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# Deformation quantization as the origin of D-brane non-Abelian degrees of freedom

## I Introduction

Soon after Polchinski’s identification of D-branes as the nonperturbative objects in perturbative string theory that carry Ramond-Ramond charge, Witten argued that the low-energy effective action for the dynamics of nearly coincident D-branes should be appropriate dimensional reductions of supersymmetric Yang-Mills(sYM) theory in ten dimensions. An exciting aspect of this identification was the fact that the transverse spacetime coordinates describing coincident D-branes metamorphosed into Hermitian matrices, the adjoint scalars in the dimensional reduction of sYM theory. Witten’s argument was based on supersymmetry, specifically the BPS property of parallel D-branes. This appearance of non-Abelian structure in spacetime coördinates was the first indication in the context of a perturbatively consistent theory of quantum gravity that spacetime might have some intrinsic non-commutativity.

Following seminal work by Sen on the construction of non-BPS D-branes as solitons on the world-volumes of D-brane–anti-D-brane pairs, and other earlier work, Witten suggested that D-brane charge should be classified by the compactly supported elements in the $`K`$-theory of spacetime. Since $`K`$-theory deals with vector bundle equivalences, these constructions provide hints of non-Abelian degrees of freedom in D-brane physics, but no connection to deformation quantization. On the other hand, Moore and Witten argued that Ramond-Ramond fluxes should be classified by $`K`$-theory with an appropriate suspension of spacetime, an interpretation which received strong independent support.

Finally, following pioneering work of Connes, Douglas and Schwarz, Seiberg and Witten showed that non-commutativity appeared in open string theory via a deformation quantization interpretation of the effects of a large constant $`B`$ field on the worldvolume of a D-brane. This non-commutativity seems to have nothing to do with the non-Abelian character of the gauge theories relevant for D-brane physics mentioned above, though  finds an intriguing connection in the presence of a large $`B`$ field.

This ‘historical’ sketch is an attempt to set the stage for the present paper. I argued in  that D-brane charges should take values in $`K`$-homology instead of $`K`$-theory essentially based on covariance with the original description of D-brane physics. I suggested $`KK`$-theory as the appropriate framework for classifying configurations with both Ramond-Ramond charges and fields present.

The aim here is to show how non-Abelian degrees of freedom arise from deformation quantization by linking D-brane charges to $`K`$-homology.

## II Outline

In this section I outline the argument for the connection mentioned above. Requisite details are given in later sections.

I first construct a map from the Grothendieck $`K`$-group of coherent sheaves to $`K`$-homology. (Sharpe was the first to note the relevance of the $`K`$-theory of coherent sheaves in the context of D-branes.) The first fact needed is that coherent sheaves are pushed-forward under morphisms of varieties. The coherent sheaf $`K`$-groups, which we denote $`G^{}(A),`$ where $`A`$ is the ring of interest, transforms covariantly under morphisms of varieties and as such we expect that there should be a map from $`G^{}(A)`$ to the $`K`$-homology of the variety, just as there is a dual map from the $`K`$-theory of locally free sheaves (equivalent to algebraic or analytic vector bundles) to the topological $`K`$-theory. I have not been able to find a direct treatment of this map from coherent sheaves to $`K`$-homology cycles in the mathematics literature, so I will give a direct construction later. The map from projective resolutions of structure sheaves of subvarieties to $`K`$-theory is, of course, well-known.

The important point about coherent sheaves is that they are supported on algebraic subvarieties. Thus, for example, on the real line considering the ring of polynomials $`R`$ and the ideal of functions that vanish at $`x=0`$ to order $`N,`$ $`R/(x^N)`$ is a coherent sheaf on the real line which vanishes everywhere except for the stalk over $`x=0.`$ This brings us to our second fact: Merkulov showed that the deformation quantization of the function algebra associated to this ‘$`N`$-tuple point’ is the algebra of $`N\times N`$ matrices. The deformation parameter of physical interest is real, not imaginary as is the mathematicians’ wont, which results in the appropriate algebra being the complex $`N\times N`$ matrices, with the physically appropriate real section being that of Hermitian matrices.

Since the appearance of Merkulov’s paper, it has been a puzzle as to how this calculation fits in with D-brane physics, since there was no context in which D-branes were naturally described in terms of algebraic equations defining subvarieties. Now, finally, we bring these facts together by noting that if, as argued in  on grounds of covariance, D-brane charge is classified by $`K`$-homology, there is a direct link between the deformation quantization of coherent sheaves associated to $`K`$-homology cycles and the appearance of non-Abelian degrees of freedom on D-brane worldvolumes. I should note that this is not the application suggested in .

According to the construction given here, there is a canonical way of computing the operator algebra associated with a given D-brane configuration on any algebraic variety. The matrix model description of intersecting branes on a variety is an especially interesting special case. In the case that D-brane worldvolumes are non-compact (as is usual for D$`p`$-branes ($`p0`$) in Minkowski space, for example), a more appealing formalism for describing D-branes is in terms of a family (parametrized by the worldvolume) of transverse $`K`$-homology cycles. The geometry of the large $`N`$ limit is that of a deformation quantization of the formal completion of the ambient variety along the support of the coherent sheaf. These topics are discussed in the last section.

Now for the details with no pretence at mathematical sophistication.

## III Coherent sheaves to $`K`$-homology

 reviewed the Grothendieck constructions in the context of $`K`$-theory and D-branes, but the emphasis was on smooth projective varieties where Poincaré duality gives an isomorphism between the groups $`K_{}(A)`$ and $`G^{}(A).`$ In the physically interesting situation of non-compact manifolds there is no canonical isomorphism between these groups. The non-compact case leads to another motivation for identifying D-brane charge with $`K`$-homology: Recall that the homology of singular chains and de Rham cohomology with compact supports are isomorphic, and that the duals of compactly supported de Rham cohomology groups are isomorphic to de Rham cohomology groups without assumptions of finiteness or compactness. According to Witten, D-brane charge is also most naturally measured in terms of compactly supported (in transverse directions) $`K`$-theory classes, so one can again argue for $`K`$-homology as the appropriate group.

Before giving the construction of $`K`$-homology cycles from coherent sheaf data, I recall the definition of these cycles. (A more compact form of the following definition would be in terms of $`𝐙_2`$ graded objects.) A cycle in $`K^0(A),`$ the $`K`$-homology group of the algebra $`A,`$ is specified by two Hilbert spaces $`_{0,1},`$ a linear map $`\mathrm{\Theta }:_1_0,`$ and representations $`\varphi _i`$ of $`A`$ on $`_i,i=1,2.`$ These are linked by requiring that for any $`a`$ in $`A,`$ the operators

$$\varphi _0(a)\mathrm{\Theta }\mathrm{\Theta }\varphi _1(a),\varphi _0(a)(\mathrm{\Theta }\mathrm{\Theta }^{}1),\mathrm{and}\varphi _1(a)(\mathrm{\Theta }^{}\mathrm{\Theta }1)$$
(1)
are all compact operators. For orientation, on a non-compact manifold $`X`$ a possible choice for $`A`$ is the algebra of continuous bounded functions that vanish at infinity, $`C_0(X),`$ and the Hilbert spaces could be the spaces of $`L^2`$ sections of two vector bundles $`E_i,i=0,1`$ on $`X,`$ with the obvious action of continuous functions on sections of vector bundles by pointwise multiplication. It is important in this non-compact context to notice that we are not assuming that $`\mathrm{\Theta }`$ is Fredholm.

A coherent sheaf is a sheaf that has a projective resolution by locally free sheaves. This means there is an exact sequence

$$\mathrm{}_n\mathrm{}_0𝒮0$$
(2)
where the sheaves $`_i`$ are sheaves of sections of vector bundles. Coherent sheaves over varieties therefore have the possibility of being compactly supported, since the dimension of the stalks of $`𝒮`$ is related to the rank of the linear maps between $`_i.`$ We therefore compute the values of determinants of submatrices of these maps, and the zeros of these determinants determine the support of $`𝒮.`$ (Coherent sheaves can be defined much more generally, not just on analytic or algebraic varieties. Their description in terms of finitely generated modules defined by a finite set of relations is appropriate in general.)

