Calendar Anomalies and Arbitrage

Author: William T Ziemba
Publisher: World Scientific
ISBN: 9789814405478
Release Date: 2012-07-25
Genre: Business & Economics

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. Keywords:Calendar Anomalies;Arbitrage;Stock Prices;Stock Returns;US Stock Market;Futures Markets;Betting;Trading Strategies;Sports Market;Lottery Market;Capital Growth Theory;Semi-Strong Market Efficiency;Speculative Investments;Index Futures;Factor Models Based on Fundamental Anomalies;Worldwide Stock Market StrategiesReviews: “For several decades William T. Ziemba has focused on documenting, explaining, and trading on, calendar-based and other anomalies. This collection contains not only the original papers, but updates that examine whether the patterns persist.” Jay R Ritter Professor of Finance University of Florida “A question I am frequently asked is whether stock market regularities persist into the future. My answer is always the same. If you think an anomaly looks interesting, don't invest a penny until you have read what William T Ziemba has to say about it. He is the master of research on anomaly strategies.” Elroy Dimson Professor Emeritus London Business School “Research on return anomalies touches upon central topics in financial economics: Are markets informationally efficient? Are smart arbitrageurs able to correct mispricing swiftly, or at all? Are patterns of predictability in securities markets the consequences of risk premia, psychological bias, or mere ex post data-mining? To address these questions it is valuable to have an extensive inventory of careful studies of different kinds of markets, assets, countries, frequencies, institutional settings, and time periods. As such, this volume is a valuable source of ideas and stylized facts for the building of new theoretical insight.” David Hirshleifer Professor of Finance UC Irvine “Can you beat the market by using historical patterns in financial data? Here is the latest and most comprehensive treatment of these anomalies by a leading theorist and practitioner—what paid, what is working, and what might be profitable in the future.” Edward O Thorp Edward O Thorp & Associates Author of “Beat the Dealer” and “Beat the Market” “This lively retrospective takes readers on an informative anomalies tour, featuring both breadth and depth, across Japan, Europe, and the US in markets for equities, fixed income securities, land, and horse race betting.” Hersh Shefrin Professor of Finance Santa Clara University

Stochastic Optimization Models in Finance

Author: W. T. Ziemba
Publisher: Academic Press
ISBN: 9781483273990
Release Date: 2014-05-12
Genre: Business & Economics

Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.

Handbook of Sports and Lottery Markets

Author: Donald B. Hausch
Publisher: Elsevier
ISBN: 0080559956
Release Date: 2011-08-11
Genre: Business & Economics

Its basic empirical research and investigation of pure theories of investment in the sports and lottery markets make this volume a winner. These markets are simpler to study than traditional financial markets, and their expected values and outcomes are uncomplicated. By means of new overviews of scholarship on the industry side of racetrack and other betting markets to betting exchanges and market efficiencies, contributors consider a variety of sports in countries around the world. The result is not only superior information about market forecasting, but macro- and micro-analyses that are relevant to other markets. * Easily studied sports markets reveal features relevant for more complex traditional financial markets * Significant coverage of sports from racing to jai alai * New studies of betting exchanges and Internet wagering markets

Handbook Of The Fundamentals Of Financial Decision Making In 2 Parts

Author: Maclean Leonard C
Publisher: World Scientific
ISBN: 9789814417365
Release Date: 2013-05-10
Genre: Business & Economics

This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2nd edition published in 2006).

Stochastic Programming

Author: Horand Gassmann
Publisher: World Scientific
ISBN: 9789814407502
Release Date: 2013
Genre: Business & Economics

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

The Kelly Capital Growth Investment Criterion

Author: Leonard C. MacLean
Publisher: World Scientific
ISBN: 9789814293495
Release Date: 2011
Genre: Business & Economics

This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.

Beat the Racetrack

Author: William Ziemba
Publisher: Echo Point Books & Media
ISBN: 1635617219
Release Date: 2018-06-19
Genre:

This book is the original racetrack betting classic (later expanded upon in the re-issue, Dr. Z's Beat the Racetrack). With clear writing and a wealth of fascinating real-world examples, it shares a proven, easy to learn system that bettors can use to beat the odds and win big at the racetrack.

The World Scientific Handbook of Futures Markets

Author: Anastasios G. E. T. Al MALLIARIS
Publisher: World Scientific
ISBN: 9789814566926
Release Date: 2015-08-06
Genre: Business & Economics

"The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.

