraday Moves - Insights for Options Traders

CBA (CBA AU) Vs. Bank of Queensland (BOQ AU): Quant Signal Flags Trading Opportunity

MRM Research

Quantitative Research

Equity Derivatives

Commonwealth Bank of Australia / Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">Commonwealth Bank of Australia (CBA AU)</a>’s shares have surged &gt;80% since November2023, outpacing its underlying profit growth and dividend yields. Passive‐index ETF reallocations are the primary driver of this rally.</li>
<li>
<strong>A Reuters poll forecasts the RBA will cut rates by 25 bps to 3.60% on July 8</strong>—with further cuts likely into year‐end. This will compress NIMs, a key earnings driver for CBA. </li>
<li>This insight marks the start of our coverage for <a href="https://www.smartkarma.com/entities/commonwealth-bank-of-australia" target="_blank" data-smartkarma-citation="entities:14:1" rel="noopener">CBA</a>: the stock closed this week down (CC -1) reaching oversold levels, it can bounce but the rally potential appears limited.</li>
</ul>



Commonwealth Bank of Australia (CBA AU)’s shares have surged &gt;80% since November2023, outpacing its underlying profit growth and dividend yields. Passive‐index ETF reallocations are the primary driver of this rally.

A Reuters poll forecasts the RBA will cut rates by 25 bps to 3.60% on July 8—with further cuts likely into year‐end. This will compress NIMs, a key earnings driver for CBA. 
This insight marks the start of our coverage for CBA: the stock closed this week down (CC -1) reaching oversold levels, it can bounce but the rally potential appears limited.


Commonwealth Bank of Australia (CBA AU) Outlook Amid Overblown Passive Inflows And NIM Pressures