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

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>The <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> is massively oversold WEEKLY (and DAILY).</li>
<li>Our models indicate the index is trading in the "Tails" area of the LONG model, a reversal is probably imminent, but forecasts in this  price area are less reliable.</li>
<li>Accumulation can start from Monday's low prices (around 5100), the reversal will probably come next week.</li>
</ul>


The S&amp;P 500 INDEX is massively oversold WEEKLY (and DAILY).
Our models indicate the index is trading in the "Tails" area of the LONG model, a reversal is probably imminent, but forecasts in this  price area are less reliable.
Accumulation can start from Monday's low prices (around 5100), the reversal will probably come next week.


EQD | The S&P500 WEEKLY Smashed The Tails Barrier, Reversal Due Soon