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

By William T Ziemba

This publication discusses calendar or seasonal anomalies in all over the world fairness markets in addition to arbitrage and probability arbitrage. a whole replace folks anomalies similar to the January turn-of-the yr, turn-of-the-month, January barometer, promote in might and depart, vacations, days of the week, techniques expiry and different results is given focusing on the futures markets the place those anomalies should be simply utilized. different results that lend themselves to converted purchase and carry funds options comprise the presidential election and issue versions in accordance with basic anomalies. the information were used effectively by means of 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 impact with Index Futures (R Clark and W T Ziemba)
  • Arbitrage options 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 danger Arbitrage in crew Jai Alai (D Lane and W T Ziemba)
  • Miscellaneous Inserts
  • Risk Arbitrage within the Nikkei positioned Warrant industry of 1989–1990 (J Shaw, E O Thorp and W T Ziemba)
  • Design of Anomalies cash: suggestions and adventure (D R Capozza and W T Ziemba)
  • Land and inventory costs in Japan (D Stone and W T Ziemba)
  • The bird or the Egg: Land and inventory costs in Japan (W T Ziemba)
  • Japanese safeguard marketplace Regularities: per month, Turn-of-the-Month and yr, vacation and Golden Week results (W T Ziemba)
  • Seasonality results in eastern Futures Markets (W T Ziemba)
  • Day of the Week results in jap 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 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 safeguard 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 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 innovations: The go back to Bets and the price of assurance (R G Tompkins, W T Ziemba and S D Hodges)
  • The Dosage Breeding idea for Horse Racing Predictions (M Gramm and W T Ziemba)
  • An program of specialist info to Win having 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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