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This may be a rather silly question, but I'm puzzled that (at least so far as I can tell) all finite fields use modular arithmetic. Is there no other way to construct a finite field than by defining addition and multiplication in terms of the modulo? Why is this so? Is there no other arrangement that will map a set to itself?
I've probably butchered terminology, but stay with me, I'm still rather new to this!
All fields of prime order are isomorphic to the fields $\mathbb Z_p$. However, there are also other finite fields. Given $p$ prime and $n \in \mathbb N$, there is a field $\mathbb F_{p^n}$ of $p^n$ elements - this is quite advanced to prove, and some of these fields can be tricky to construct. We can also show that all finite fields have this form.
We can construct $\mathbb F_4$ as follows: take $\mathbb Z_2$ and add an element $\omega$ such that $\omega^2 + \omega + 1 = 0$ and $\omega^3 = 1$. We can show that the set of elements generated by $\mathbb Z_2 $ and $\omega $ form a field. However, it will not use modular arithmetic, as $\omega$ is not an integer.
$\mathbb F_4$ has elements $\{0,1,\omega, \omega^2\}$; note that $\omega + 1 = - \omega^2 = \omega^2$ (as $1 = -1$).
Recall that $\mathbb Z_p$ is a field if and only if $p$ is prime. There is no "modular arithmetic" field of order $4$.
Finite fields are uniquely determined by their order, and every finite field of prime order $p$ is isomorphic to $\mathbb{Z}/p\mathbb{Z}$. The field $\mathbb{F}_q$ of higher prime power order $q = p^n$ with $n > 1$ is not $\mathbb{Z}/q\mathbb{Z}$, though, (which contains zero divisors); for example, the field $\mathbb{F}_4$ with elements $0, 1, \alpha, \alpha +1$ with $2x = 0$ for all $x\in \mathbb{F}_4$ and multiplication given by $\alpha^2 = \alpha + 1$.
If you're asking whether it's necessarily the case that a finite field $k$ has some integer $n$ with $nx = 0$ for all $x\in k$, then that's true; the minimum positive such $n$ is the characteristic of $k$. The proof is simply that $n.1$ must vanish for some $n$, or else $k$ would contain infinitely many distinct elements $1, 2, \dots$; and thus $n.x = (n.1).x = 0$ for all $x\in k$. (In general, an infinite field need not have nonzero characteristic; take $\mathbb{Q}$, for example.)
Every finite field has size $p^n$, where $p$ is a positive prime and $n$ is a positive integer. Moreover, any two finite fields of the same size are isomorphic.
It's possible to show for any positive integer $n$, there is an irreducible polynomial $\pi(x)$ of degree $n$ in $\mathbb Z_p[x]$. It is then fairly straightforward to show that $\mathbb Z_p[x]/\pi(x)$ is a finite field of size $p^n$. So all finite fields can be constructed in this manner, using modular arithmetic.
