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Calendar anomalies and arbitrage

Ziemba, W. T.

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Calendar anomalies and arbitrage

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Calendar anomalies and arbitrage/ by William T. Ziemba.
作者:	Ziemba, W. T.
出版者:	New Jersey :World Scientific, : 2012.,
面頁冊數:	1 online resource.
附註:	Includes index.
標題:	Stocks - Prices. -
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/8467#t=toc
ISBN:	9789814405461 (electronic bk.)

Calendar anomalies and arbitrage
Ziemba, W. T.

Calendar anomalies and arbitrage[electronic resource] /by William T. Ziemba. - New Jersey :World Scientific,2012. - 1 online resource. - World Scientific series in finance,v. 22010-1082 ;. - World Scientific series in finance ;v. 1..

Includes index.

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.

ISBN: 9789814405461 (electronic bk.)Subjects--Topical Terms:

655153
Stocks
--Prices.

LC Class. No.: HG4636 / .Z54 2012eb

Dewey Class. No.: 332.64/5

Calendar anomalies and arbitrage
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500 $a Includes index.
520 $a 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.
588 $a Description based on print version record.
650 0 $a Stocks $x Prices. $3 655153
650 0 $a Stock price forecasting. $3 656249
650 0 $a Arbitrage. $3 646738
650 0 $a Seasonal variations (Economics) $3 2016020
830 0 $a World Scientific series in finance ; $v v. 1. $3 1573620
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