One book I would wholeheartedly recommend to anyone having serious problems with mainstream financial theory and more generally with what is known as neo-classical economics but needing a new conceptual framework to work with is The Origin of Wealth (Evolution, Complexity, and the Radical Remaking of Economics) by Eric Beinhocker.

Excerpt:

"First, a substantial body of empirical and experimental evidence shows that real-world investors look nothing like their theoretical, perfectly rational counterparts. Investors do not discount in the way traditional theory assumes; they have various biases regarding risk, are subject to framing errors in processing information, and use heuristics to make decisions. (....)

Second, Bachelier was wrong. Markets do not follow a random walk. (...)"

Regarding this last point, I've already mentioned the work of Andrew Lo from MIT. Beinhocker goes deeper in presenting Lo's incessant work since his seminal 1986 paper (Lo, MacKinlay) to convince the remaining die-hard random walkers of what even Burton Malkiel has admitted in the seventh edition of his classic A Random Walk Down Wall Street: that markets do not, in fact, follow a random walk.

Beinhocker goes on to introduce a new paradigm much more adept at modelling the financial markets: the markets as adaptive evolving ecosystems.

The tools and science of evolution and biology (and more generally of complex adaptive systems) are found to be a much better conceptual and theoretical fit when it comes to markets than those of equilibrium physics.

More on that in a later post.