Calendar Anomalies And Arbitrage

By:

William T Ziemba

Format:

Paperback / softback

Series:

World Scientific Series in Finance

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Description

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.

Release date Australia

September 24th, 2012

Author

William T Ziemba

Audience

Postgraduate, Research & Scholarly

Pages

608

Series

World Scientific Series in Finance

Dimensions

166x266x31

ISBN-13

9789814417457

Product ID

20651881

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