An alternative local characterization of a coherent sheaf that we will use is the following: Locally a coherent sheaf has a projective resolution by free modules

$$𝒪^n\stackrel{\sigma }{}𝒪^m𝒮0$$
(3)
where $`𝒪`$ is the sheaf of (germs of) holomorphic functions. These local resolutions do not necessarily fit together globally, hence the need for the general characterization given in (2). Now, by extending with the identity map, we can take (3) to be of the form

$$𝒪^{\mathrm{}}\stackrel{\widehat{\sigma }}{}𝒪^{\mathrm{}}𝒮0$$
(4)
where we assume that $`\widehat{\sigma }1`$ is of finite rank.

We now go out of the algebraic or analytic category and consider a partition of unity subordinate to these local projective resolutions (4). Since we want to construct a map to $`K`$-homology, we expect to lose the algebraic structure in any case, so this is acceptable. By polynomial approximation in each patch, we extend $`\widehat{\sigma }`$ to smooth sections. Finally we recall that Hilbert bundles are trivial since the infinite unitary group is contractible so we encounter no obstructions in patching these local projective resolutions together to obtain a global resolution of $`𝒮`$ by sheaves of sections of Hilbert bundles $`E_i`$

$$\mathrm{\Gamma }(E_1)\mathrm{\Gamma }(E_0)𝒮0,$$
(5)
picking arbitrary Hermitian metrics on the fibres. We restrict ourselves now to a coherent sheaf $`𝒮`$ such that the support of $`𝒮`$ is strictly contained in the variety $`X.`$ Then $`\widehat{\sigma }`$ extends to a map $`\mathrm{\Theta }`$ from the Hilbert space of $`L^2`$ sections of $`E_1`$ to the Hilbert space of $`L^2`$ sections of $`E_0`$ which is almost everywhere the identity. Since the whole construction is local, the action of $`\mathrm{\Theta }`$ commutes with that of pointwise multiplication by functions in $`C_0(X).`$ Finally while we do not expect $`\mathrm{\Theta }\mathrm{\Theta }^{}1`$ or its adjoint to be compact for $`X`$ non-compact, we do expect (1) to be satisfied with the restriction that the support of $`𝒮`$ is strictly contained in $`X.`$

It seems straightforward to argue that the map from coherent sheaf data to $`K`$-homology data we have just constructed is well-defined in going to $`K`$-homology since we allow ourselves the use of smooth homotopies even though a short exact sequence of coherent sheaves

$$0𝒮^{}𝒮𝒮^{\prime \prime }0$$
(6)
does not necessarily split algebraically or analytically. Thus we have finished constructing a map from coherent sheaves to $`K`$-homology, and can therefore think of $`K`$-homology cycles as being associated with subvarieties in $`X`$ that arise as the support of coherent sheaves. This is more data than just specifying a subvariety as a homology cycle.

## IV Deformation quantization of coherent sheaves

I turn now to a brief recapitulation of Merkulov’s calculation. Consider the $`N`$-tuple point, the solution of the equation $`x^N=0`$ on the affine real line. The cotangent bundle has a canonical symplectic structure so the complexified algebra of functions on this phase space, extended to formal power series in the deformation parameter, can be deformed via the Moyal product:

$$fg(x,p)\mathrm{exp}\left(\frac{i\mathrm{}}{2}\left[\frac{^2}{p\stackrel{~}{x}}\frac{^2}{\stackrel{~}{p}x}\right]\right)f(x,p)g(\stackrel{~}{x},\stackrel{~}{p})|_{(x,p)=(\stackrel{~}{x},\stackrel{~}{p})}.$$
(7)
The obvious projection $`\pi `$ from the phase space to the real line leads to a pullback of the ideal generated by $`x^N`$ in the algebra of functions on the line. The ideal $`I_N`$ in the deformed algebra consists of elements of the form $`g(x,p)\pi ^{}(x^N).`$ The normalizer $`𝒩_N`$ of this ideal is

$$𝒩_N\{f(x,p):\pi ^{}(x^N)f\mathrm{is}\mathrm{in}I_N\}.$$
(8)
The point of introducing the normalizer is that $`I_N`$ is a two-sided ideal inside $`𝒩_N.`$ We can therefore construct the quotient algebra. Finally, by explicit computation, Merkulov showed that $`𝒩_N/I_N`$ is isomorphic to the algebra of $`N\times N`$ complex matrices, with the induced product in the quotient algebra mapping into matrix multiplication.

A remarkable fact about this construction is that the induced product is meromorphic in $`\mathrm{}.`$ The reason for this is interesting, since naïvely one might have supposed that the functions on phase space would be generated by monomials of the form $`x^ip^j,0i,jN1.`$ This is not however the case and there are terms with higher powers of $`p`$ present. For example, the general element in the quotient algebra $`𝒩_2/I_2`$ is

$$ha+b(p+\frac{i}{\mathrm{}}p^2x)+(c+dp)x,$$
(9)
with $`a,b,c,d`$ complex numbers. By dimensional analysis, the higher power of $`p`$ in (9), $`bp^2x`$ must be accompanied by an appropriate negative power of $`\mathrm{}.`$ In other words, the $`N`$-tuple point is a well-behaved quantum system with no classical phase space Poisson algebra. The reader surprised by the appearance of terms singular as $`\mathrm{}0`$ may wish to look at other examples.

Merkulov’s construction is much more general than the example I have reviewed. As I mentioned earlier, the difficulty in utilizing this construction in matrix models of D-brane dynamics arises because a priori there is no reason to associate D-branes with solutions of algebraic equations. However, in light of our association of D-brane charge with $`K`$-homology, and the construction above of $`K`$-homology cycles from coherent sheaves, we see a natural application of Merkulov’s idea. Namely, the deformation quantization of the coherent sheaf associated with a $`K`$-homology cycle is the operator algebra of interest.

$`K`$-theory is invariant under deformation quantization, a fact used in  to understand D-brane phase transitions in $`K`$-theory. It is reasonable to expect then that the homology theory dual to $`K`$-theory, i.e. $`K`$-homology, will also be invariant.

To formalize the deformation quantization version of the $`K`$-homology cycle, we now take $`_iL^2(T^{}𝐑)𝒩_N,i=0,1`$ and the operator $`\mathrm{\Theta }`$ to be an appropriate bounded version of multiplication by $`x^N,`$ for example:

$$\mathrm{\Theta }:f(x,p)\pi ^{}(x^N/(1+x^{2N})^{1/2})f(x,p).$$
(10)
(The definition of $`𝒩_N`$ in (8) needs appropriate modification of course.) The algebra of interest in this case is $`AC_0(𝐑).`$ We need to check that the representation of this algebra on $`𝒩_N`$ is actually a representation, in other words for all $`a`$ in $`A`$ and $`f`$ in $`𝒩_N,`$ $`\pi ^{}(a)f`$ is in $`𝒩_N.`$ This is trivially verified using the associativity of the $``$ product and the definition of $`𝒩_N.`$ Finally this representation of $`A`$ on $`_i`$ commutes with the operator $`\mathrm{\Theta }.`$

## V Superconnections, families and formal completions

There is, of course, more to D-branes than just the appearance of matrix degrees of freedom. It is easy to see that an $`N`$-tuple point on a plane, for example, will lead to an algebra of two independent matrices and so on. Thus coïncident D(-1)branes are easily described in this framework. Further, for a D-brane wrapped on a cycle in a compact variety, we get an operator algebra description that is not described in terms of matrices parametrized by a worldvolume, but instead directly in terms of an operator algebra including the worldvolume.

For a non-compact worldvolume, it is more appropriate to think of a family, parametrized by the worldvolume, of operator algebras describing the transverse geometry. The operator $`\mathrm{\Theta }`$ is now parametrized by the worldvolume and is combined in a superconnection with a connection $`:_i_i.`$ It is a great deal simpler to work throughout with a $`𝐙_2`$-graded formalism as set out in . This would lead us quite far from the main point of this paper so I will address this elsewhere.

