2014/03/14 by Iacopo Mastromatteo, Bence Toth, Jean-Philippe Bouchaud · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #cond-mat.stat-mech #q-fin.TR
paper · pdf · doi:10.1103/physrevlett.113.268701
published as Phys. Rev. Lett. 113, 268701 (2014) · 5 pages, 2 figures
arxiv created 2014/03/14 · arxiv updated 2015/01/07
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.