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

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

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

CSI 300 Index Earning Revision (Aug): CHINA VANKE, BANK OF NANJING, BANK OF HANGZHOU

CSI 300 Index Earning Revision (Jul): Wuxi Apptec, Eoptolink Technology, Ping An Insurance

MRM Research

Quantitative Research

Equity Derivatives

Shanghai Shenzhen CSI 300 Index / Equity Derivatives

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

<ul>
<li>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> has began a small correction. Our model has identified the current trend pattern as bearish. <strong>The pullback could reach the 4.3k/4.1k support zone</strong>.</li>
<li>These corrections can last up to 4 weeks, but usually they resolve after 2-3 weeks (the index has already closed 1 week down, so there could be 1-2 more weeks).</li>
<li>According to our model, the key support area is 4300: if the index breaks that support, it can fall quickly to 4100 or 4000. <strong>Read detailed tactical analysis in the insight</strong>.</li>
</ul>


The CSI 300 Index (SHSZ300) has began a small correction. Our model has identified the current trend pattern as bearish. The pullback could reach the 4.3k/4.1k support zone.
These corrections can last up to 4 weeks, but usually they resolve after 2-3 weeks (the index has already closed 1 week down, so there could be 1-2 more weeks).
According to our model, the key support area is 4300: if the index breaks that support, it can fall quickly to 4100 or 4000. Read detailed tactical analysis in the insight.


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