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Paperback Calendar Anomalies and Arbitrage Book

ISBN: 9814417459

ISBN13: 9789814417457

Calendar Anomalies and Arbitrage

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Format: Paperback

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Book Overview

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...

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