Multimillion-atom molecular dynamics simulations are used to investigate burning behavior of a chain of three alumina-coated aluminum nanoparticles (ANPs), where particles one and three are heated above the melting temperature of pure aluminum. The mode and mechanism behind the heat and mass transfer from the hot ANPs (particles one and three) to the middle, cold ANP (particle two) are studied. The hot nanoparticles oxidize first, after which hot Al atoms penetrate into the cold nanoparticle. It is also found that due to the penetration of hot Al atoms, the cold nanoparticle oxidizes at a faster rate than in the initially heated nanoparticles. The calculated speed of penetration is found to be 54 m/s, which is within the range of experimentally measured flame propagation rates. As the atoms penetrate into the central ANP, they maintain their relative positions. The atoms from the shell of the central ANP form the first layer, which is followed by the atoms from the shell of the outer ANP making the second layer and lastly the atoms from the core of the outer ANPs form the third layer. In addition to heating the central ANP by convection, the ejected hot Al atoms from the outer ANPs initiate exothermic oxidation reactions inside the central ANP, leading to further heating within the central ANP. During 1 ns, all three ANPs fuse together, forming a single ellipsoidal aggregate.