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| Lunar New Year: Do HSI, KOSPI, and FXI Follow a Pattern?

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>In our previous, <a href="https://www.smartkarma.com/insights/hsi-to-find-strong-support-between-18-8k-and-17-5k-long-term-uptrend-set-to-restart" target="_blank" rel="noopener">Jan 11th. insight</a>, we said the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI INDEX</a> could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at <strong>18671</strong>).</li>
<li>Since there the index has been rallying for 3 weeks, &gt;8% returns so far.</li>
<li>This insight is focused on tactical strategy: the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a> may be readying for a new pullback, starting next week, so we are going to look at resistance levels.</li>
</ul>


In our previous, Jan 11th. insight, we said the HSI INDEX could find support between 18.8K and 17.5K, and rally, and so it did (the bottom was at 18671).
Since there the index has been rallying for 3 weeks, &gt;8% returns so far.
This insight is focused on tactical strategy: the Hang Seng Index may be readying for a new pullback, starting next week, so we are going to look at resistance levels.


EQD | Tactically Overbought HSI May Start Pulling Back After Lunar New Year