Racetrack Betting

Author: Peter Asch
Publisher: Greenwood Publishing Group
ISBN: 9780275941031
Release Date: 1991
Genre: Business & Economics

"Not only is this a very serious book on a topic of broad interest, but, even better, it is quite readable." Management Accounting

Handbook Of The Economics Of Wine In 2 Volumes

Author: Gergaud Olivier
Publisher: World Scientific
ISBN: 9789813232730
Release Date: 2018-03-21
Genre: Business & Economics

Over the last three decades, wine economics has emerged as a growing field within agricultural economics, but also in other fields such as finance, trade, growth, environmental economics and industrial organization. Wine has a few characteristics that differentiate it from other agricultural commodities, rendering it an interesting topic for economists in general. Fine wine can regularly fetch bottle prices that exceed several thousand dollars. It can be stored a long time and may increase in value with age. Fine wine quality and prices are extraordinarily sensitive to fluctuations in the weather of the year in which the grapes were grown. And wine is an experience good, i.e., its quality cannot be ascertained before consumption. As a result, consumers often rely on 'expert opinion' regarding quality and maturation prospects.This handbook takes a broad approach and familiarizes the reader with the main research strands in wine economics.After a general introduction to wine economics by Karl Storchmann, Volume 1 focuses on the core areas of wine economics. The first papers shed light on the relevance of the vineyard's natural environment for wine quality and prices. 'Predicting the Quality and Prices of Bordeaux Wine' by Orley Ashenfelter is a classic paper and may be the first wine economics publication ever. Ashenfelter shows how weather influences the quality and the price of Bordeaux Grands Crus wine. Since the weather condition of the year when the grapes were grown is known, an econometric analysis may be constructed. It turns out this model outperforms expert opinion, i.e., critical vintage scores. At best, expert opinion reflects public information. The subsequent papers, by Ashenfelter and Storchmann, Gergaud and Ginsburgh, and Cross, Plantinga and Stavins, tackle the terroir question. That is, they examine the relevance of a vineyard's physical characteristics for wine quality and prices, but from various dimensions and with different results. Next, Alston et al. analyze a question of great concern in the California wine industry: the causes and consequences of the rising alcohol content in California wine. Is climate change the culprit?The next chapter presents three papers that apply hedonic price analyses to fine wine. Combris, Lecocq and Visser show that Bordeaux wine market prices are essentially determined by the wines' objective characteristics. Costanigro, McCluskey and Mittelhammer differentiate their hedonic analysis for various market segments. Ali and Nauges incorporate reputational variables into their pricing model and distinguish between short- and long-run price effects.The next section of this volume deals with one of the unique characteristics of wine — its long storage life, which makes it potentially an investment asset. Studying wine's increasing role as an alternative asset class, Sanning et al., Burton and Jacobsen, Masset and Weisskopf, Masset and Henderson, and Fogarty all examine the rate of return to holding wine as well as the related risks. Since these papers analyze different wines and different time periods there is no 'one message.' However, all point out that, while wine may diversify an investor's portfolio, wine's returns do not beat common stock in the long run.The last two chapters examine the role of wine experts. First, Ashenfelter and Quandt revisit the 1976 'Judgment of Paris' and show that aggregating the assessments of several judges should go beyond 'adding points.' Depending on the method employed, the results may vary, and some measure of statistical precision is essential for interpreting the reliability of the results. In two different papers, Cicchetti and Quandt respond to the necessity to provide statistical tools for the assessment of wine tastings.In a seminal paper, Hodgson reports a remarkable field experiment in which similar wines were placed before judges at a major competition. The results have the shocking implication that how medals are awarded at a major California wine fair is not far from being random. Ashton analyzes the performance of professional wine judges and finds little support for the idea that experienced wine judges should be regarded as experts.Do experts scores influence the price of wine? The answer to this question is less obvious then commonly thought since expert opinion oftentimes only repeats public information such as wine quality that results from the weather that produced the wine grapes. Hadj Ali, Lecocq, and Visser as well as Dubois and Nauges find that high critical scores exert only small effects on wine prices. However, Roberts and Reagans show that a high critical exposure reduces the price-quality dispersion of wineries.Lecocq and Visser analyze wine prices and find that 'characteristics that are directly revealed to the consumer upon inspection of the bottle and its label explain the major part of price differences.' Expert opinion and sensory variables appear to play only a minor role. In an experimental setting using two Vickrey auctions, Combris, Lange and Issanchou confirm the leading role of public information, i.e., the label remains a key determinant for champagne prices. In a provocative and widely discussed study drawing on blind tasting results of some 5,000 wines, Goldstein and collaborators find that most consumers prefer less expensive over expensive wine.Finally, Weil examines the value of expert wine descriptions and lets several hundred subjects match the wines and their descriptors. His results suggest that the ability to assign a certain description to the matching wine is more or less random.Volume 2 covers the topics reputation, regulation, auctions, and market organizational. Landon and Smith, Anderson and Schamel, and Schamel analyze the impact of current quality and reputation (i.e., past quality) on wine prices from different regions. Their results suggest that prices are more influenced by reputation than by current quality. Costanigro, McCluskey and Goemans develop a nested framework for jointly examining the effects of product, firm and collective reputation on market prices.The following four papers deal with regulatory issues in the US as well as in Europe. While Riekoff and Sykuta shed light on the politics and economics of the three-tier system of alcohol distribution and the prohibition of direct wine shipments in the US, Deconinck and Swinnen analyze the European planting rights system. The political economy of European wine regulation is then covered by Melonie and Swinnen, before Anderson and Jensen shed light on Europe's complex system of wine industry subsidies.The next chapter is devoted to wine auctions. In three different papers, Fevrier, Roos and Visser, Ashenfelter, and Ginsburgh analyze the effects of specific auction designs on the resulting hammer prices. The papers focus on multi-unit ascending auctions, absentee bidders, and declining price anomalies.The last chapter, supply and organization, is devoted to a wide range of issues. First, Heien illuminates the price formation process in the California winegrape industry. Then, Frick analyzes if and how the separation of ownership and control affects the performance of German wineries.Vink, Kleynhans and Willem Hoffmann introduce us to various models of wine barrel financing, particularly to the Vincorp model employed in South Africa. Galbreath analyzes the role of women in the wine industry. He finds that (1) women are underrepresented and (2) that the presence of a female CEO increases the likelihood of women in winemaker, viticulturist, and marketing roles in that firm. Gokcekus, Hewstone, and Cakal draw on crowdsourced wine evaluations, i.e., Wine Tracker data, and show that private wine assessments are largely influenced by peer scores lending support to the assumption of the presence of a strong herding effect.Mahenc refers to the classic model of information asymmetries and develops a theoretical model highlighting the role of informed buyers in markets that are susceptible to the lemons problem. Lastly, in their paper 'Love or Money?' Scott, Morton and Podolny analyze how the presence of hobby winemakers may distort market outcomes. Hobby winemakers produce higher quality wines, charge higher prices, and enjoy lower financial returns than professional for-profit winemakers. As a result, profit-oriented winemakers are discouraged from locating at the high-quality end of the market.

