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CALENDAR ANOMALIES AND ARBITRAGE (World Scientific Series in Finance, 2)

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CALENDAR ANOMALIES AND ARBITRAGE (World Scientific Series in Finance, 2) image
ISBN-10:

9814405450

ISBN-13:

9789814405454

Author(s): William T Ziemba
Released: Jul 23, 2012
Publisher: World Scientific Publishing Company
Format: Hardcover, 608 pages
Related ISBN: 9789814417457
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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. Readership: Students, researchers and professionals who are interested in stock market investment and futures trading strategies.

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