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

S&P/ASX 200 Tactical Outlook Ahead of Sep-25 Rebalance

RBA Rate Watch: Navigating ASX 200, Banks, and Resources

S&P/ASX 200 Tactical Outlook: Rally Is Restarting

S&P/​​​​​​​​​ASX Index Rebalance Preview (Sep 25): Potential Changes if Methodology Is Updated

S&P/ASX Indices: Proposed Methodology Changes & The BIG September Rebalance

Greatland Resources (GGP AU): Big Index Inclusions for Recent IPO

MRM Research

Quantitative Research

Equity Derivatives

<ul>
<li>As reported by <a href="https://www.smartkarma.com/profiles/brian-freitas" target="_blank" data-smartkarma-citation="accounts:4091" rel="noopener">Brian Freitas</a> , 2 days ago S&amp;P DJI confirmed that the proposals in the market consultation will be implemented at the September 25 rebalance. Details <a href="https://www.smartkarma.com/insights/s-p-asx-index-rebalance-preview-sep-25-potential-changes-if-methodology-is-updated" target="_blank" rel="noopener">here</a>.</li>
<li>The <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> is currently OVERBOUGHT according to our models: the index reached an 83% probability of reversal at the intraweek high (9025). Incoming pullback.</li>
<li>
The index could rally one more week (next week), that should be the end of this rally (short-term forecast), but could also pull back this week, checkour modelkey-supports.</li>
</ul>


As reported by Brian Freitas , 2 days ago S&amp;P DJI confirmed that the proposals in the market consultation will be implemented at the September 25 rebalance. Details here.
The S&amp;P/ASX 200 (AS51 INDEX) is currently OVERBOUGHT according to our models: the index reached an 83% probability of reversal at the intraweek high (9025). Incoming pullback.

The index could rally one more week (next week), that should be the end of this rally (short-term forecast), but could also pull back this week, checkour modelkey-supports.


S&P/ASX 200: Profit Targets After Sep-25 Rebalance Methodology Finalized