What type of interaction allows the sidewalk to heat up and cook the egg?  

Adsorption

Explanation:

Sidewalk cooking of egg is very popular in America. In summer people release fireworks in night sky and cook egg on the concrete sidewalk to check the level of temperature. When sunlight fall on the sidewalk most of the light is reflected back but some darker material adsorbs some photon, and when these photons are transferred to egg molecules it causes vibration among them and produce heat and cook egg.

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