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

Quiddity Leaderboard CSI 300/​​500 Jun25: End of Reference Period Soon; ~US$6bn Total One-Way

China A-Share Consumer Staples: An Analysis of the Opportunities Ahead

Quiddity Leaderboard Hang Seng Index Jun25: Beigene Is Our Top Pick

MRM Research

Quantitative Research

Equity Derivatives

Shanghai Shenzhen CSI 300 Index / Equity Derivatives

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

<ul>
<li>Following an extended holiday beginning May 1st, the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index (SHSZ300 INDEX) </a>resumes trading on May 6th. </li>
<li>The WEEKLY close before the holiday—during a shortened trading week—was modestly negative. However, <strong>the index would need to decline to 3697 or lower to trigger a buy-the-dip opportunity.</strong>
</li>
<li>Since the index has already closed 1 week down, <strong>our time model suggests there is a good chance (62%) it could go up this week.</strong>
</li>
</ul>


Following an extended holiday beginning May 1st, the CSI 300 Index (SHSZ300 INDEX) resumes trading on May 6th. 
The WEEKLY close before the holiday—during a shortened trading week—was modestly negative. However, the index would need to decline to 3697 or lower to trigger a buy-the-dip opportunity.

Since the index has already closed 1 week down, our time model suggests there is a good chance (62%) it could go up this week.



CSI 300 Index: Tactical Outlook Following the Labor Day Holiday