I want to briefly address perhaps the most interesting aspect of this formalism, which is to relate the coupling of Ramond-Ramond fields to D-brane worldvolumes to the pairing between $`K`$-theory and $`K`$-homology. Just as $`K`$-theory classes are represented as cohomology classes via the Chern homomorphism, algebraic $`K`$-theory classes are represented as cyclic homology cycles and $`K`$-homology cycles are represented via the dual Chern homomorphism as cyclic cohomology cocycles. To get an intuitive idea for what is involved in this, recall that

$$_v=\text{d}\iota _v+\iota _v\text{d}.$$
(11)
The Chern-Simons coupling as usually described in the literature takes the form

$$_V\text{tr}\mathrm{exp}(F+\iota _\varphi ^2)\varphi ^{}C$$
(12)
where (abusing notation) $`\varphi ^{}C`$ is the pullback of the spacetime Ramond-Ramond potential to the worldvolume of the D-branes with $`\varphi `$ describing the fluctuation of the D-brane worldvolume in the transverse directions (in the absence of a $`B`$ field). Computing $`(D+\iota _\varphi )^2,`$ where $`D=\text{d}+A,`$ we find

$$(D+\iota _\varphi )^2=F+\iota _\varphi ^2+\widehat{}_\varphi ,$$
(13)
where $`\widehat{}`$ is a gauge covariant Lie derivative. The integral in (12) is over the worldvolume $`V`$ so we can try to think of it as

$$_V\text{tr}\mathrm{exp}(F+\iota _\varphi ^2)\mathrm{exp}(\widehat{}_\varphi )C$$
(14)
and hence in the form

$$_V\text{tr}\mathrm{exp}((D+\iota _\varphi )^2)C,$$
(15)
where we have ignored the fact that the operators involved do not commute. Nevertheless, the correct form of (15) appears to be the JLO-cocycle as represented in .

Finally, a geometric picture of the large $`N`$ limit emerges from the representation of D-branes given in this paper. Recall a standard construction in algebraic geometry: If a subvariety is defined by the vanishing of some ideal of functions $`I`$ then the $`N^{\mathrm{th}}`$ infinitesimal neighbourhood of a subvariety is defined by the vanishing of $`I^N.`$ The formal completion of these infinitesimal neighbourhoods is analogous to the construction of $`p`$-adic numbers from the integers. Thus, the geometric meaning: The large $`N`$ limit of D-brane physics is the deformation quantization of the formal completion.

Acknowledgements: I am indebted to S. Gukov and R.C. Gunning for enlightening discussions. In particular, Gukov pointed out the relevance of Sharpe’s work. I am grateful to G. Moore and J. Rosenberg for helpful remarks. This work was supported in part by NSF grant PHY98-02484.


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# Transition from coherence to bistability in a model of financial markets

## 1 Introduction

The first microscopic model of financial markets goes back to Bachelier in 1900 bachelier1900 , whose work is based on the hypothesis of independent variations modifying the value of the prices. He obtained a price that follows a random-walk, a disappointing result for those trying to make predictions on financial markets. However, there is now substantial empirical evidence that shows that price variations do not have a random-walk behaviour. In particular, the distribution of returns $`P(r)`$, a return being the relative price change in a given time interval, has been the subject of numerous empirical investigations. Instead of the Gaussian distribution expected from Bachelier model, different authors suggested that $`P(r)`$ behaves as an exponential mantegna95 ; bouchaud  or a power-law devries94 ; pagan96 ; guillaume97 ; gopi98 ; lux99 ; gopi99  for large values of $`r`$. No concensus has been reached for the exact expression of $`P(r)`$, if there is one, but it is now widely accepted that agents are not making decisions independently. Even if the panel of choices for investment opportunities is nearly infinite, agents tend to react to some common information, or at least, agents can be grouped by clusters of agents sharing the same information. The existence of these herds of agents is the basis of the model introduced by Eguíluz and Zimmermann eguiluz99  (EZ model), which is a dynamical version of a previous model by Cont and Bouchaud cont97 . In the next section, we briefly describe the EZ model and detail its stationary solution obtained in dhulst-ijtaf . We show numerically that a finite size effect with most of the agents buying or selling simultaneoulsy is present, a mechanism similar to a crash eguiluz99 .

An important parameter in the EZ model is the rate of investment $`a`$, which represents the probability of making an investment, $`1a`$ being the probability that instead information propagates. In any real situation, we expect $`a`$ to be small and it can be shown that in the limit $`a0`$, the model is in a critical state, with groups of investors of all sizes for infinite systems. In dhulst-physa , a mechanism driving the system towards this critical state is proposed, based on a democratic decision process where every agent in a group takes part in the decision process. It is also shown that a dictatorship decision process with one agent making decision for a whole group leads to less volatile markets. These particular extensions of the model are presented in Sec. 3. In the same section, we introduce a mixed model, where the decision processes can either be dictatorship with a probability $`b`$ or democratic with a probability $`1b`$. Numerically, it is shown that the properties of the model are democratic for $`b`$ less than 0.5. The average investment rate stays to a very low value. When $`b`$ increases from 0.5 to 1.0, a continuous transition from democratic to dictatorship is underlined, with the average fragmentation rate increasing from a value close to 0 to a value close to 0.5. For $`b0.8`$, the effects of both types of decision processes cancel each other.

In the original EZ model, the fragmentation rate $`a`$ is a constant with a value chosen and fixed during a simulation. A more general approach of the problem suggests that $`a`$ should be considered as a function of the size of the clusters of agents, which is the only difference between the groups of agents. In Sec. 3, we investigate numerically the functional dependence of $`a`$ as generated by the democratic and dictatorship extensions of the EZ model.

## 2 The EZ model

The Eguíluz and Zimmermann model eguiluz99  is one of the simplest models you could imagine for herding. Agents are grouped by clusters of agents sharing the same information, and there is no information available at the beginning of the simulation. At each time step, one agent is chosen at random. With a probability $`a`$, he decides that it is the right time to invest and triggers all the agents sharing his information to invest with him. The cluster this agent belongs to is then fragmented into independent agents having no information to share. With a probability $`1a`$, the chosen agent decides that he would like to know a bit more before making an investment. Another agent is chosen at random and the two agents share their information. Hence, the clusters of both agents coagulate to form a single larger cluster. In other words, at each time step a cluster is fragmented with probability $`a`$, or two clusters coagulate with a probability $`1a`$. The number of agents, $`N_0`$, is fixed.

The investment decision can either be buy or sell with equal probability. No feedback according to previous decisions has been implemented in the basic model, but it is quite easy to devise three choices models, buy, sell or share information, with memory dhulst-three . When a cluster of agents decides to invest, it modifies the demand and supply equilibrium, which in turn affects the price of the exchanged commodity. As already mentioned, the price return $`r`$ is the relative price variation on a given time interval. The return $`R`$ here is defined to be the relative number of agents buying or selling at a particular time, taken with its sign. By convention, if agents are buying, the return is positive and it is negative if agents are selling. Hence, if $`n_s`$ is the number of clusters of size $`s`$, the probability to have a return $`R`$ of size $`s/N_0`$ is given by $`sn_s/N_0`$. $`R`$ is related to the price change $`r`$, usually using a logarithmic variation like cont97

$$\mathrm{ln}P(t)\mathrm{ln}P(t1)=\frac{R}{\lambda }$$
(1)
where $`P(t)`$ is the price at time $`t`$ and $`\lambda `$ the market liquidity. $`\lambda `$ expresses the sensivity of a price to modifications in the supply and demand process. Alternatively, some authors consider that zhang99

$$P(t)P(t1)=\lambda \sqrt{R}.$$
(2)
In either case, the cluster size distribution $`n_s`$ describes the supply and demand variations and is the quantity of interest.

