Anomalous impact in reaction-diffusion models
arXiv:1403.3571 · doi:10.1103/PhysRevLett.113.268701
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.
5 pages, 2 figures