Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) Book PDF, ePub eBook

Join our eBook service for unlimited books & audiobooks. Get a free 7 day subscription! ↓↓↓↓↓


Book Descriptions:

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.

Contents:

• Introduction — Calendar Anomalies (C S Dzhabarov and W T Ziemba)
• Playing the Turn-of-the-Year Effect with Index Futures (R Clark and W T Ziemba)
• Arbitrage Strategies for Cross-Track Betting on Major Horse Races (D B Hausch and W T Ziemba)
• Locks at the Racetrack (D B Hausch and W T Ziemba)
• Arbitrage and Risk Arbitrage in Team Jai Alai (D Lane and W T Ziemba)
• Miscellaneous Inserts
• Risk Arbitrage in the Nikkei Put Warrant Market of 1989–1990 (J Shaw, E O Thorp and W T Ziemba)
• Design of Anomalies Funds: Concepts and Experience (D R Capozza and W T Ziemba)
• Land and Stock Prices in Japan (D Stone and W T Ziemba)
• The Chicken or the Egg: Land and Stock Prices in Japan (W T Ziemba)
• Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday and Golden Week Effects (W T Ziemba)
• Seasonality Effects in Japanese Futures Markets (W T Ziemba)
• Day of the Week Effects in Japanese Stocks (K Kato, S L Schwartz and W T Ziemba)
• Comment on “Why a Weekend Effect?” (W T Ziemba)
• The Turn-of-the-Month Effect in the World's Stock Markets, January 1988 – January 1990 (T Martikainen, J Perttunen and W T Ziemba)
• The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982–1992 (C Hensel, and G A Sick and W T Ziemba)
• Worldwide Security Market Anomalies (W T Ziemba and C R Hensel)
• Worldwide Security Market Regularities (W T Ziemba)
• Cointegration Analysis of the Fed Model (M Koivu, T Pennanen and W T Ziemba)
• The Predictive Ability of the Bond-Stock Earnings Yield Differential Model (K Berge, G Consigli and W T Ziemba)
• Efficiency of Racing, Sports, and Lottery Betting Markets (W T Ziemba)
• The Favorite-Longshot Bias in S&P500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance (R G Tompkins, W T Ziemba and S D Hodges)
• The Dosage Breeding Theory for Horse Racing Predictions (M Gramm and W T Ziemba)
• An Application of Expert Information to Win Betting on the Kentucky Derby, 1981–2005 (R S Bain, D B Hausch and W T Ziemba)

Readership: Students, researchers and professionals who are interested in stock market investment and futures trading strategies.

Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) by William T Ziemba

From reader reviews:

Abram Huffman:

The book Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) gives you the sense of being enjoy for your spare time. You should use to make your capable considerably more increase. Book can being your best friend when you getting pressure or having big problem together with your subject. If you can make reading a book Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) to become your habit, you can get much more advantages, like add your current capable, increase your knowledge about a few or all subjects. You are able to know everything if you like open up and read a reserve Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance). Kinds of book are a lot of. It means that, science reserve or encyclopedia or other people. So , how do you think about this e-book?

Mary Fleming:

This Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) book is absolutely not ordinary book, you have it then the world is in your hands. The benefit you get by reading this book is information inside this book incredible fresh, you will get details which is getting deeper a person read a lot of information you will get. This Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) without we realize teach the one who looking at it become critical in thinking and analyzing. Don't always be worry Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) can bring when you are and not make your handbag space or bookshelves' come to be full because you can have it within your lovely laptop even phone. This Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) having fine arrangement in word and also layout, so you will not feel uninterested in reading.

Randall Blake:

This Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) usually are reliable for you who want to be a successful person, why. The main reason of this Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) can be on the list of great books you must have is giving you more than just simple looking at food but feed you with information that possibly will shock your prior knowledge. This book is handy, you can bring it almost everywhere and whenever your conditions both in e-book and printed people. Beside that this Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) giving you an enormous of experience like rich vocabulary, giving you tryout of critical thinking that we all know it useful in your day pastime. So , let's have it and luxuriate in reading.

Joan Munoz:

Does one one of the book lovers? If yes, do you ever feeling doubt if you are in the book store? Attempt to pick one book that you never know the inside because don't evaluate book by its cover may doesn't work the following is difficult job because you are scared that the inside maybe not seeing that fantastic as in the outside search likes. Maybe you answer could be Calendar Anomalies and Arbitrage: 2 (World Scientific Series in Finance) why because the wonderful cover that make you consider with regards to the content will not disappoint you actually. The inside or content is actually fantastic as the outside or maybe cover. Your reading 6th sense will directly guide you to pick up this book.