A master equation for the number $`n_s(t)`$ of clusters of size $`s`$ at time $`t`$ can be written as dhulst-ijtaf

$`{\displaystyle \frac{n_s}{t}}`$ $`=`$ $`asn_s+{\displaystyle \frac{(1a)}{N_0}}{\displaystyle \underset{r=1}{\overset{s1}{}}}rn_r(sr)n_{sr}`$ (3)
$`{\displaystyle \frac{2(1a)sn_s}{N_0}}{\displaystyle \underset{r=1}{\overset{\mathrm{}}{}}}rn_r`$
$`{\displaystyle \frac{n_1}{t}}`$ $`=`$ $`a{\displaystyle \underset{r=2}{\overset{\mathrm{}}{}}}r^2n_r{\displaystyle \frac{2(1a)n_1}{N_0}}{\displaystyle \underset{r=1}{\overset{\mathrm{}}{}}}rn_r.`$ (4)
Note that one time step in the continuous description is chosen to correspond to one attempted update per agent in the numerical simulation. In the first equation, the first term on the right hand side describes the fragmentation of a cluster of size $`s`$, the second term, the coagulation of two clusters to form a cluster of size $`s`$ and the last term, the coagulation of a cluster of size $`s`$ with another cluster. The second equation is the equation for the clusters of size one, with the first term on the right hand side describing the fragmentation of any clusters, which creates clusters of size one, while the second term is the coagulation of a cluster of size one with another cluster.

The previous set of equations can be solved dhulst-ijtaf  to obtain a size distribution

$$\frac{n_s}{N_0}\left(\frac{4(1a)}{(2a)^2}\right)^ss^{5/2}.$$
(5)
The model displays a power-law distribution $`n_ss^\tau `$ of exponent $`\tau =5/2`$, with an exponential cut-off. The exponential correction vanishes in the limit $`a0`$. All the other stationary properties of the model can be calculated, like the moments of the distribution dhulst-ijtaf  or the connectivity $`c`$, defined as the average number of links per agent. The time average $`\overline{c}`$ of the connectivity, for instance, is equal to

$$\overline{c}=2\left(\frac{2a}{1a}\mathrm{ln}(2a)1\right).$$
(6)
This result is obtained using the fact that a cluster of size $`s`$ always has $`s1`$ links, or $`2(s1)`$ links per agent. In Fig. 1, we present the cluster size distribution $`n_s`$ obtained for more than 50 numerical simulations of $`10^6`$ time steps each, for a system with $`N_0=10^4`$ agents and a fragmentation rate $`a=0.01`$.

The continuous line is a guide to the eye for a power-law of exponent $`\tau =5/2`$. Taking the limit $`a0`$ generates a time scale separation between the very quick propagation of information and the very slow process of decision making. It allows the existence of clusters of all sizes in infinite systems. However, for any finite size system, clusters of the order of the system size can be created when $`a`$ is tuned to a low value. This corresponds to the formation of a bubble, and when this cluster of agents decides to invest, it modifies drastically the supply and demand process, like when a bubble bursts. This can be associated with a crash phenomenon eguiluz99 , and corresponds to the events for large $`s`$ in the data presented in Fig. 1. Note that for the choice of parameters, the largest events involve clusters of order $`4.10^3`$ agents, not shown in Fig. 1. No precursory pattern characteristic of real crashes is expected here sornette96 , as the cooperative, or herding, behaviour is strictly localized in time. As soon as a cluster invests, this cluster is fragmented into independent agents. Hence, this cluster cannot be spotted before he invests, neither can it be the source of further cooperative behaviour. To illustrate the high frequency of large events, Fig. 2 shows the relation between the time interval $`\mathrm{\Delta }t`$ between two events of size $`s`$ as a function of the size of these events, for the same choices of the parameters.

The continuous line is a guide to the eye for a power-law of exponent $`3/2`$, which is the expected relation if the system was infinite. As can be infered from Fig. 2, the time interval between two events of size $`4.10^3`$ should be larger than $`10^7`$ simulation time steps, ten times the actual length of the simulations.

The relation between the value $`\tau =5/2`$ for the exponent of the cluster size distribution and the value of the exponent for $`P(r)`$, the price return distribution is not straightforward. It is empirically found that $`P(r)1/r^\beta `$ for large $`r`$, with an exponent $`\beta `$ in the range 2 to 4 devries94 ; pagan96 ; guillaume97 ; gopi98 ; lux99 ; gopi99 . The latest estimates favour a value of $`\beta `$ close to 4, which means that neither of the proposed relations (1) and (2) are convenient. This could be due to a wrong assumption for the relation linking the price return and the demand and supply equilibrium, but more likely, it is related to the simplicity of our model. For instance, agents could be acting similarly because they use the same broker and, unless they are loosing a lot of money, they will not change broker after each transaction. Hence, an improvment of the model could be to change the fragmentation or aggregation process. One extension that we considered was that $`m`$ agents could exchange information at each time step, instead of just two. So, at each time step, with a probability $`a`$, one cluster is fragmented and with a probability $`1a`$, $`m`$ clusters coagulate. However, it was shown that the exponent of the power-law distribution is not affected by such a change dhulst-ijtaf .

The EZ model is a function of only two parameters, the number of agents $`N_0`$ and the investment rate $`a`$. Keeping $`N_0`$ fixed is unrealistic as the number of investors on financial markets is increasing. In real situations, we expect the change in the number of agents to be much slower than the trading rate so that the previous model can be considered in its stationary state with an increasing value of $`N_0`$ as time goes on. If the changes in the number of agents and the trading activities were on the same time scales, we should add a source term in Eq. (4). This would however prevent the system from reaching a stationary state, and time dependent equations would have to be considered. A time-dependent solution is unfortunately still not available.

For the parameter $`a`$, it is assumed in the basic model that the investment rate $`a`$ is a constant. As agents are chosen at random, it suggests that bigger groups of agents have a higher rate of investment, because they are selected more often, that is, the effective investment rate is $`as`$ rather than $`a`$. An interesting generalization of the model would allow $`a`$ to vary, and as the only difference between the groups of investors is their sizes, $`a`$ should be a function of the cluster size $`s`$ only. Work along these lines is in progress. A possible functional dependence of $`a`$ is discussed at the end of the next section.

## 3 The democratic and dictatorship models

The previous model is very simple, with only two parameters, the number of agents $`N_0`$ and the fragmentation rate $`a`$. In the previous section, we discussed possible variations around these two parameters, allowing $`N_0`$ to vary or taking $`a`$ as a function of $`s`$, the size of the cluster of agents. However, if the origin of $`N_0`$ is clear, it is interesting to consider the mechanism that could generate a global parameter like $`a`$. In this section, we consider a model where each agent is given a microscopic parameter $`p_i`$, that represents her individuality. Agents interact with each other according to their $`p_i`$’s, whose value can change after interaction. We will show that this allows us to generate a macroscopic parameter like $`a`$. For simplicity, we consider that each $`p_i`$ is a random number chosen from a uniform distribution between 0 and 1.

The principle of the model is very similar to the principle of the EZ model. Agents are grouped by clusters of agents sharing the same value of $`p_i`$. At each time step, two agents $`i`$ and $`j`$, with associated numbers $`p_i`$ and $`p_j`$ respectively, are selected at random. With a probability $`a_{ij}=|p_ip_j|`$, agents $`i`$ decides to invest and triggers the action of his cluster. That is, all these agents are given new random number from the range $`[p_iR,p_i+R]`$, where $`R`$ is a fixed number between 0 and 0.5. It corresponds to a synchronised investment made by people sharing the same information, a purchase or a sale with equal probability. With a probability $`1a_{ij}`$, $`i`$ and $`j`$ exchange their information, and their clusters coagulate. All agents belonging to the clusters of $`i`$ and $`j`$ are given the same new number $`p_{ij}`$. We consider two variations of the model, a democratic version where $`p_{ij}=(p_i+p_j)/2`$ and a dictatorship version where $`p_{ij}=p_i`$.

We identify the parameter $`p_i`$ to the character of an agent, or rather to the way an agent is perceived or is perceiving the market. Agents with similar values of $`p_i`$’s are more likely to be making similar decisions, so that when they meet, the probability that they decide to exchange information is high. According to their history of aggregation and fragmentation, agents are learning, and they receive a value of $`p_i`$ which is close to the value they had when they were in a cluster. The two different processes of aggregation refer to two different type of decision processes, an active one where each agent is taking part in the decision making, which we decide to call a democratic process, and a passive process where all the agents rely on one of them to make decision, which we call a dictatorship process.

