Anomalous Impact in Reaction-Diffusion Financial Models

被引：26

作者：

Mastromatteo, I. ^{[1
]}

Toth, B. ^{[2
]}

Bouchaud, J-P. ^{[2
]}

机构：

[1] Ecole Polytech, Ctr Math Appl, CNRS, UMR7641, F-91128 Palaiseau, France

[2] Capital Fund Management, F-75007 Paris, France

来源：

PHYSICAL REVIEW LETTERS | 2014年 / 113卷 / 26期

关键词：

2-SPECIES ANNIHILATION; REACTION FRONT; ONE-DIMENSION; STEADY-STATE; FLUCTUATIONS; MARKET;

D O I：

10.1103/PhysRevLett.113.268701

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We generalize the reaction-diffusion model A + B -> empty set 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.

引用

页数：5

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