Anomalous impact in reaction-diffusion financial models.

@article{Mastromatteo2014AnomalousII,
  title={Anomalous impact in reaction-diffusion financial models.},
  author={I. Mastromatteo and B. T{\'o}th and J. Bouchaud},
  journal={Physical review letters},
  year={2014},
  volume={113 26},
  pages={
          268701
        }
}
  • I. Mastromatteo, B. Tóth, J. Bouchaud
  • Published 2014
  • Medicine, Physics, Economics
  • Physical review letters
  • 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 the 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. 

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