For both models we made numerical simulations to investigate the distributions $`Q(p)`$ of the $`p_i`$’s, that is, $`Q(p)dp`$ is the relative number of agents associated with a value of $`p_i`$ inside $`(p,p+dp)`$. The result for $`Q(p)`$ for the democratic model is presented in Fig. 3a, for a system with $`N_0=10^4`$ agents and a range of $`R=0.1`$. As the process of aggregation consists in averaging over the values of the $`p_i`$’s, the system is driven towards a coherent state where most of the agents have a value of $`p_i`$ spread around an average value $`\overline{p}`$, the amplitude of the spreading being related to the value of the range $`R`$. The exact value of $`\overline{p}`$ is meaningless as it originates from the averaging over the chosen initial distribution. Moreover, as the averaging is not equally weighted for all agents, it can be strongly history dependent dhulst-physa . We define $`\overline{a}`$ to be the average value of $`a_{ij}`$ over $`i`$ and $`j`$. It corresponds to the macroscopic value $`a`$ of the EZ model. As most $`p_i`$’s are close to $`\overline{p}`$, $`\overline{a}`$ is close to 0 in the democratic model. Hence, the democratic model self-organizes into a coherent state where clusters of agents of all sizes exist, with a time scale separation between information transmission and investment. In Fig. 3b, we present the results for the dictatorship model for $`N_0=10^4`$ agents and a range $`R=0.1`$. A spontaneous segregation into two equal sized populations happens, with one half of the agents associated with a value of $`p_i`$ around a value $`p^{(1)}`$ close to 0 and the other half associated with a value $`p^{(2)}`$ close to 1. The origin of this segregation is less obvious than the origin of a common value of $`p`$ for the democratic model. Due to this segregation into two populations, the value of $`\overline{a}`$ for the dictatorship model is approximately equal to 0.5. As a result, the dictatorship model displays a level of organization, but is not self-organized as the system is not in its critical state. It also means that the exponential cut-off of the size distribution present in Eq. (5) is important and prevents large clusters of agents to develop. Hence, the dictatorship model generates less volatile markets than the democratic model.

A natural extension of the previous models consist in a mix of the democratic and dictatorship models, with a probability $`b`$ of having dictatorship associations, while democratic associations happen with a probability $`1b`$. In this mixed version, some agents are passive, relying on another agent to make decisions for them, while others are active and make decisions for several agents. The resulting distributions $`Q(p)`$ of $`p_i`$’s are presented in Fig. 4a for $`b=0.1`$, $`b=0.5`$ and $`b=0.6`$ and Fig. 4b for $`b=0.8`$ and $`b=0.9`$. As a reminder, $`b=0`$ is the democratic model and was presented in Fig. 3a, while $`b=1`$ is the dictatorship model, shown in Fig. 3b. All simulations where performed over $`10^6`$ time steps, with $`N_0=10^4`$ agents, a range $`R=0.1`$ and a initial uniform distribution between 0 and 1 for $`Q(p)`$. The democratic aggregation process is dominant for all value of $`b`$ less than 0.5 as seen for $`b=0.1`$. So, for $`b`$ less than 0.5, the stable equilibrium of the system is a coherent state. From $`b=0.5`$, the competition between democratic and dictatorship associations tends to compensate each other, which flattens the distribution $`Q(p)`$. A flat distribution is achieved for $`b0.8`$, as seen in Fig. 4b. Also in Fig. 4b, it can be seen that for $`b`$ higher than 0.8, the dictatorship aggregation process is dominant, with a clear segregation of the population.

Another way of examining the transition consists in measuring the distribution $`N(|p_ip_j|)`$, which is defined to be the frequency of appearance of a given difference $`|p_ip_j|`$. Remember that the average value of $`|p_ip_j|`$ over all agents corresponds to the average fragmentation rate $`\overline{a}`$. By looking at the distribution $`N(|p_ip_j|)`$, we investigate the microscopic structure of the fragmentation rate. This distribution is related to the distribution $`Q(p)`$ by

$$N(\mathrm{\Delta }p)=_0^1_0^1𝑑p_1𝑑p_2Q(p_1)Q(p_2)\delta (|p_1p_2|\mathrm{\Delta }p),$$
(7)
where we use the notation $`|p_ip_j|=\mathrm{\Delta }p`$. In Fig. 5, we present the distribution $`N(\mathrm{\Delta }p)`$ for $`b=0`$, the democratic model, $`b=0.8`$ and $`b=1.0`$, the dictatorship model. The simulations were performed during $`10^6`$ time steps for $`N_0=10^4`$ and a range $`R=0.1`$. Note that for ease of presentation, we have divided the results for $`b=0`$ by 5. From $`b=0`$ to $`b0.8`$, the distribution $`N(\mathrm{\Delta }p)`$ is the positive half of a Gaussian distribution centered at the origin. The spread of this Gaussian stays constant for $`b`$ less than 0.5 and starts to increase with $`b`$ for $`b0.5`$. At around $`b=0.8`$, the distribution becomes a straight line, in agreement with a flat distribution for $`Q(p)`$. In this case, $`N(\mathrm{\Delta }p)=2(1\mathrm{\Delta }p)`$. For $`b`$ larger than 0.8, $`N(\mathrm{\Delta }p)`$ has two maxima, one at $`\mathrm{\Delta }p=0`$ and one at $`\mathrm{\Delta }p`$ close to 1, as can be seen for $`b=1.0`$ in Fig. 5. The second maximum tends to 1 as $`R`$ is decreased towards 0. From these distributions, the average value of the fragmentation rate $`\overline{a}`$ can be infered and is presented in Fig. 6 as a function of $`b`$.

For $`b<0.5`$, $`\overline{a}`$ stays nearly constant and close to 0, going to 0 as the $`R`$ is decreased. This part of the parameter space is refered to as the democratic phase in Fig. 6, in agreement with the existence of a coherent state. At $`b=0.5`$, $`\overline{a}`$ increases towards a value close to 0.5 at $`b=1`$. Also presented in Fig. 6 is the variance of $`\overline{a}`$. It is important to note that the variance of $`\overline{a}`$ is always of the order of $`\overline{a}`$ itself. For small values of $`b`$, this is because $`\overline{a}`$ and its variance are both of the order of $`R`$, while for $`b`$ close to 1, this is because the distribution $`N(\mathrm{\Delta }p)`$ has to maxima, one in zero and one in one, not just one maximum in 0.5.

The transition outlined here, from a coherent state to a segregated population, is very similar to the transition investigated in zanette97 . The average fragmentation rate can be associated to the order parameter of the transition. Unlike Ref. zanette97 , our numerical results suggest that the transition is second-order, but further investigations are required.

As discussed at the end of the previous section, the EZ model is arbitrary in its functional choice for $`a`$, taking it to be a simple constant. On the contrary, in the democratic and dictatorship models, a macroscopic parameter $`\overline{a}`$ is generated by the interaction between agents. We investigate numerically the parameter $`\overline{a}`$ of the democratic and dictatorship models, seen as a function of the cluster sizes, to question the functional choice of the EZ model. The variation of $`\overline{a}(s)`$ in the democratic model is presented in Fig. 7a for $`N_0=10^4`$ agents and a range $`R=0.1`$. The simulation ran for $`10^7`$ time steps. It can be seen that $`\overline{a}(s)`$ stays very low for $`s`$ less than around 2000, while the larger events have just happened one or two times. Hence, they are not statistically relevant, but it can be seen that most of the large clusters selected have not broken down, which implies a very low value for $`\overline{a}`$. The inset of Fig. 7a presents a zoom of the figure for the lowest sizes and it can be seen that for $`s`$ less than around 20, the fragmentation rate is particularly low. $`\overline{a}`$ then stabilizes at a value around 0.025, with large fluctuations that are increasing as $`s`$ is increased.

