  In the domain of the so called Econophysics some attempts already have been
made for applying the theory of Thermodynamics and Statistical Mechanics to
economics and financial markets. In this paper a similar approach is made from
a different perspective, trying to model the limit order book and price
formation process of a given stock by the Grand-Canonical Gibbs Ensemble for
the bid and ask processes. As a consequence we can define in a meaningful way
expressions for the temperatures of the ensembles of bid orders and of ask
orders, which are a function of maximum bid, minimum ask and closure prices of
the stock as well as of the exchanged volume of shares. It is demonstrated that
the difference between the ask and bid orders temperatures can be related to
the VAO (Volume Accumulation Oscillator) indicator, empirically defined in
Technical Analysis of stock markets. Furthermore the distributions for bid and
ask orders derived by the theory can be subject to well defined validations
against real data, giving a falsifiable character to the model.
