Calendar Anomalies and Arbitrage
ISBN: 9814417459
EAN13: 9789814417457
Language: English
Pages: 586
Dimensions: 1.00" H x 10.00" L x 7.00" W
Weight: 2.00 lbs.
Format: Paperback

Calendar Anomalies and Arbitrage

Product is currently Out of Stock.
You can add it to your wishlist and you will be notified once we receive a copy.
Editor Reviews
From the front Cover This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.