In Fig. 7b is presented $`\overline{a}`$ as a function of $`s`$ for the dictatorship model for a simulation of $`10^7`$ time steps, with $`N_0=10^4`$ agents and a range $`R=0.1`$. For $`s`$ less than 10, $`\overline{a}`$ is very low, while stabilizing around $`\overline{a}0.42`$ from $`s10`$ to $`s50`$. For $`s>50`$, less and less event are recorded, leading to huge fluctuations of $`\overline{a}`$. As a conclusion, if the democratic or the dictatorship aggregation processes are representative of the mechanism that generates a macroscopic parameter $`a`$ in the EZ model, taking $`a`$ as a constant seems to be a good approximation. A more elaborate model should consider that $`a`$ starts from a very low value for $`s=1`$, then reaches a stationary value for small $`s`$ and starts to fluctuate around this value as $`s`$ increases, the fluctuations also increasing with $`s`$.

## 4 Conclusions

The EZ model has been presented as a simple model to mimic the competition between information transmission and decision making in financial markets. Due to shared information, agents do not act independently and make group decisions, a phenomenon known as herding. These group decisions can have a strong impact on the market, modifying drastically the supply and demand equilibrium and, ultimately, the price. The exact stationary solution of the EZ model is obtained in the limit of infinite size systems. When there is a time scale separation between the quick information transmission and the slow decision making, the model is in its critical state, with groups of agents of all sizes. The size distribution of the groups of agents is a power-law of exponent $`5/2`$, with an exponential cut-off. For finite size systems close to the critical state, clusters of agents can merge to induce large events, a phenomenon similar to a crash. We show numerically that these events happen far more often than expected from the solution for infinite size systems. However, due to the dynamics of the system, no crash precursor patterns can be identified.

The previous model suffers from a dependence on a global parameter $`a`$ which represents the investment rate. This parameter is supposed to be the same for all agents, which is very unlikely, and is externally controled, another unrealistic feature. Two extensions of the EZ model are presented, a democratic version where all agents take part in the decision process, and a dictatorship version, where one agent is making the decision for several others. Both extensions display a level of organization, with the democratic model driving the system into its critical state, while the dictatorship model displays a spontaneous segregation in the population of agents. The average investment rate is close to 0 in the democratic model, close to 0.5 in the dictatorship model. We introduced in this paper a mixed version, with a probability $`b`$ of a dictatorship decision, and $`1b`$ of a democratic decision. This allows us to induce a transition from a coherent state, which corresponds to the democratic model, to a bistable state, the dictatorship model. The transition, which happens for $`b`$ close to 0.5, seems to be second-order, with the average investment rate as the order parameter.

Another arbitrary feature of the EZ model is that the investment rate $`a`$ is taken as a constant, leading to a higher investment rate for the larger groups of agents because they are selected more often. It seems reasonable to allow this investment rate to depend on the size of the groups of agents. As we proposed the democratic and dictatorship models to simulate the demand process, we have investigated numerically the variation of the average investment rate $`\overline{a}`$ as a function of the size $`s`$ of the groups of agents in these models. We showed that $`\overline{a}`$ stays nearly constant for all values of $`s`$, but with huge fluctuations as $`s`$ increases. Also, for small values of $`s`$, $`\overline{a}`$ decreases towards 0. We argue that taking the investment rate as a constant in the EZ model is a good approximation, if the democratic or dictatorship mechanisms are representative of the demand process.


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# Absence of Replica Symmetry Breaking in a Region of the Phase Diagram of the Ising Spin Glass

## Introduction

Existence and characteristics of the spin glass phase are actively investigated for finite-dimensional random spin systems. Closely related is the problem of the mixed (glassy) ferromagnetic phase. If the mean-field picture applies to finite-dimensional systems, the ferromagnetic phase would split up into two regions, one with a simple structure (the replica-symmetric (RS) phase in the mean-field framework) and the other with a complex phase space (replica-symmetry broken (RSB) state). The boundary between these two phases would be the finite-dimensional counterpart of the AT (de Almeida-Thouless) line found for the infinite-range SK (Sherrington-Kirkpatrick) model.

Investigations of these and related problems are almost exclusively carried out currently by numerical methods because of lack of reliable analytical methods. We show in the present contribution that simple symmetry arguments lead to a strong constraint on the possible location and shape of the AT line in the phase diagram of the Ising spin glass on an arbitrary lattice with arbitrary range of interactions. More precisely, it is possible to prove that there is nothing like RSB on the Nishimori line in the phase diagram and that the AT line, if it ever exists, should start as a vertical line from the multicritical point where paramagnetic, ferromagnetic and spin glass phases merge. Our method is an application of the gauge theory which has been used to derive exact energy and many other exact/rigorous results.

## Gauge theory of the Ising spin glass

Let us consider the $`\pm J`$ Ising model ($`S_i=\pm 1`$) with the Hamiltonian

$$H=\underset{ij}{}J_{ij}S_iS_j,$$
(1)
where the sum is over pairs of sites on an arbitrary lattice with arbitrary range of interactions. The exchange interactions are quenched random variables with the distribution function

$$P(J_{ij})=p\delta (J_{ij}J)+(1p)\delta (J_{ij}+J).$$
(2)
The Hamiltonian (1) is invariant under gauge transformation

$$J_{ij}J_{ij}\sigma _i\sigma _j,S_iS_i\sigma _i,$$
(3)
where $`\sigma _i`$ is an arbitrarily fixed Ising spin.

The gauge invariance of the Hamiltonian leads to a number of exact and/or rigorous results nishimori:hn81 ; nishimori:hn2001 . For example, consider the internal energy

$$E(K,K_p)=\left[H_K\right]_{K_p},$$
(4)
where the inner triangular brackets denote a thermodynamic average and the outer square brackets represent the configurational average at a fixed value of $`p`$. The suffixes denote the temperature and $`p`$ through $`K=\beta J=J/k_BT`$ and $`K_p=\frac{1}{2}\mathrm{log}p/(1p)`$. The exact value of the internal energy can be calculated explicitly under the constraint $`K_p=K`$ to give

$$E(K,K)=N_BJ\mathrm{tanh}K,$$
(5)
where $`N_B`$ is the number of bonds on the lattice under consideration. The constraint $`K=K_p`$ defines a curve in the phase diagram shown dashed in Figure 1, which is often called the Nishimori line.

There are many other results including an upper bound on the specific heat

$$k_BT^2C(K,K)\frac{J^2N_B}{\mathrm{cosh}^2K},$$
(6)
a correlation identity

$$\left[S_iS_j_K\right]_K=\left[S_iS_j_K^2\right]_K,$$
(7)
and a correlation inequality

$$\left[S_iS_j_K\right]_{K_p}\left[\left|S_iS_j_{K_p}\right|\right]_{K_p}.$$
(8)
The correlation identity (7) means that the Nishimori line $`(K_p=K)`$ avoids the spin glass phase because the left-hand side reduces to the square of the ferromagnetic long range order $`m^2`$ as the distance between $`i`$ and $`j`$ tends to infinity whereas the right-hand side approaches the square of the spin glass order parameter $`q^2`$ in the same limit. The spin glass phase is characterized by $`q>0,m=0`$ which is inconsistent with the relation $`m=\pm q`$. The correlation inequality (8) places a constraint on the possible shape of the boundary between the ferromagnetic and spin glass phases: This boundary can either be vertical or re-entrant in the phase diagram. The ferromagnetic phase is not allowed to lie below the spin glass phase nishimori:hn81 ; nishimori:hn2001 .

## Distribution of order parameters

The gauge theory summarized above applies to derive an identity between the distribution functions of the ferromagnetic and spin glass order parameters on the Nishimori line nishimori:hn2001 ; nishimori:SGN .

