Calendar Anomalies And Arbitrage

Name: Calendar Anomalies And Arbitrage
Brand: World Scientific Publishing Co Pte Ltd
SKU: 9789814405454
Price: 222.31 EUR
Availability: InStock

Автор: William T. Ziemba

Език:

Корици: С твърди корици

Издател: World Scientific Publishing Co Pte Ltd

Наличност: Външен склад

Изпращаме след 14-21 дни

222.31 € 434.79 лв

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

Информация за книгата

Автор

William T. Ziemba

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2012

страници

608

EAN

9789814405454

ISBN

9814405450

Enbook ID

05070752

Издател

World Scientific Publishing Co Pte Ltd

Теглоt

1215

Размери

175 x 250 x 37

Пълно описание

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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Calendar Anomalies And Arbitrage

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