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Stock Market Calendar Anomalies and Risk Management 

Speaker: Dr. William Ziemba

CQF Institute is proud to bring you a talk with Dr. William Ziemba on Stock Market Calendar Anomalies and Risk Management.

Abstract

  • The five stock market groups
  • The two most important factors for successful investing
  • The January barometer predictor
  • Zweig’s approach to stock market prediction using momentum and Fed movements
  • Turn of the month effect
  • Turn of the year effect
  • Sell in may and go away results
  • Option expiry effects
  • Holiday effects
  • Presidential election  and political effects
  • Kelly type investing
  • Hedging and arbitrage strategies

 

Speaker Bio

Dr William T. Ziemba is the Alumni Professor of Financial Modelling and Stochastic Optimization (Emeritus) at the University of British Columbia and a distinguished visiting associate at the London School of Economics. His research is in asset-liability management, portfolio theory and practice, security market imperfections, Japanese and Asian financial markets, sports and lottery investments and applied stochastic programming.