Calendar Anomalies and Arbitrage de William T. Ziemba

Calendar Anomalies and Arbitrage: World Scientific Series in Finance, cartea 02

en Limba Engleză Paperback – 30 iun 2012

Discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. This book features US anomalies such as the January turn-of-the year, turn-of-the-month, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be applied.

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Specificații

ISBN-13: 9789814417457
ISBN-10: 9814417459
Pagini: 586
Dimensiuni: 166 x 266 x 31 mm
Greutate: 1.03 kg
Editura: World Scientific Publishing Company
Seria World Scientific Series in Finance

Cuprins

Calendar Anomalies (C S Dzhabarov and W T Ziemba); Playing the Turn-of-the-Year Effect with Index Futures (R Clark and W T Ziemba); Arbitrage Strategies for Cross Track Betting on Major Horseraces (D B Hausch and W T Ziemba); Locks in Racetrack Minus Pools (D B Hausch and W T Ziemba); Arbitrage in Team Jai Alai (D Lane and W T Ziemba); Miscellaneous Inserts; Convergence to Efficiencyof the Nikkei Put Warrant Market of 1989 - 1990 (J Shaw, E O Thorp and W T Ziemba); Design of Anomaly Funds: Concepts and Experience (D Capozza and W T Ziemba); Land and Stock Prices in Japan (D Stone and W T Ziemba); Japanese Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week Effects (W T Ziemba); The Turn-of-the-Month Effect in the World's Stock Markets, January 1988 - January 1990 (T Martikainen, J Perttunen and W T Ziemba); Worldwide Security Market Anomalies (W T Ziemba and C Hensel); The Turn-of-the-Month Effect in the Futures Markets, 1982 - 1992 (C Hensel, G A Sick and W T Ziemba); Worldwide Security Market Regularities (W T Ziemba); Cointegration Analysis of the FED Model (M Koivu, T Pennanen and W T Ziemba); The Predictive Ability of the Bond Stock Earnings Yield Differential (K Berge, G Consigli and W T Ziemba); Efficiency of Racetrack Betting Markets (D B Hausch and W T Ziemba); The Favorite-Longshot Bias in S&P500 Futures Options: The Return to Bets and the Cost of Insurance (R G Tompkins, W T Ziemba and S H Hodges); The Dosage Breeding Theory for Horseracing Predictions (M Gramm and W T Ziemba); An Application of Expert Information to Win Betting on the Kentucky Derby (D B Hausch, R Bain and W T Ziemba).

Recenzii

This lively retrospective takes readers on an informative anomalies tour, featuring both breadth and depth, across Japan, Europe, and the US in markets for equities, fixed income securities, land, and horse race betting. -- Hersh Shefrin "Professor of Finance, Santa Clara University"

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