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 After Nov. 28 Rebalance Announcement

CSI300 Index Rebalance Preview: 12 Changes a Side as Trade Nears US$10bn

CSI 300 (SHSZ300) Tactical Outlook: Severe Downside Tail Risk

CSI 300 Index Earning Revision (Sep): CHINA EASTERN AIRLINES, BYD, GREE ELECTRIC APPLIANCES

MRM Research

Quantitative Research

Equity Derivatives

Shanghai Shenzhen CSI 300 Index / Equity Derivatives

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

<ul>
<li>As <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> recently outlined: 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)</a> will undergo its semi-annual review by the end of November 2025, there could be profit-taking as we near that date.</li>
<li>In <a href="https://www.smartkarma.com/insights/csi-300-shsz300-tactical-outlook-severe-downside-tail-risk" target="_blank" rel="noopener">our previous insight we flagged potential downside tail risk.</a> While the index hasn't fallen since our warning, this doesn't mean the risk has dissipated.</li>
<li>Our profit target model (the "go SHORT" model) is showing a rare pattern with very few rallies, severely limited upside (less than 1.5%) and an 80% reversal probability.Bearish.</li>
</ul>


As Brian Freitas recently outlined: the CSI 300 Index (SHSZ300) will undergo its semi-annual review by the end of November 2025, there could be profit-taking as we near that date.
In our previous insight we flagged potential downside tail risk. While the index hasn't fallen since our warning, this doesn't mean the risk has dissipated.
Our profit target model (the "go SHORT" model) is showing a rare pattern with very few rallies, severely limited upside (less than 1.5%) and an 80% reversal probability.Bearish.


CSI 300 (SHSZ300) Tactical Outlook Ahead of December Rebalance