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

CSI 300 (SHSZ300) Tactical Outlook Ahead of December Rebalance

Asian Stocks Tactical Outlook (Week Nov 24 – Nov 28)

Asian Stocks Tactical Outlook (Week Nov 17 – Nov 21)

MRM Research

Quantitative Research

Equity Derivatives

Shanghai Shenzhen CSI 300 Index / Equity Derivatives

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

<ul>
<li>On November 28th China Securities Index Co (CSI) announced the changes to 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>: <strong>11 companies added and 11 deleted</strong>.</li>
<li>The complete list of additions and deletions is available <a href="https://www.csindex.com.cn/index.html#/about/newsDetail?id=3006001" target="_blank" rel="noopener">here</a> (or see the attachment at the end of this insight for your convenience).</li>
<li>We analyze our probabilistic models to forecast short-term market directions for 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</a>, as passive flows between here and December 12 may affect the index volatility and trend.</li>
</ul>


On November 28th China Securities Index Co (CSI) announced the changes to the CSI 300 Index (SHSZ300 INDEX): 11 companies added and 11 deleted.
The complete list of additions and deletions is available here (or see the attachment at the end of this insight for your convenience).
We analyze our probabilistic models to forecast short-term market directions for the CSI 300 Index, as passive flows between here and December 12 may affect the index volatility and trend.


CSI 300 (SHSZ300) Tactical Outlook After Nov. 28 Rebalance Announcement