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

EQD | Nikkei 225 (NKY)'s November Rally: How Far Can It GO?

EQD | Here Is Why the S&P500 MONTHLY Rally Could Continue in December

EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)

EQD | Nikkei 225 MONTHLY Rally May Be Finally Coming

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>Last week, the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei</a> closed down at 30991.69 (CC=-2). The index's sell-off could end in November, marking a temporary bottom from which a rally could start.</li>
<li>MRM models say that if the Nikkei bounces this week, it could rise for 3 weeks and reach a price area between 31624 (Q3/CC=+1) and 32892 (Q3/Gen.Pattern Boxplot).</li>
<li>The upcoming rally comes as a reaction to quite OVERSOLD conditions, as previously discussed, but could be followed by another pullback. This insight points to where the rally may end.</li>
</ul>


Last week, the Nikkei closed down at 30991.69 (CC=-2). The index's sell-off could end in November, marking a temporary bottom from which a rally could start.
MRM models say that if the Nikkei bounces this week, it could rise for 3 weeks and reach a price area between 31624 (Q3/CC=+1) and 32892 (Q3/Gen.Pattern Boxplot).
The upcoming rally comes as a reaction to quite OVERSOLD conditions, as previously discussed, but could be followed by another pullback. This insight points to where the rally may end.


EQD | If the Nikkei Begins to Rally, Where Will It Encounter Resistance?