Calendar Anomalies And Arbitrage

Name: Calendar Anomalies And Arbitrage
Brand: World Scientific Publishing Co Pte Ltd
SKU: 9789814417457
Price: 283.4 RON
Availability: InStock

Autor: William T. Ziemba

Limbă:

Legare: Carte broșată

Editura: World Scientific Publishing Co Pte Ltd

Disponibilitate: În depozitul extern

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283.40 lei

This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage...

Informații despre carte

Autor

William T. Ziemba

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2012

Pagini

608

EAN

9789814417457

ISBN

9814417459

Enbook ID

05070812

Editura

World Scientific Publishing Co Pte Ltd

Greutate

1016

Dimensiuni

248 x 167 x 35

Descriere completă

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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