English

Anomalous impact in reaction-diffusion models

Statistical Mechanics 2015-01-07 v1 Trading and Market Microstructure

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.

Keywords

Cite

@article{arxiv.1403.3571,
  title  = {Anomalous impact in reaction-diffusion models},
  author = {Iacopo Mastromatteo and Bence Toth and Jean-Philippe Bouchaud},
  journal= {arXiv preprint arXiv:1403.3571},
  year   = {2015}
}

Comments

5 pages, 2 figures

R2 v1 2026-06-22T03:26:53.473Z