Calendar Anomalies and Arbitrage by William T. Ziemba
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Calendar Anomalies and Arbitrage

Calendar Anomalies and Arbitrage


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About the Book

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.


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Product Details
  • ISBN-13: 9789814417457
  • Publisher: World Scientific Publishing Company
  • Publisher Imprint: World Scientific Publishing Company
  • Depth: 32
  • Language: English
  • Returnable: N
  • Spine Width: 31 mm
  • Width: 166 mm
  • ISBN-10: 9814417459
  • Publisher Date: 24 Sep 2012
  • Binding: Paperback
  • Height: 266 mm
  • No of Pages: 608
  • Series Title: World Scientific Finance
  • Weight: 1083 gr


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