In the phrase "I'm busy with <noun>" (no article), <noun> can be either an uncountable noun or a plural countable noun. "work" in the sense you mean it is uncountable, so "I'm busy with work" is correct. "study" (uncountable) and "studies" (plural countable) are similar in meaning here, and "I'm busy with study" and "I'm busy with studies" both work.
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Mr Wordy "market" is always countable, so "I'm busy with market" is ungrammatical. "I'm busy with markets" is grammatical though somewhat uncommon. Without further context it is not clear what kind of "markets" you are referring to, or whether there might be a more natural way of saying this.I was referring to financial markets.
RazerI was referring to financial markets.
RazerApropos of the "the markets", yes, the listener knows I take interest in financial markets. So I guess I need to use definite article before it?Yes, you should say "I am busy with the markets". In this case, it's easiest to think of "the markets" (= "the financial markets") a