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arxiv: 1403.3571 · v1 · submitted 2014-03-14 · ❄️ cond-mat.stat-mech · q-fin.TR

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Anomalous impact in reaction-diffusion models

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classification ❄️ cond-mat.stat-mech q-fin.TR
keywords impactmodelfrontreactionreaction-diffusionsquare-rootanomalousargue
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We generalize the reaction-diffusion model A + B -> 0 in order to study the impact of an excess of A (or B) at the reaction front. We provide an exact solution of the model, which shows that linear response breaks down: the average displacement of the reaction front grows as the square-root of the imbalance. We argue that this model provides a highly simplified but generic framework to understand the square-root impact of large orders in financial markets.

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