The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics)
by Johannes Voit
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Recommendations on The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics)

Recommendations from domain experts (curated by Highlyreco)

Nassim Nicholas Taleb's Review:

Very useful book, particularly in what concerns alternative L-Stable distributions. True, not too versed in financial theory but I'd rather see the author erring on the side of more physics than mathematical economics. As an author I don't ask much from books, just to deliver what they indend. This one does.
Clear historical description of Einstein/Bachelier. Hopefully one day we will call derivatives pricing the Bachelier valuation.
The book in short provides an excellent perspective on the statistical approach to asset price dynamics. Very clear and to the point.
Nassim Nicholas Taleb

Ref: https://www.amazon.com/gp/review/R2F2HJ18FZJVGG?ref_=glimp_1rv_cl

Nassim Nicholas Taleb's Review:

Very useful book, particularly in what concerns alternative L-Stable distributions. True, not too versed in financial theory but I'd rather see the author erring on the side of more physics than mathematical economics. As an author I don't ask much from books, just to deliver what they indend. This one does.
Clear historical description of Einstein/Bachelier. Hopefully one day we will call derivatives pricing the Bachelier valuation.
The book in short provides an excellent perspective on the statistical approach to asset price dynamics. Very clear and to the point.
Ref: https://www.amazon.com/gp/review/R2F2HJ18FZJVGG?ref_=glimp_1rv_cl