Calendar anomalies and arbitrage
Auteur :
Ziemba, William T
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789814417457
Date de publication :
24 sept. 2012
Langue :
Anglais
Pays d'origine :
Singapour
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.