Statistical mechanics of nonlinear nonequilibrium financial markets

AbstractAn approach to understanding the nature of markets is modelled using methods of modern nonlinear nonequilibrium statistical mechanics. This permits examination of the premise that markets can be described by nonlinear nonequilibrium Markovian distributions. Corrections to previous nonlinear continuous time models are explicitly presented. A quite general microscopic model is presented of individual agents operating on a market, and explicit relationships are derived between variables describing these agents and the macroscopic market