  Motivated by empirical observations on the interplay of trends and reversion,
a lattice gas model of financial markets is presented. The shares of an asset
are modeled by gas molecules that are distributed across a hidden social
network of investors. The model is equivalent to the Ising model on this
network, whose magnetization represents the deviation of the asset price from
its value. Moreover, the system should drive itself to its critical temperature
in efficient markets. There, it is characterized by universal critical
exponents, in analogy with the second-order phase transition between water and
steam. These critical exponents imply predictions for the auto-correlations of
financial market returns and for Hurst exponents. For a simple network
topology, consistency with empirical observations implies a fractal network
dimension near 3, and a correlation time at least as long as the economic cyle.
To also explain the observed market auto-correlations at intermediate scales,
the model should be extended beyond the critical domain, to other network
topologies, and to other models of critical dynamics.
