(Italian version below)
hereunder you will find my eBooks and research papers I have published so far and will keep publishing in the future about several topics of Trading: Market Analysis, Money Management, Risk Management, Trading Psychology, Trading Methods, Position Sizing, Trading Business Planning, and a lot more. The documentation available is all quality material because produced based on direct experience and studies in trading and finance in the last 12 years.
Three papers/articles are available on this Blog (they are described here below):
- An Examination of the Linkages Between Money Management and Trading Goals — A research paper published on SIAT Quaderno No.8 on February, 2012
- The Effects of High Frequency Trading (HFT) on Markets and Program Trading — A paper published on SIAT Quaderno No.10 on February, 2013 (only available in Italian language)
- Key Concepts to Correct Trading Behavior – A guide to relevant concepts for trading success in a market governed by High Frequency Trading (HFT) and Program Trading — eBook published in May 2013
Please Notice: articles, research papers and eBooks are free and accessible upon registration.
I am always interested to your opinions, comments and feedback. Please feel free to send your observations to: firstname.lastname@example.org. Thank you for your interest.
Three papers area currently available for download (see below, sorry comments in English language only).
1. An Examination of the Linkages Between Money Management and Trading Goals — A Research Paper
This is a summary of my thesis for the Masters of Arts in Finance at National College of Ireland, November 2010. I published this work on the SIAT Quaderno, the journal of the Italian Chapter of IFTA (International Federation of Technical Analysts)
Abstract (English): Three money management techniques were examined and applied to the profitable “Turtle Soup” trading system. Trading goals were split in three sub-goals: a) downside protection, b) upside potential and c) an opportunistic outcome. A uni-variate Monte Carlo simulation method was adopted and a distribution, obtained from trading data generated by the trading system along with the applied money management rules, was calibrated using known goodness-of-fit techniques and tests. The study confirms that good money management techniques are able to modify the results of a profitable trading system and demonstrates that money management techniques can be used to control achievement of trading goals. In particular, different features of money management are able to separately affect the achievement of different sub-goals.
2. Effects of High Frequency Trading (HFT) on Markets and Program Trading — A Paper published on SIAT Journal No.10 on February, 2013
Abstract (English): High Frequency Trading (HFT) is widely spread in Europe, as well as, in the North American markets, with involved volumes estimated between 35% to 75%. Unfortunately the effects of HFT systems on the markets are very negative, especially during repeated and unavoidable stress situations, during which effects on price compound and multiply. This article describes the effects of HTF on markets highlighting, in particular, the causes of social and technical instability, the modification of price structure and the consequences on traders’ behavior. The presence of HFT influences the effectiveness of Program Trading – another computer-based class of algorithms having stabilizing effects on the markets. The portion of Program Trading referenced is indeed based on cause-effect rules activated by well defined price levels. Such rules have evolved in the years to perfectly match the psychological response of traders, taken as an aggregated group, guaranteeing an ordered development of price on markets characterized by high volumes. The presence of HFT disturbs the markets, which are not allowed to work properly due to the modification in price structure. The emergence of a weak price structure generates market dynamics not allowing traders who provide liquidity to be rewarded, while only rewarding perfect market timing, very difficult to obtain. The last part of the article considers the potential evolution of HFT, in the technical sphere too, and how professional and retail traders could defend themselves from the presence of HFT if, as it seems, a more decisive and effective regulation of the phenomenon will not be undertaken by the appointed authority.
