Recommended books

Seasonality effects and market anomalies reading list

  • Hirsch, J. A., Stock Traders Almanac (10 ed.), 2013, Wiley, [ISBN:978-1118659458]
  • Hirsch, Y., Don’t Sell Stocks on Monday: An Almanac for Traders, Brokers and Stock Market Watchers, 1986, Facts on File, [ISBN:978-0816010448]
  • Keim, D. B. and W. T. Ziemba(Eds.), Security Market Imperfections in World Wide Equity Markets, 2000, Cambridge University Press, [ISBN:978-0521571388]
  • MacLean, L. C., E. O. Thorp, and W. T. Ziemba (Eds.), The Kelly Investment Criterion: Theory and Practice, 2011, World Scientific, [ISBN:978-9814293495]
  • Merrill, A. A., Behavior of Prices on Wall Street (2 ed.), 1984, Analysis Press, [ISBN:978-0911894493]
  • O’Shaughnessy, J., What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time (4 ed.), 2011, McGraw-Hill, [ISBN:978-0071625760]
  • Schwartz, D., Schwartz Stock Market Handbook: Guide on the Best and Worst Times to Buy or Sell Shares (3 ed.), 1998, Burleigh Publishing, [ISBN:9780952396123]
  • Thaler, R. H., The Winner’s Curse: Paradoxes and Anomalies of Economic Life, 1994, Princeton University Press, [ISBN:978-0691019345]
  • Zacks, L., The Handbook of Equity Market Anomalies: Translating Market Inefficiencies into Effective Investment Strategies, 2011, Wiley, [ISBN:978-0470905906]
  • Ziemba, R. E. S. and W. T. Ziemba, Scenarios for Risk Management and Global Investment Strategies, 2007, Wiley, [ISBN:978-0470319246]
  • Ziemba, W. T., Calendar Anomalies and Arbitrage, 2012, World Scientific, [ISBN:978-9814417457]

Background reading list

  • Epstein. R. A., The Theory of Gambling and Statistical Logic (2 ed.), 2012, Academic Press, [ISBN:978-0123978578]
  • Hausch, D. B. and V. S. Y. Lo, W. T. Ziemba, Efficiency of Racetrack Betting Markets, 2008, World Scientific, [ISBN:978-9812819185]
  • Kassouf, A. T. and E. O. Thorp , Beat the Market: A Scientific Stock Market System, 1967, Random House, [ISBN:978-0394424392]
  • Maikiel, B., A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (10 ed.), 2012, W. W. Norton, [ISBN:978-0393340747]
  • Mandelbrot, B., The Misbehavior of Markets: A Fractal View of Financial Turbulence, 2006, Basic Books, [ISBN:978-0465043576]
  • Packel, E., The Mathematics of Games And Gambling (2 ed.), 2006, Mathematical Assn of Amer, [ISBN:978-0883856468]
  • Patterson, S., The Quants: how a new breed of math whizzes conquered Wall Street and nearly destroyed it, 2011, Crown Business, [ISBN:978-0307453389]
  • Poundstone, W., Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street, 2006, Hill and Wang, [ISBN:978-0809045990]
  • Thorp, E. O., Beat the Dealer: A Winning Strategy for the Game of Twenty-One, 1966, Vintage, [ISBN:978-0394703107]
  • Weatherall, J. O., The Physics of Wall Street: A Brief History of Predicting the Unpredictable , 2013, Houghton Mifflin Harcourt, [ISBN:978-0547317274]
  • Zweig, M., Martin Zweig’s Winning on Wall Street, 1997, Warner Books Grand Central Publishing, [ISBN:978-0446672818]
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