### Definitions and the main result

The distribution function of magnetization is defined as

$$P_m(x;K)=\left[\frac{_S\delta (xN^1_iS_i)e^{\beta H(S)}}{_Se^{\beta H(S)}}\right]_{K_p}.$$
(9)
To define the distribution function of the spin glass order parameter, it is convenient to introduce two replicas of the same system with spins $`\{S_i\}`$ and $`\{\sigma _i\}`$ and the couplings $`K_1`$ and $`K_2`$, respectively:

$$P_q(x;K_1,K_2)=\left[\frac{_S_\sigma \delta (xN^1_iS_i\sigma _i)e^{\beta _1H(S)}e^{\beta _2H(\sigma )}}{_S_\sigma e^{\beta _1H(S)}e^{\beta _2H(\sigma )}}\right]_{K_p},$$
(10)
where $`K_1=\beta _1J`$ and $`K_2=\beta _2J`$. The distribution of the spin glass order parameter is defined in terms of two replicas with the same temperature, $`P_q(x;K)P_q(x;K,K)`$. Note that the distributions $`P_m(x;K),P_q(x;K,K_p)`$ and $`P_q(x;K)`$ are all functions of $`p`$ as well.

It is well established that the distribution of magnetization has a simple structure with two delta functions as depicted in the left part of Figure 2. The spin glass order parameter, on the other hand, has a more complex structure. For example, if there exists a full RSB, the distribution has a continuous part as depicted schematically in the right part of Figure 2. Or, it may have delta peaks at a few additional locations in the case of finite-step RSB. In any case, the complexity of the system is closely related with the structure of the distribution function $`P_q(x)`$ different from that of $`P_m(x)`$.

Our main result is the following relation:

$$P_m(x;K)=P_q(x;K,K_p)$$
(11)
which holds for any combination of $`x,K`$ and $`K_p`$. In particular, if we set $`K_p=K`$, Equation (11) reduces to the relation between the usual distribution functions of magnetization and spin glass order parameter:

$$P_m(x;K_p)=P_q(x;K_p).$$
(12)
This immediately proves that the distribution function of the spin glass order parameter on the right-hand side has a simple structure represented by the magnetization distribution on the left-hand side if $`K=K_p`$.

The simplicity of the exact energy (5) and a few other results nishimori:hn2001 ; nishimori:hn81  suggest that the phase space of the system would not be complicated. The above result is regarded as definite evidence to support this anticipation.

It also follows from differentiation of Equation (11) that the derivatives of the distribution functions $`P_m(x;K)`$ and $`P_q(x;K)`$ with respect to $`K`$ and $`p`$ vanish when $`K=K_p`$:

$$\frac{}{K}P_q(x;K)=0,\frac{}{p}P_q(x;K)=0$$
(13)
for almost all $`x`$ when $`K=K_p`$. These relations have been derived from the fact that the distribution of magnetization $`P_m(x;K)`$ consists just of two delta functions and therefore its derivatives with respect to the parameters $`K`$ and $`p`$ vanish for almost all $`x`$. Equation (13) then follows from (11).

The relation (13) shows that the distribution function of the spin glass order parameter remains vanishing at almost all $`x`$ if the parameters $`K`$ and $`p`$ deviate infinitesimally from their values satisfying $`K=K_p`$. Thus the structure of $`P_q(x;K)`$ does not develop a continous part under an infinitesimal deviation from the Nishimori line. An interesting consequence is that the mixed phase with a continuous part in $`P_q(x)`$, if it starts to exist at the multicritical point, does not have a finite extension under a very small deviation from the multicritical point. Stated otherwise, the phase boundaries (the AT line and the boundary between the mixed and spin glass phases) should merge smoothly as they approach the multicritical point as depicted on the left part of Fig. 3. A natural generic situation would be that both of these boundaries are vertical around the multicritical point as in the case of the SK model. It should be noted that this argument does not apply when the RSB in the mixed phase is characterized by several delta functions, in which case the boundary with the structure like the one on the right part of Fig. 3 does not violate (13).

### Outline of the proof

The proof of the relation (11) is not very difficult nishimori:SGN . We start from writing out the configurational average of the distribution function of magnetization

$$P_m(x;K)=\frac{1}{(2\mathrm{cosh}K_p)^{N_B}}\underset{\{\tau _{ij}=\pm 1\}}{}e^{K_p{\scriptscriptstyle \tau _{ij}}}\frac{_S\delta (xN^1_iS_i)e^{K{\scriptscriptstyle \tau _{ij}S_iS_j}}}{_Se^{K{\scriptscriptstyle \tau _{ij}S_iS_j}}}.$$
(14)
The weight of configurational average ($`p`$ or $`1p`$ for each bond) is taken care of by the factor $`e^{K_p{\scriptscriptstyle \tau _{ij}}}`$ nishimori:hn81 ; nishimori:hn2001 . The gauge transformation (3) changes the above equation into the form

$$P_m(x;K)=\frac{1}{(2\mathrm{cosh}K_p)^{N_B}}\underset{\{\tau _{ij}=\pm 1\}}{}e^{K_p{\scriptscriptstyle \tau _{ij}\sigma _i\sigma _j}}\frac{_S\delta (xN^1_iS_i\sigma _i)e^{K{\scriptscriptstyle \tau _{ij}S_iS_j}}}{_Se^{K{\scriptscriptstyle \tau _{ij}S_iS_j}}}.$$
(15)
It is relatively straightforward to see that the right-hand side is equal to $`P_q(x;K_p,K)`$ by summing it up over all possible $`\{\sigma _i\}`$, dividing the result by $`2^N`$, and finally inserting an identity $`1=_\sigma e^{K_p{\scriptscriptstyle \tau _{ij}\sigma _i\sigma _j}}/_\sigma e^{K_p{\scriptscriptstyle \tau _{ij}\sigma _i\sigma _j}}`$ after the summation symbol over $`\{\tau _{ij}\}`$.

## Conclusion

We have proved that the AT line, if any, should lie below the Nishimori line in the phase diagram of the $`\pm J`$ Ising model on an arbitrary lattice. It has also been argued that the mixed phase with a continous part in the distribution function of the spin glass order parameter, if any again, does not have a finite extension around the multicritical point. These results have been derived by a simple application of gauge transformation.

The present work was supported by the Anglo-Japanese Collaboration Programme between the Japan Society for the Promotion of Science and The Royal Society.


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# X-ray Emission from Isolated Be Stars

## 1. Introduction

The X-ray emission from single Be stars must be viewed in the context of OB star X-ray emission. The X-rays that are ubiquitous in O stars at a level of $`L_x10^7L_{Bol}`$ are thought to come from shocks in the massive winds of these stars. The generally accepted shock mechanism is the line-force instability (Lucy & Solomon 1970; Owocki, Castor, & Rybicki 1988), which arises directly from the physics of line driving and leads to an abundance of spatial structure, even without any external perturbations.

In this paper I will explore the extent to which the X-ray properties of Be stars can understood in terms of the wind-shock emission that is invoked to explain the X-rays emitted by O and early B stars. I will contrast the observed X-ray emission from Be stars to that seen in non- emission B stars and focus on several specific stars. This paper will explore what constraints these observations can put on models of Be activity and also look forward to the new diagnostics that will be available with the next generation of X-ray telescopes.

## 2. X-rays from Hot Stars

The wind-shock paradigm has not been observationally tested in any great detail, as the only X-ray data available have been of very limited spectral resolution. Some general, phenomenological properties of OB star X-ray emission have been determined via both large surveys (primarily with ROSAT) and detailed measurements of a few stars with the higher resolution instruments ASCA and EUVE. In Table 1 I summarize the important properties of EUV and X-ray telescopes past, present, and future.

In several hot stars, X-ray emission lines have been measured, confirming the thermal nature of the emission. Measurements of the relative lack of attenuation of the soft111In this paper, the term “soft X-ray” refers to X-rays with $`h\nu <1`$ keV, roughly, while “hard X-ray” refers to $`h\nu >1`$ keV. X-rays in several O stars (Cassinelli et al. 1981; Cassinelli & Swank 1983; Hillier et al. 1993) and the EUV in the B giant $`ϵ`$ CMa (Cohen et al. 1996), as well as modeling of the O VI line in $`\zeta `$ Pup (MacFarlane et al. 1993) has shown that the X-ray emitting plasma in these stars must be spatially distributed throughout the stellar wind. Analyses of the spectral energy distributions in the low-resolution Einstein (Hillier et al. 1993) and ROSAT data (Cohen, Cassinelli, & MacFarlane 1997), and of specific emission line ratios in the higher-resolution EUVE data (Cohen et al. 1996), showed that in most hot stars the temperature distribution of X-ray emiting plasma is weighted toward less-hot material. The most detailed observations show that the vast majority of plasma has $`T<10^6`$ K, and there is relatively little with $`T>5\times 10^6`$ K (Cohen et al. 1996).

