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Calendar Anomalies and Arbitrage Paperback - 2012
by William T. Ziemba
From the jacket flap
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.
Details
- Title Calendar Anomalies and Arbitrage
- Author William T. Ziemba
- Binding Paperback
- Pages 608
- Volumes 1
- Language ENG
- Publisher World Scientific Publishing Company, U.S.A.
- Date 2012-09-24
- Features Bibliography, Index, Table of Contents
- ISBN 9789814417457 / 9814417459
- Weight 2.28 lbs (1.03 kg)
- Dimensions 10.46 x 6.55 x 1.23 in (26.57 x 16.64 x 3.12 cm)
- Library of Congress subjects Stock price forecasting, Stocks - Prices
- Library of Congress Catalog Number 2012015741
- Dewey Decimal Code 332.645
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