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

By William T Ziemba

This e-book discusses calendar or seasonal anomalies in world wide fairness markets in addition to arbitrage and probability arbitrage. a whole replace folks anomalies reminiscent of the January turn-of-the 12 months, turn-of-the-month, January barometer, promote in might and depart, vacation trips, days of the week, thoughts expiry and different results is given focusing on the futures markets the place those anomalies will be simply utilized. different results that lend themselves to changed purchase and carry money suggestions contain the presidential election and issue versions according to basic anomalies. the guidelines were used effectively by way of the writer in own and controlled bills and hedge funds.

Contents:

  • Introduction — Calendar Anomalies (C S Dzhabarov and W T Ziemba)
  • Playing the Turn-of-the-Year impact with Index Futures (R Clark and W T Ziemba)
  • Arbitrage concepts for Cross-Track having 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 threat Arbitrage in workforce Jai Alai (D Lane and W T Ziemba)
  • Miscellaneous Inserts
  • Risk Arbitrage within the Nikkei positioned Warrant marketplace of 1989–1990 (J Shaw, E O Thorp and W T Ziemba)
  • Design of Anomalies cash: strategies and adventure (D R Capozza and W T Ziemba)
  • Land and inventory costs in Japan (D Stone and W T Ziemba)
  • The poultry or the Egg: Land and inventory costs in Japan (W T Ziemba)
  • Japanese safety marketplace Regularities: per thirty days, Turn-of-the-Month and 12 months, vacation and Golden Week results (W T Ziemba)
  • Seasonality results in eastern 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 influence within the World's inventory Markets, January 1988 – January 1990 (T Martikainen, J Perttunen and W T Ziemba)
  • The Turn-of-the-Month impression within the U.S. inventory Index Futures Markets, 1982–1992 (C Hensel, and G A in poor health and W T Ziemba)
  • Worldwide safety industry Anomalies (W T Ziemba and C R Hensel)
  • Worldwide protection industry 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 profits Yield Differential version (K Berge, G Consigli and W T Ziemba)
  • Efficiency of Racing, activities, and Lottery making a bet Markets (W T Ziemba)
  • The Favorite-Longshot Bias in S&P500 and FTSE a hundred Index Futures ideas: The go back to Bets and the price of assurance (R G Tompkins, W T Ziemba and S D Hodges)
  • The Dosage Breeding thought for Horse Racing Predictions (M Gramm and W T Ziemba)
  • An program of professional 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 pros who're drawn to inventory marketplace funding and futures buying and selling strategies.

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