Online portfolio selection is a fundamental problem in computational finance, which has
been extensively studied across several research communities, including finance, statistics …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known
calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use …

We evaluate the contribution of Nobel Prize-winner Daniel Kahneman, often in association
with his late co-author Amos Tversky, to the development of our understanding of financial …

This paper provides an exhaustive review of the literature on the characterization of financial
time series. A stylized fact is a term in economics used to refer to empirical findings that are …

The authors performed an out-of-sample test of the sell-in-May effect documented in
previous research. Reducing equity exposure starting in May and levering it up starting in …

Abstract Using GJR-GARCH (1, 1) techniques, we investigate seasonality in stock market
returns of seven Middle East countries. We investigate the calendar time anomalies of the …

This study examines whether the “Sell in May and Go Away”(or Halloween) trading strategy
still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider …

We present broad-based evidence that the monthly payment cycle induces systematic
patterns in liquid markets around the globe. First, we document temporary increases in the …

We examine the cross-sectional January effect among portfolios that long sentiment-prone
and difficult-to-arbitrage stocks and short sentiment-insensitive and easy-to-arbitrage stocks …