Handbook of the Fundamentals of Financial Decision Making

Author: Leonard C. MacLean
Publisher: World Scientific
ISBN: 9789814417358
Release Date: 2013
Genre: Business & Economics

This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).

Precision

Author: C. X. Wong
Publisher:
ISBN: 1432768522
Release Date: 2011-03-30
Genre: Games of chance (Mathematics)

Precision: Statistical and Mathematical Methods in Horse Racing thoroughly discusses the mathematical and statistical methods in handicapping and betting techniques. Differentiations, combinatorics, normal distribution, kernel smoothing and other mathematical and statistical tools are introduced. The jargons and equations are kept to a minimum so that it is easy to understand for most readers. More than 20 professional programs are freely available to download, which allows readers to easily apply the methodology introduced in the book.

Winning Without Thinking

Author: Nick Mordin
Publisher: Aesculus Press Ltd
ISBN: 1904328148
Release Date: 2006-10
Genre: Horse racing

Nick Mordin estimates he has spent over 30,000 hours researching racing results over the years. His aim has been to uncover the principles that govern the betting market and racing results themselves. In conducting his research Nick has tested thousands of systems, both his own and those developed by academics, professional gamblers and others around the globe. In Winning Without Thinking he shares the fruits of this work. the results of horse-races; basic principles that govern racing results and the betting market; mistakes commonly made by the general betting public and how to exploit them; full details of betting systems used by professional gamblers to make millions; how to predict and profit from new trends; and how to use computers to increase your returns.