This paper presents a programming routine in MATLAB software for applications in calendar effects or anomalies in stock returns. The calendar effects which are tested is the turn-of-the-month, the day-of-the-Week, the month-of-the-Year and the semi-month effect

The purpose of this project is to determine if calendar effects observed in stock markets can be explained by prospect theory. In order to answer this question, I have created an agent based model simulating a stock market. There was no sign of any calendar effect in any of the configurations...