William T Ziemba's Calendar Anomalies and Arbitrage: 2 (World Scientific Series PDF

By William T Ziemba

This booklet discusses calendar or seasonal anomalies in around the world fairness markets in addition to arbitrage and chance arbitrage. an entire replace people anomalies similar to the January turn-of-the 12 months, turn-of-the-month, January barometer, promote in may well and leave, vacations, days of the week, concepts 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 transformed purchase and carry funds recommendations comprise the presidential election and issue types in keeping with basic anomalies. the guidelines were used effectively through the writer in own and controlled bills and hedge funds.


  • Introduction — Calendar Anomalies (C S Dzhabarov and W T Ziemba)
  • Playing the Turn-of-the-Year influence with Index Futures (R Clark and W T Ziemba)
  • Arbitrage recommendations 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 chance Arbitrage in group 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 money: techniques and event (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 30 days, Turn-of-the-Month and 12 months, vacation and Golden Week results (W T Ziemba)
  • Seasonality results in jap 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 ailing and W T Ziemba)
  • Worldwide protection industry Anomalies (W T Ziemba and C R Hensel)
  • Worldwide safeguard 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 having a bet Markets (W T Ziemba)
  • The Favorite-Longshot Bias in S&P500 and FTSE a hundred Index Futures suggestions: The go back to Bets and the price of coverage (R G Tompkins, W T Ziemba and S D Hodges)
  • The Dosage Breeding conception for Horse Racing Predictions (M Gramm and W T Ziemba)
  • An software of specialist 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 attracted to inventory marketplace funding and futures buying and selling strategies.

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