Abstract (Italian): L’High Frequency Trading (HFT) è molto diffuso sia in Europa che nei mercati Nord Americani, con stime di volume totale trattato che vanno dal 35% al 75%. Purtroppo gli effetti dell’HFT sul mercato sono piuttosto negativi, specialmente nelle ripetute ed immancabili situazioni di stress, durante le quali gli effetti sul prezzo si compongono e moltiplicano. L’articolo descrive gli effetti dell’HFT sul mercato soffermandosi, in particolare, sulle cause di instabilitá del mercato sociali e tecniche, sulla modifica della struttura del prezzo e sulle conseguenze nel comportamento dei trader. La presenza dell’HFT influenza anche l’efficacia del Program Trading – un’altra classe di algoritmi basata sull’automazione — anche se alcuni di questi algoritmi presentano effetti stabilizzanti sul mercato. Una parte del Program Trading cui si fará riferimento, è infatti basata su regole di causa effetto che reagiscono a ben determinati livelli di prezzo. Tali regole sono evolute negli anni per adeguarsi perfettamente alla naturale risposta psicologica dei trader, presi in aggregato, garantendo uno sviluppo ordinato del prezzo sui mercati con alti volumi. La presenza dell’HFT disturba i mercati, cui non è permesso funzionare correttamente causa la modifica della struttura del prezzo. L’emergere di una struttura debole del prezzo genera dinamiche che non permettono ai trader che forniscono liquidità al mercato di essere ricompensati, ma premiano solamente timing di ingresso perfetti, molto difficili da realizzare. L’ultima parte dell’articolo considera le possibili evoluzioni dell’HFT, anche in ambito tecnologico, e come i trader professionisti e retail possano difendersi dalla presenza dell’HFT se, come sembra, una più decisa ed efficace regolamentazione del fenomeno non sará intrapresa dagli enti preposti.
Abstract (English): Are you interested in trading or a seasoned trader but still not part of that elite 5% of consistent traders? Do you want to be a successful trader regularly extracting profits out of the markets? If so, it is important you start thinking of trading from a different perspective, as well as, start doing something differently. One thing could be to re-focus on those key concepts that truly describe, explain and affect price behavior. If you are a new or inexperienced trader you will benefit from the content of this book much more than more experienced ones. The reason is that you have a unique opportunity to shape up the right beliefs and mindset about trading from the very beginning. Traders with experience will need to work a bit more to change or slightly modify their current beliefs, as needed. But if they face the effort they will be able to quickly turn around their trading. The key concepts presented in this eBook help understanding the psychology behind price moves, mainly driven by emotions in a way that rationalizing market behavior is not relevant and even counter-productive for successful trading. For instance, all the hype on market news and on its interpretation is misleading. News can and will only affect price on the smaller timeframes like 15min and 4-hour, but very often (if not always) it will have no effects on price patterns already in place, neither will on the outcome of well-formed daily and weekly setups. In trading perception is much more important than facts and their rational interpretation in relation to how price could and will be affected, i.e. what is the anticipated traders’ reaction after a key event. An introduction to each of the five concepts that are paramount for trading success will prepare the trader to build the needed beliefs or help shifting the existing beliefs in order to (re)learn how to trade successfully.
If you have been in the trading system for some time, you will have realized that trading success requires useful and focused beliefs and the right psychology. The concepts presented in this book are counter-intuitive and challenge the widespread ‘truths’ of trading. Probably this is the reason why it is meaningful to analyze and study them carefully. A deep understanding of key concepts will also help understanding where the real profit opportunities lie.
Qui sotto sono presenti i miei eBook ed i lavori di ricerca sul trading che ho pubblicato sino ad ora e che continuero’ a pubblicare in futuro su svariati argomenti legati al trading: Analisi dei Mercati, Money Management, Gestione del Rischio, Psicologia del Trading, Metodi di Trading, Gestione della Posizione, Pianificazione del Trading Business, e molto ancora. Tutto il materiale presentato e’ di qualita’ perche’ il prodotto di esperienza e studio di trading e finanza negli ultimi 12 anni ed e’ disponibile a fronte di registrazione.
Tre lavori sono gia’ stati pubblicati su questo Blog (e descritti piu’ sotto nella pagina):
- An Examination of the Linkages Between Money Management and Trading Goals — Lavoro di ricerca pubblicato sul Quaderno SIAT No.8 a Febbraio del 2012 (disponibile solo in inglese)
- Gli Effetti dell’High Frequency Trading (HFT) sui Mercati e sul Program Trading — Articolo pubblicato sul Quaderno SIAT No.10 nel Febbraio del 2013
- Key Concepts to Correct Trading Behavior – A guide to relevant concepts for trading success in a market governed by High Frequency Trading (HFT) and Program Trading — pubblicato nel Maggio 2013 (eBook disponibile solamente in lingua inglese)
Nota bene: articoli, documenti di ricerca ed eBook sono gratuiti ed accessibili previa registrazione.
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