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/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index (HSI INDEX)</a> has reached new highs (25538). <strong>Our quantitative model says the index has reached a 75% probability of reversal.</strong>
</li>
<li>Let's break down the model's info: PRICE MODEL 75%, TIME MODEL 75%, combined prob. of reversal is 75%. The fact that both model's factors are overbought is "bearish".</li>
<li>
<strong>Can the index climb higher?</strong> Our detailed analysis is in the insight below, together with screenshots from the model.</li>
</ul>


The Hang Seng Index (HSI INDEX) has reached new highs (25538). Our quantitative model says the index has reached a 75% probability of reversal.

Let's break down the model's info: PRICE MODEL 75%, TIME MODEL 75%, combined prob. of reversal is 75%. The fact that both model's factors are overbought is "bearish".

Can the index climb higher? Our detailed analysis is in the insight below, together with screenshots from the model.


HSI Index Tactical View: How Much Further Can the Rally Run?