The Curious Case of Non-Equilibrium Finance
Mike Lipkin





Abstract. 
When markets are shocked, they can exhibit "high"-frequency price
fluctuations. Equilibrium thinking, in other words classical finance, fails
here. In particular converse trading strategies can both make money.

A useful theoretical approach is to partition the price/trading space by
frequency. We show evidence for viewing these conditions from the paradigm
of physical turbulence.

(This is work with T. Leung)