By William T Ziemba

ISBN-10: 9814405450

ISBN-13: 9789814405454

ISBN-10: 9814417459

ISBN-13: 9789814417457

This booklet discusses calendar or seasonal anomalies in around the world fairness markets in addition to arbitrage and threat arbitrage. a whole replace folks anomalies equivalent to the January turn-of-the 12 months, turn-of-the-month, January barometer, promote in may possibly and leave, vacations, days of the week, ideas expiry and different results is given targeting the futures markets the place those anomalies could be simply utilized. different results that lend themselves to converted purchase and carry funds suggestions contain the presidential election and issue types in accordance with basic anomalies. the information were used effectively via the writer in own and controlled money owed and hedge funds.

Contents:

  • Introduction — Calendar Anomalies (C S Dzhabarov and W T Ziemba)
  • Playing the Turn-of-the-Year impression with Index Futures (R Clark and W T Ziemba)
  • Arbitrage suggestions for Cross-Track making a bet on significant Horse Races (D B Hausch and W T Ziemba)
  • Locks on the Racetrack (D B Hausch and W T Ziemba)
  • Arbitrage and danger Arbitrage in staff Jai Alai (D Lane and W T Ziemba)
  • Miscellaneous Inserts
  • Risk Arbitrage within the Nikkei placed Warrant marketplace of 1989–1990 (J Shaw, E O Thorp and W T Ziemba)
  • Design of Anomalies money: thoughts and event (D R Capozza and W T Ziemba)
  • Land and inventory costs in Japan (D Stone and W T Ziemba)
  • The fowl or the Egg: Land and inventory costs in Japan (W T Ziemba)
  • Japanese safety industry Regularities: per 30 days, Turn-of-the-Month and 12 months, vacation and Golden Week results (W T Ziemba)
  • Seasonality results in jap Futures Markets (W T Ziemba)
  • Day of the Week results in eastern shares (K Kato, S L Schwartz and W T Ziemba)
  • Comment on “Why a Weekend Effect?” (W T Ziemba)
  • The Turn-of-the-Month impression within the World's inventory Markets, January 1988 – January 1990 (T Martikainen, J Perttunen and W T Ziemba)
  • The Turn-of-the-Month influence within the U.S. inventory Index Futures Markets, 1982–1992 (C Hensel, and G A in poor health and W T Ziemba)
  • Worldwide protection industry Anomalies (W T Ziemba and C R Hensel)
  • Worldwide safety marketplace Regularities (W T Ziemba)
  • Cointegration research of the Fed version (M Koivu, T Pennanen and W T Ziemba)
  • The Predictive skill of the Bond-Stock gains Yield Differential version (K Berge, G Consigli and W T Ziemba)
  • Efficiency of Racing, activities, and Lottery having a bet Markets (W T Ziemba)
  • The Favorite-Longshot Bias in S&P500 and FTSE a hundred Index Futures techniques: The go back to Bets and the price of coverage (R G Tompkins, W T Ziemba and S D Hodges)
  • The Dosage Breeding concept for Horse Racing Predictions (M Gramm and W T Ziemba)
  • An software of specialist info to Win making a bet at the Kentucky Derby, 1981–2005 (R S Bain, D B Hausch and W T Ziemba)

Readership: Students, researchers and execs who're drawn to inventory marketplace funding and futures buying and selling strategies.

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


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