Calendar Anomalies and Arbitrage

by William T. Ziemba

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 9814417459
• ISBN13: 9789814417457
• Release Date: July 2012
• Publisher: World Scientific Publishing Company
• Length: 608 Pages
• Weight: 2.28 lbs.
• Dimensions: 1.2" x 6.5" x 10.5"