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

Nikkei Dividends Update (Mar 28th – Apr 4th)

Nikkei 225 (NKY INDEX) Drops Amid US Tariffs: Implied Volatility Hits Extreme Levels

China A-Share Consumer Staples: An Analysis of the Opportunities Ahead

Foshan Haitian Flavouring A/H Listing - Strong Brand but Sales Have Been Slowing Down

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>From Monday’s gloom to Tuesday’s euphoria, 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> staged one of the strongest rebounds — but tariff risks haven’t gone away. Still there.</li>
<li>Here are some tactical analysis and ideas specific for the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225</a> Index to prepare for the key risk ahead: another brutal sell-off.</li>
<li>The targets highlighted by our models (below) come with low reversal probabilities — ranging from just 25% to 50% — this is consistent with weak market rebound dynamics.</li>
</ul>


From Monday’s gloom to Tuesday’s euphoria, the Nikkei 225 (NKY INDEX) staged one of the strongest rebounds — but tariff risks haven’t gone away. Still there.
Here are some tactical analysis and ideas specific for the Nikkei 225 Index to prepare for the key risk ahead: another brutal sell-off.
The targets highlighted by our models (below) come with low reversal probabilities — ranging from just 25% to 50% — this is consistent with weak market rebound dynamics.


Nikkei 225 Bounce: Setting Up for Tactical Shorts