Market Dynamics of Information Avalanches
Portfolio Management
2026-03-03 v1
Abstract
Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche, governed by a scaling law, is linked to price volatility. While this model of self-organized criticality reproduces stylized facts, it also identifies a structural tension between the non-arbitrage condition and price adjustments consistent with a constant Sharpe ratio.
Cite
@article{arxiv.2603.00361,
title = {Market Dynamics of Information Avalanches},
author = {Bernhard K Meister},
journal= {arXiv preprint arXiv:2603.00361},
year = {2026}
}
Comments
5 pages