Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Anomalous price impact and the critical nature of liquidity in financial
  markets   We propose a dynamical theory of market liquidity that predicts that the
average supply/demand profile is V-shaped and {\it vanishes} around the current
price. This result is generic, and only relies on mild assumptions about the
order flow and on the fact that prices are (to a first approximation)
diffusive. This naturally accounts for two striking stylized facts: first,
large metaorders have to be fragmented in order to be digested by the liquidity
funnel, leading to long-memory in the sign of the order flow. Second, the
anomalously small local liquidity induces a breakdown of linear response and a
diverging impact of small orders, explaining the "square-root" impact law, for
which we provide additional empirical support. Finally, we test our arguments
quantitatively using a numerical model of order flow based on the same minimal
ingredients.

9
The categories of this paper are: nlin
8
The categories of this paper are: hep-ex
0
The categories of this paper are: hep-ph
25
The categories of this paper are: patt-sol
10
The categories of this paper are: q-bio
7
The categories of this paper are: hep-th
16
The categories of this paper are: stat
18
The categories of this paper are: econ
23
The categories of this paper are: solv-int
11
The categories of this paper are: hep-lat
22
The categories of this paper are: chao-dyn
20
The categories of this paper are: acc-phys
15
The categories of this paper are: nucl-ex
29
The categories of this paper are: funct-an
24
The categories of this paper are: dg-ga
34
The categories of this paper are: chem-ph