Start by creating a circle using elliptical shape tool.

Enable subtract form shape area form the top bar.

Create a circle in the first circle using elliptical shape tool.

Similarly create some more circles as shown in the image below.

Press Ctrl+T. Right click the layer and select warp. Select fish eye from the warp presets. Apply settings as shown.

Duplicate the layer. From filter menu select blur>>radial blur. Apply settings as shown.

Duplicate the layer and press Ctrl+F to reapply the filter.

Duplicate the layer again. Press Ctrl+F twice.

Duplicate the shape layer and rotate 45°.

Duplicate both the shape layers. Scale them up.

Select each shape layer and change their color as shown in the image below.

Fill the background with black color.

Select each blurred layer and press Ctrl+I to inverse the color. Select all the blurred layer and move them above all the layers in layer palette in layer order.

Select all the layers. Press Ctrl+T. Scale down as shown in the image. Merge all the shape layers.

From filter menu select artistic>>neon glow. Apply settings as shown.

Duplicate the layer. Double click the layer to open layer style window. Apply layer style with the settings shown.

Duplicate the layer. Double click the layer to open layer style window and change the outer glow settings as shown.

Select and merge all the blurred layer. Apply the same layer style to the blurred layer.

Ctrl+Click the original shape layer thumbnail to get the selection. From select menu apply modify>>contract. Contract the selection by 2 pixels.

Create a new layer and fill it with black to white linear gradient.

Change the layer mode to color dodge.

Select the original layer. Duplicate the layer and hide it. Select all other shape layers and invert their colors by pressing Ctrl+I for each layer.

Duplicate the top shape layer and scale it up.

Unhide the original shape layer.

From layer menu select new adjustment layer hue/saturation. Apply settings as shown.