Ziemba, William T.
Calendar Anomalies and Arbitrage
- ISBN 13:
- 9789814417457
- author:
- Ziemba, William T.
- format:
- Paperback
- publisher:
- Wspc
- language:
- English
- Publication Year:
- 2012
- Pages:
- 608
- Dimensions:
- 26.6 x 16.6 x 3.1 centimetres (1
- Genre:
- Business, Investments & Securities, General,
- Condition:
- New
- Availability:
- Item usually sent within 20 working days
Description
Calendar Anomalies and Arbitrage explores seasonal patterns in global equity markets, focusing on arbitrage opportunities. The book provides an update on US anomalies, including the January effect, monthly effects, and other factors that influence futures markets.
The author has successfully applied these strategies to personal and managed accounts, as well as hedge funds. This book offers insights into modified buy-and-hold cash strategies, including those based on fundamental anomalies and factor models.
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