William T Ziemba Livres

The study of security market imperfections, namely the predictability of equity stock returns, is one of the fundamental research areas in financial modelling. These anomalies, which are not consistent with existing theories, concern the relation between stock returns and variables, such as firm size and earnings-to-price ratios, and seasonal effects, such as January and turn-of-the-month. This book provides the most complete and current account of work in the area. Leading academics and investment researchers have combined to produce a comprehensive coverage of the subject, including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction models that have been used by institutional investors. The studies cover many worldwide markets including the US, Japan, Asia, and Europe. The book will be invaluable for courses in financial engineering, investment and portfolio management, and as a reference for investment professionals seeking an up-to-date source on return predictability.

Focusing on the evolution and complexity of financial markets, the author, a seasoned trader and winner of a prestigious trading contest, offers insights on navigating today’s challenging environment. By sharing real-life examples and experiences, he provides valuable strategies for readers of all levels to protect their assets and achieve success. Notably, he discusses his pioneering work with January effect trades in futures markets since 1982, illustrating the transition from simpler to more intricate market dynamics.

Exploring the phenomenon of stock market crashes, this book delves into the nature of bubbles—periods of inflated prices that exceed fundamental values. It examines the conditions that lead to these bubbles, offers predictive models for potential declines, and discusses effective exit strategies. Additionally, it provides a historical overview of significant market bubbles spanning centuries, enriching the reader's understanding of financial cycles and the behaviors that drive market volatility.

Focusing on investment management and trading strategies, this collection features articles from the Journal of Portfolio Management spanning over two decades. It delves into the methodologies and evaluations of successful investors while addressing critical topics like portfolio selection errors, stock market anomalies, and evaluation theory. Designed for investors, financial experts, and students, it serves as an essential resource for understanding complex investment concepts and improving portfolio performance.

Focusing on calendar anomalies in global equity markets, this book provides an in-depth analysis of various phenomena such as the January effect, turn-of-the-month trends, and seasonal patterns. It emphasizes the application of these anomalies in futures markets and explores modified buy-and-hold strategies influenced by factors like presidential elections and fundamental anomalies. The author shares insights from personal and managed accounts, highlighting successful strategies used in hedge funds, making it a valuable resource for investors seeking to enhance their trading approaches.

Exotic Betting at the Racetrack is unique as it covers the efficient-inefficient strategy to price and find profitable racetrack bets, along with handicapping that provides actual bets made by the author on essentially all of the major wagers offered at US racetracks. The book starts with efficiency, accuracy of the win odds, arbitrage, and optimal betting strategies. Examples and actual bets are shown for various wagers including win, place and show, exacta, quinella, double, trifecta, superfecta, Pick 3, 4 and 6 and rainbow pick 5 and 6. There are discussions of major races including the Breeders' Cup, Pegasus, Dubai World Cup and the US Triple Crown from 2012-2018. Dosage analysis is also described and used. An additional feature concerns great horses such as the great mares Rachel Alexandra, Zenyatta, Goldikova, Treve, Beholder and Song Bird. There is a discussion of horse ownership and a tour through arguably the world's top trainer Frederico Tesio and his stables and horses in Italy.

Acknowledgments -- Beginning -- The early days in Adams and University of 4 Massachusetts in Amherst -- Reminiscences of the early days in Berkeley -- The start of a new department in Vancouver -- What is Japan doing right to get all that -- Money? : will they lose it? -- The bond-stock earnings yield crash -- Prediction model -- Arbitrage and risk arbitrage -- Bill Benter letter -- Scenario optimization in action : the Russell -- Yasuda Kasai financial planning model -- Anomalies research at Frank Russell, 1989-1998 -- Risk management and planning in the Vienna -- Siemens pension model, InnoALM -- Evaluating the greatest investors -- How to lose money in derivatives and some who did -- Trend following in the Bahamas -- The internet bubble crash, 2000-2002 -- The US housing bubble, credit crisis, crash and recovery 2006 to 2015 -- The flash crash and high frequency trading -- The Greek crisis and why it is important -- Inefficiencies and anomalies : other crashes and how they fit the models -- Dealing with Madoff and other swindlers -- An adventure in the bed and breakfast business, British Columbia real estate over the years -- Tries in the horse ownership business -- Travels to universities and academic and professional conferences over the years -- Epilog -- Bibliography.--back cover.