Recognition: unknown
Anomalous impact in reaction-diffusion models
classification
❄️ cond-mat.stat-mech
q-fin.TR
keywords
impactmodelfrontreactionreaction-diffusionsquare-rootanomalousargue
read the original abstract
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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