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Calendar anomalies and arbitrage[ele...

Ziemba, W. T.

Calendar anomalies and arbitrage[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.64/5
書名/作者:	Calendar anomalies and arbitrage/ by William T. Ziemba.
作者:	Ziemba, W. T.
出版者:	New Jersey : : World Scientific,, 2012.
面頁冊數:	1 online resource.
附註:	Includes index.
標題:	Stocks - Prices.
標題:	Stock price forecasting.
標題:	Arbitrage.
標題:	Seasonal variations (Economics)
ISBN:	9789814405461 (electronic bk.)
ISBN:	9814405469 (electronic bk.)
摘要、提要註:	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.
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/8467#t=toc

Calendar anomalies and arbitrage[electronic resource] /
Ziemba, W. T.

Calendar anomalies and arbitrage[electronic resource] /by William T. Ziemba. - New Jersey :World Scientific,2012. - 1 online resource. - World Scientific series in finance,v. 22010-1082 ;. - World Scientific series in finance ;v. 1..

Includes index.

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.

ISBN: 9789814405461 (electronic bk.)Subjects--Topical Terms:

367117
Stocks
--Prices.

LC Class. No.: HG4636 / .Z54 2012eb

Dewey Class. No.: 332.64/5

Calendar anomalies and arbitrage[electronic resource] /
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100 1 $a Ziemba, W. T. $3 416739
245 1 0 $a Calendar anomalies and arbitrage $h [electronic resource] / $c by William T. Ziemba.
260 $a New Jersey : $b World Scientific, $c 2012.
300 $a 1 online resource.
490 1 $a World Scientific series in finance, $x 2010-1082 ; $v v. 2
500 $a Includes index.
520 $a 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.
588 $a Description based on print version record.
650 0 $a Stocks $x Prices. $3 367117
650 0 $a Stock price forecasting. $3 339407
650 0 $a Arbitrage. $3 507348
650 0 $a Seasonal variations (Economics) $3 556135
830 0 $a World Scientific series in finance ; $v v. 1. $3 487270
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/8467#t=toc

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