Abstract. 

This article is devoted to a very actual and poorly-studied problem of the theory of nonequilibrium financial markets – how they behave when there are arbitrage opportunities on the market and random changes in prices form the Wiener process. For nonequilibrium financial markets under consideration five conditions are accepted: arbitration of the market, abnormality of random assets, inflation and deflation of bubbles, and emergence of crises. To analyze their corresponding behavior, it is proposed in the article to use elements of well-developed cosmological theories, a meaningful interpretation of the main parameters borrowed from them is given (market energy E, etc.). On this basis, useful statements and assumptions are made on fractal analysis of financial crisis, white and black noise, martingale hypothesis.

Keywords: 

money supply, persistence, martingale hypothesis, cluster effect.

PP.49-54.

DOI: 10.14357/20790279200106

 

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