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 | The Nikkei's Rally May Be About To Restart

EQD | Nikkei 225 What's Up Next: Up or Down?

EQD | Nikkei 225 Flying High, Don't Burn Your Wings....

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> is closing the month of April in negative territory, first month down after 3 months up.</li>
<li>Our seasonal model indicates that May could also close down, but the index should find strong support in the 37770-36750 price area.</li>
<li>The month of May is a coin flip: the index could close up or down, caution is advised.</li>
</ul>


The Nikkei 225 (NKY INDEX) is closing the month of April in negative territory, first month down after 3 months up.
Our seasonal model indicates that May could also close down, but the index should find strong support in the 37770-36750 price area.
The month of May is a coin flip: the index could close up or down, caution is advised.


EQD | Nikkei's Downtrend Could Continue in May (But the Bottom Is Near)