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 | VIX Index WEEKLY Suggests Upcoming Increase in Volatility

EQD | VIX Index WEEKLY: Has Volatility Already Peaked?

Has the VIX Lost Its Use As A Fear Gauge?

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>A market-timing device that classifies historical trend patterns/reversals in "buckets", to generate a "matrix" showing the market's average trend reversal "behavior" at the end of each trend "type". </li>
<li>A purely statistical approach: using Bayesian Models to determine the probability of DAILY or WEEKLY trend reversal at precise LONG/SHORT support prices at fixed points in time.</li>
<li>The analogy with the game of Blackjack: knowing the probability of a trend reversal can be 30% or 90% (not always =50%) can be a significant edge for the investor.</li>
</ul>


A market-timing device that classifies historical trend patterns/reversals in "buckets", to generate a "matrix" showing the market's average trend reversal "behavior" at the end of each trend "type". 
A purely statistical approach: using Bayesian Models to determine the probability of DAILY or WEEKLY trend reversal at precise LONG/SHORT support prices at fixed points in time.
The analogy with the game of Blackjack: knowing the probability of a trend reversal can be 30% or 90% (not always =50%) can be a significant edge for the investor.


EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models

S&P 500 INDEX

EQD | Introducing the Market Reversal Matrix (MRM): Predict Trend Reversal with Bayesian Models