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Calendar Anomalies And Arbitrage William T Ziemba

  • SKU: BELL-51226844
Calendar Anomalies And Arbitrage William T Ziemba
$ 31.00 $ 45.00 (-31%)

4.0

26 reviews

Calendar Anomalies And Arbitrage William T Ziemba instant download after payment.

Publisher: World Scientific Publishing Company
File Extension: PDF
File size: 21.13 MB
Pages: 607
Author: William T Ziemba
ISBN: 9789814405461, 9814405469
Language: English
Year: 2012

Product desciption

Calendar Anomalies And Arbitrage William T Ziemba by William T Ziemba 9789814405461, 9814405469 instant download after payment.

This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.

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