Calendar Anomalies And Arbitrage
Regular price
€55.99
A01=William T Ziemba
Arbitrage
Author_William T Ziemba
Betting
Calendar Anomalies
Capital Growth Theory
Category=KFFM
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Factor Models Based on Fundamental Anomalies
Futures Markets
Index Futures
Lottery Market
Semi-Strong Market Efficiency
Speculative Investments
Sports Market
Stock Prices
Stock Returns
Trading Strategies
US Stock Market
Worldwide Stock Market Strategies
Product details
- ISBN 9789814417457
- Publication Date: 24 Sep 2012
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Paperback
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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.
