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

S&P/ASX 200 Outlook Following Proposed Index Rule Review

S&P/​​​​ASX Index Rebalance (June 2025): Changes, Flows, Shorts & Positioning

S&P/ASX Index Rebalance Preview (June 2025): 10 Potential Changes Across Indices

Evolution Mining (EVN AU): Global Index Inclusion in May as Gold Rallies

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> on 6 June the list of changes to the S&amp;P/ASX family of indices was announced, including some change for 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>.</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</a> index has become quite overbought as of last Friday's Close, a pullback is probably imminent.</li>
<li>This insight evaluates possible scenarios for the possible 2-4 weeks, beyond the June 20 date when the index review will become effective.</li>
</ul>


As reported by Brian Freitas on 6 June the list of changes to the S&amp;P/ASX family of indices was announced, including some change for the S&amp;P/ASX 200 (AS51 INDEX).
The S&amp;P/ASX 200 index has become quite overbought as of last Friday's Close, a pullback is probably imminent.
This insight evaluates possible scenarios for the possible 2-4 weeks, beyond the June 20 date when the index review will become effective.


S&P/​​​​ASX 200 Tactical Outlook Post-Index Rebalance Announcement

S&P/ASX 200

S&P/​​​​ASX 200 Tactical Outlook Post-Index Rebalance Announcement

S&P/ASX 200 Tactical Outlook Post-Index Rebalance Announcement