Calendar Anomalies And Arbitrage

Know about the book -

Calendar Anomalies And Arbitrage is written by William T Ziemba and published by World Scientific. It's available with International Standard Book Number or ISBN identification 9814405477 (ISBN 10) and 9789814405478 (ISBN 13).

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.