Calendar Anomalies and Arbitrage Hardcover - 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 Hardcover
- Pages 608
- Volumes 1
- Language ENG
- Publisher World Scientific Publishing Company
- Date 2012-09-24
- ISBN 9789814405454 / 9814405450
- Weight 2.6 lbs (1.18 kg)
- Dimensions 9.7 x 6.8 x 1.4 in (24.64 x 17.27 x 3.56 cm)
- Library of Congress Catalog Number 2012015741
- Dewey Decimal Code 332.645
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Calendar Anomalies and Arbitrage (World Scientific Series in Finance)
by William T Ziemba
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by William T Ziemba
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Calendar Anomalies and Arbitrage
by William T Ziemba
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