  Markets have internal dynamics leading to excess volatility and other
phenomena that are difficult to explain using rational expectations models.
This paper studies these using a nonequilibrium price formation rule, developed
in the context of trading with market orders. Because this is so much simpler
than a standard inter-temporal equilibrium model, it is possible to study
multi-period markets analytically. There price dynamics have second order
oscillatory terms.
  Value investing does not necessarily cause prices to track values. Trend
following causes short term trends in prices, but also causes longer-term
oscillations. When value investing and trend following are combined, even
though there is little linear structure, there can be boom-bust cycles,excess
and temporally correlated volatility, and fat tails in price fluctuations. The
long term evolution of markets can be studied in terms of flows of money.
  Profits can be decomposed in terms of aggregate pairwise correlations.
  Under reinvestment of profits this leads to a capital allocation model that
is equivalent to a standard model in population biology. An investigation of
market efficiency shows that patterns created by trend followers are more
resistant to efficiency than those created by value investors, and that profit
maximizing behavior slows the progression to efficiency. Order of magnitude
estimates suggest that the timescale for efficiency is years to decades.
