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Publications of William T Ziemba

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  2. Publications of William T Ziemba

Discussion Papers

Using a mean changing stochastic processes exit-entry model for stock market long-short prediction

Stochastic processes is one of the key operations research tools for analysis of complex phenomenon. This paper has a unique application to the study...

June 2021
DP 109
Sebastien Lleo
Mikhail N. Zhitlukhin
William T Ziemba

Discussion Papers

Parimutuel betting markets: racetracks and lotteries revisited

This paper surveys the state of the art in research in racetrack and lottery markets. Market efficiency and the pricing of various wagers is studied...

September 2020
DP 103
William T Ziemba

Special Papers

Sell in May and Go Away in the Equity Index Futures Markets, 1993-2019

The period May 1 to the turn of the month of November (-6 trading day of October) has historically produced negligible returns. The rest of the year...

January 2020
SP 17
Constantine Dzhabarov
William T Ziemba

Discussion Papers

A Tale of Two Indexes: Predicting Equity Market Downturns in China

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

September 2018
DP 82
Sebastien Lleo
William T Ziemba

Discussion Papers

A Tale of Two Indexes: Predicting Equity Market Downturns in China

Predicting stock market crashes is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly...

August 2017
DP 72
Sebastien Lleo
William T Ziemba

Discussion Papers

Does it Pay to Buy the Pot in the Canadian 6/49 Lotto: Implications for Lottery Design

The Canadian 6/49 Lotto©, despite its unusual payout structure, is one of the few government sponsored lotteries that has the potential for a...

February 2017
DP 64
Steven D. Moffitt
William T Ziemba

Discussion Papers

A response to Professor Paul A. Samuelson's objectionxs to Kelly capital growth investing

The Kelly Capital Growth Investment Strategy maximizes the expected utility of final wealth with a Bernoulli logarithmic utility function. In 1956...

January 2016
DP 52
William T Ziemba

Special Papers

The Swiss Black Swan Bad Scenario: Is Switzerland Another Casualty of the Eurozone Crisis

Financial disasters to hedge funds, bank trading departments and individual speculative traders and investors seem to always occur because of non...

August 2015
SP 8
Sebastien Lleo
William T Ziemba

Discussion Papers

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting...

September 2014
DP 21
Sebastien Lleo
William T Ziemba

Discussion Papers

Land and Stock Bubbles, Crashes and Exit Strategies in Japan Circa 1990 and in 2013

We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is...

August 2014
DP 20
Albert N. Shiryaev
Mikhail N. Zhitlukhin
William T Ziemba

Discussion Papers

Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High P/E Models?

In this paper, we extend the literature on crash prediction models in three main respects. First, we relate explicitly crash prediction measures and...

August 2014
DP 18
Sebastien Lleo
William T Ziemba

Discussion Papers

Optimal Capital Growth with Convex Shortfall Penalties

The optimal capital growth strategy or Kelly strategy, has many desirable properties such as maximizing the asympotic long run growth of capital...

July 2014
DP 15
Leonard C. MacLean
Yonggan Zhao
William T Ziemba

Special Papers

How to lose money in derivatives: examples from hedge funds and bank trading departments

What makes futures hedge funds fail? The common ingredient is over betting and not being diversified in some bad scenarios that can lead to disaster...

May 2014
SP 2
Sebastien Lleo
William T Ziemba

Discussion Papers

When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model

In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price...

November 2013
DP 5
Albert N. Shiryaev
Mikhail N. Zhitlukhin
William T Ziemba

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