Anomalous impact in reaction-diffusion models

Iacopo Mastromatteo, Bence Toth and Jean-Philippe Bouchaud

Papers from arXiv.org

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.

Date: 2014-03
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Citations: View citations in EconPapers (6)

Published in Phys. Rev. Lett. 113, 268701 (2014)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1403.3571

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