Distribution of returns of channel breakout strategy applied to Fourier transform surrogate data versus return of same strategy applied to real data. Thick black line corresponds to returns of real data.

Correlational structure of DJIA components depicted as a minimum spanning tree linked according to a measure of dissimilarity between the returns of two stocks.

Dendrogram showing the hierarchical structure of the S&P 500 Index stocks produced using complete linkage of the city block metric for the returns.

Every major sell-off in the S&P 500 Index is accompanied by a sharp drop in the average relative dispersion and sharp rises in the absolute dispersion and a measure of mean reversion in prices.

Formation of dense stringy clusters in an energy decay of an unforced bidisperse two-dimensional granular gas.

Angular distribution of the impulse imparted to a brazil nut immersed in a vertically vibrated granular gas under gravity. Inset: density inversion in a vibrated granular gas (particles are colored according to the direction of their velocities).

Articles

Monographs

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Return Dispersion and Statistical Arbitrage (2004)

Mathematical Tools for the Practicing Trading Strategist (2004) - download to be available soon

Primer on Merger Arbitrage (2004)

Technical Strategies (2004)

Earnings Momentum Strategies (2002)

Cluster Analysis of Stock Prices (2002)

Papers

D. Serero, I. Goldhirsch, S.H. Noskowicz and M-L. Tan, Hydrodynamics of granular gases and granular gas mixtures, under consideration for publication in J. Fluid Mech. (2005)

M-L. Tan and I. Goldhirsch, Rapid Granular Flows as Mesoscopic Systems - Reply, Phys. Rev. Lett. 82 (22), 4567 (1999)

M-L. Tan and I. Goldhirsch, Rapid Granular Flows as Mesoscopic Systems, Phys. Rev. Lett. 81 (14), 3022-3025 (1998)

M-L. Tan and I. Goldhirsch, Intercluster Interactions in Rapid Granular Shear Flows, Phys. Fluids 9 (4), 856-869 (1997)

I. Goldhirsch and M-L. Tan, The Single Particle Distribution Function for Rapid Granular Shear Flows of Smooth Inelastic Disks, Phys. Fluids 8 (7), 1752-1763 (1996)

M-L. Tan, Microstructures and Macrostructures in Rapid Granular Flows, Ph.D. Thesis, Princeton University (1995)

M-L. Tan, Y. H. Qian, I. Goldhirsch and S.A. Orszag, Lattice-BGK approach to simulating granular flows, J. Stat. Phys. 81 (1/2), 87-103 (1995)

M-L. Tan, I. Goldhirsch and S. A. Orszag, Instability and multistability in rapid granular shear flows, First Asian Computational Fluid Dynamics Conf., Hong Kong, January 1995

Y.H. Qian, M-L. Tan and S.A. Orszag, A Lattice-BGK Model for Miscible Fluids, Proc. of the 5th Int. Symp. on Computational Fluid Dynamics - Sendai, Vo. III, 1993, JSCFD

I. Goldhirsch, M-L. Tan and G. Zanetti, A molecular dynamical study of granular fluids: the unforced granular gas, J. Sci. Comp. 8 (1), 1-40 (1993)

J. E. Gordon, M. L. Tan, R. A. Fisher and N. E. Phillips, Specific heat data of high-Tc superconductors: lattice and electronic contributions, Solid State Communications 69 (6), 625-629 (1989)

N. E. Phillips, R. A. Fisher, S. E. Lacy, C. Marcenat, J. A. Olsen, W. K. Ham, A. M. Stacy, J. E. Gordon and M. L. Tan, Specific heat of the high-Tc superconductors (La, M)2 Cu04 and YBa2Cu3O7 in magnetic fields, Physica 148B, 360-362 (1987)