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Calendar Anomalies And Arbitrage (World Scientific Series In Finance Book 2)

Penned By William T. Ziemba
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Calendar Anomalies And Arbitrage (World Scientific Series In Finance Book 2)

Penned By William T. Ziemba
4.85 51,413 Ratings
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Editor's Note:
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.Contents: Introduction — 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 Horse Races (D B Hausch and W T Ziemba)Locks at the Racetrack (D B Hausch and W T Ziemba)Arbitrage and Risk Arbitrage in Team Jai Alai (D Lane and W T Ziemba)Miscellaneous InsertsRisk Arbitrage in the Nikkei Put Warrant Market of 1989–1990 (J Shaw, E O Thorp and W T Ziemba)Design of Anomalies Funds: Concepts and Experience (D R Capozza and W T Ziemba)Land and Stock Prices in Japan (D Stone and W T Ziemba)The Chicken or the Egg: Land and Stock Prices in Japan (W T Ziemba)Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday and Golden Week Effects (W T Ziemba)Seasonality Effects in Japanese Futures Markets (W T Ziemba)Day of the Week Effects in Japanese Stocks (K Kato, S L Schwartz and W T Ziemba)Comment on “Why a Weekend Effect?” (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)The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982–1992 (C Hensel, and G A Sick and W T Ziemba)Worldwide Security Market Anomalies (W T Ziemba and C R Hensel)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 Model (K Berge, G Consigli and W T Ziemba)Efficiency of Racing, Sports, and Lottery Betting Markets (W T Ziemba)The Favorite-Longshot Bias in S&P500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance (R G Tompkins, W T Ziemba and S D Hodges)The Dosage Breeding Theory for Horse Racing Predictions (M Gramm and W T Ziemba)An Application of Expert Information to Win Betting on the Kentucky Derby, 1981–2005 (R S Bain, D B Hausch and W T Ziemba)Readership: Students, researchers and professionals who are interested in stock market investment and futures trading strategies.

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Length N/A Pages
Language Eng
Imprint World Scientific
Released June 29, 2012
Identifier (ISBN) 20680357
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William T. Ziemba
The Mind Behind the Work
William T. Ziemba

William T. Ziemba writes contemporary fiction and has always been fascinated by character-driven stories. They hold a degree in English Literature and previously worked as an editor before transitioning to writing their own books. William T. Ziemba lives with their spouse and a very vocal rescue cat.

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Matthew White
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"Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece."
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"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Laura Torres
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"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
Sarah Gomez
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"A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem."
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"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
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"Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
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"A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre."
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"A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre."
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"Such a rich narrative. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
Kimberly Adams
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"Exceeded all my expectations. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
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"Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem."
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"Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
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Rebecca Roberts
Rebecca Roberts October 17, 2025
"Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars."
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"A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall."
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"Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author."
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Melissa Flores April 02, 2025
"I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel."
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"A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel."
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Andrew Young
Andrew Young July 14, 2025
"I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel."
Sandra Allen
Sandra Allen February 24, 2024
"I find myself somewhat conflicted. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. A fair 3 stars."
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Donna Hernandez April 28, 2024
"I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author."
Patricia Martinez
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"Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. Quite impressive overall."
Matthew Anderson
Matthew Anderson August 03, 2024
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars."
Jacob Adams
Jacob Adams October 04, 2024
"I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem."
Rebecca Gonzalez
Rebecca Gonzalez April 12, 2024
"A decent, if standard, experience. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty."
Matthew Moore
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"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author."
Kevin Roberts
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"Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece."
Lisa Brown
Lisa Brown July 28, 2024
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author."
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"I find myself somewhat conflicted. Certain acts were fascinating, while others felt like a slight endeavor to complete. Suitable if your reading queue is empty."
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"A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author."
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"Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. A true literary gem."
Ryan Reyes
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"Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author."
Ryan Evans
Ryan Evans May 04, 2024
"Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall."
James Moore
James Moore November 12, 2024
"An acceptable diversion. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perfectly average."
James King
James King June 25, 2024
"Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre."
Betty Johnson
Betty Johnson May 04, 2024
"I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel."
Matthew Scott
Matthew Scott October 17, 2025
"Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem."
Amanda Carter
Amanda Carter March 28, 2024
"Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author."
Stephanie Clark
Stephanie Clark August 02, 2024
"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars."
Susan Turner
Susan Turner June 09, 2025
"Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem."
Michelle Allen
Michelle Allen March 25, 2024
"Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars."
Barbara Gomez
Barbara Gomez December 03, 2025
"An acceptable diversion. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Unlikely to reread, but a reasonable expenditure of time."
Rebecca Walker
Rebecca Walker July 06, 2024
"I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall."
James Hall
James Hall March 31, 2025
"Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre."
Ryan Scott
Ryan Scott November 03, 2025
"Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author."
Joseph Lewis
Joseph Lewis July 04, 2025
"Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece."
Nancy Carter
Nancy Carter January 21, 2025
"I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars."
James Rodriguez
James Rodriguez October 14, 2025
"A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel."
Mark Edwards
Mark Edwards December 13, 2024
"Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars."
Jessica Adams
Jessica Adams November 10, 2025
"Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading."
Andrew Young
Andrew Young August 10, 2024
"A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me."
Emily Clark
Emily Clark November 19, 2024
"Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem."
Robert Cruz
Robert Cruz January 20, 2025
"I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers."
Dorothy Flores
Dorothy Flores July 03, 2025
"A very strong entry. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers."
Daniel Collins
Daniel Collins November 12, 2025
"I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre."
Michelle Wright
Michelle Wright June 11, 2024
"I find myself somewhat conflicted. The prose was competent, yet the characters lacked the depth I usually seek. A fair 3 stars."
Joseph Robinson
Joseph Robinson February 24, 2024
"I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend."
Steven Anderson
Steven Anderson March 05, 2024
"Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author."
Kenneth Martin
Kenneth Martin December 23, 2025
"Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend."
Jessica Hernandez
Jessica Hernandez August 31, 2025
"A very strong entry. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me."
Mary Thompson
Mary Thompson April 26, 2024
"I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading."
Lisa Gonzalez
Lisa Gonzalez December 24, 2025
"Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading."
Rebecca Jackson
Rebecca Jackson April 11, 2025
"I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel."
Ashley Lopez
Ashley Lopez July 08, 2024
"A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading."
James Evans
James Evans June 05, 2025
"Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars."
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