The overall levels of X-ray emission imply that a small fraction of the wind mass is heated to high temperatures at any given time in O stars (Long & White 1980; Hillier et al. 1993; Owocki & Cohen 1999). However, for B stars, this filling factor of hot gas is larger, and for mid- and late-B stars it can exceed unity, assuming the theoretical mass-loss rates are correct (Berghofer & Schmitt 1994; Cohen et al. 1997). This presents a serious challenge to most wind-based models of X-ray production in these B stars. Of course, clumping of the wind can, in theory, alleviate this discrepancy because thermal X-ray emission scales as density-squared. However, prodigious amounts of clumping would be required in many cases, and keeping overdense material in the wind very hot is a difficult task.

Finally, there has been very little time-variability observed in the X-ray emission of early-type stars, especially when compared to observations of late- type stars. This observational fact implies that the emitting structures, whatever their origin, are either in a steady-state configuration, or are so numerous that their aggregate properties are constant.

This observational database is generally in qualitative agreement with the predictions of the line-force instability wind shocks in terms of temperature and spatial structure, at least for O and very early B stars. However, other models might also fit the limited data. There have, in fact, been quite a few models proposed for the production of X-rays in OB stars. These include alternate wind-shock models (Mullan 1984; MacFarlane & Cassinelli 1989; Porter & Drew 1995; Cranmer & Owocki 1996), magnetic/coronal models (Waldron 1984; Tout & Pringle 1995), and magnetic-wind hybrid models (Babel & Montmerle 1997a). Magnetic models are attractive because they are theoretically capable of producing the large observed emission measures. Some of these alternative scenarios might be especially applicable to Be stars.

There are several reasons why we might expect Be stars to have different X-ray properties than normal OB stars. The first is that Be stars tend to have denser and more variable winds than non-emission B stars. Because X-ray emission is proportional to density squared, a modest increase in mass-loss rate or a deviation from a smooth, spherically symmetric flow would lead to an increase the X-ray luminosity. The second reason that Be stars might be expected to have enhanced X-ray emission is the occurrence of non-radial pulsations (NRPs) in many of these objects. Such photospheric variability might lead to the formation of co-rotating interaction regions and associated shocks and X-ray emission. NRPs could also make the formation of clumps in the wind more likely.

If the Be phenomenon involves magnetic fields, these could provide an additional possible source of X-ray activity. There are currently no viable detailed models of coronal-type activity in Be stars, but if magnetic fields are present in some Be stars, this would at least suggest the possibility of magnetic heating and/or confinement. One model that has been applied to the purported magnetic rotator $`\theta ^1`$ Ori C is a magnetically confined wind, in which a radiation driven outflow is trapped in a closed magnetic loop, within which the flows that originate at the two foot-points are forced to collide at the top of the loop with a large relative velocity (Babel & Montmerle 1997a,b). It has recently been shown that at least one Be star, $`\beta `$ Cep, has a large-scale magnetic field with a polarity that varies with the stellar rotation (Henrichs et al. 2000).

Finally, the presence of the Be disks themselves could be related to X-ray production, possibly in combination with any of the other general mechanisms already discussed, and perhaps intimately connected with the cause of the episodic mass-loss that appears to feed the Be disks. In any scenario in which the stellar wind feeds the disk, such as the wind compressed disk (WCD) model (Bjorkman & Cassinelli 1993), there is potential for X-ray emission at the wind-disk interface.

## 3. X-ray Data for Be Stars

### 3.1. Surveys

The ROSAT All-sky Survey (RASS) was used to search for white dwarf companions to Be stars, and as a byproduct compiled information about single Be stars (Meurs et al. 1992). The results of the survey indicated that the incidence of X-ray emission is lower in Be stars than in B stars (6 % vs. 16 %). However, because the RASS involved mostly very brief pointings, it detected only the brightest X-ray sources among hot stars (typical limiting luminosity of $`L_X10^{30}`$ ergs s-1).

A much more sensitive survey of a smaller number of B stars was carried out using pointed ROSAT PSPC observations (Cohen et al. 1997). The limiting sensitivity in this survey was better than $`L_X10^{28}`$ ergs s-1. Unlike the Meurs et al. (1992) study, in which any star having had $`H\alpha `$ in emission was called a Be star, the Cohen et al. (1997) determined the current Be status from recent literature. Cohen et al. detected all 7 of the Be stars but only 8 out of 15 non-emission Be stars of the same spectral types. In Figure 1 I show the $`L_X/L_{Bol}`$ values the survey stars as a function of spectral type.

In Figure 2 the cumulative $`L_X/L_{Bol}`$ distributions of the Be and B stars are compared.

The median value for Be stars is about three times higher than for the B stars.

### 3.2. Individual Stars

There are several interesting individual cases of Be star X-ray emission which I will discuss in this subsection. First, it should be mentioned that the unusual Be star $`\gamma `$ Cas will not be discussed in detail. Its X-ray properties are so extreme as to not be applicable to the understanding of many other Be stars. As such, it probably deserves an entire article to itself, and, in any case, many of its properties are discussed by other authors at this conference (e.g. Smith & Robinson, these proc.).

In general, OB stars show remarkably constant X-ray emission, with only a handful of detections of time variability. As mentioned above, this is surprising in the context of wind shocks, as the growth and decay of individual shocks might be expected to lead to significant variability. A significant fraction of the small number of X-ray variable hot stars, however, are Be stars.

The B2 Ve star $`\mu `$ Cen is one of only two B stars out of the 27 in the ROSAT sample of Cohen et al. (1997) to show time variability. In Figure 3 observations are shown that were taken during four orbits, spanning about two days.

There is a strong indication of variability on timescales of more than 1000 s, but little firm evidence for variability on shorter timescales. These data were taken during 1993, when the optical emission activity of the star was on the increase. However, this ROSAT observation was not made during an outburst, according to the NRP ephemeris (Rivinius et al. 1998).

The higher X-ray flux observed at the beginning of the ROSAT observation of $`\mu `$ Cen was due almost entirely to an excess in the hard band ($`h\nu >0.5`$ keV). In fact, the spectral energy distribution of this star over the entire duration of the observation is relatively hard. Only $`\tau `$ Sco and $`\xi ^1`$ CMa have harder ROSAT spectra among the 27 B stars observed by Cohen et al. (1997).

The most significant X-ray variability observed in any hot star was the large X-ray flare in $`\lambda `$ Eri (B2 IIIe), which lasted slightly less than 1 day, and represented a seven-fold increase in the ROSAT PSPC count rate (Smith et al. 1993). The total fluence in this event was in excess of $`10^{36}`$ ergs, making it the largest stellar X-ray flare ever detected (see Figure 4).

As in $`\mu `$ Cen, the increase in the X-ray flux is attributable almost entirely to the hard ROSAT band. Smith et al. (1997) have also found evidence for dense, temporary structures above the photosphere of this star. Combined with the hard spectral response of the X-ray event, these data provide a picture of a Be star with surface magnetic fields and associated magnetic heating.

The prototype $`\beta `$ Cephei variable, $`\beta `$ Cep (B1 IIIe), which also shows H$`\alpha `$ emission, is another Be star that has X-ray variability. The level of variability is low, but it is periodic, and is modulated on the same period as the optical variability associated with its NRPs (Cohen, Finley, & Cassinelli 2000). This relationship between NRPs and photospheric variability on the one hand, and presumably wind-related X-ray activity on the other, is one of the strongest indications yet of a direct photosphere-wind connection in hot stars. Furthermore, it is evidence that pulsations in hot stars can affect the circumstellar environment and the X-ray emission in these objects. The phased X-ray lightcurve is shown in Figure 5.

The variability of the X-ray emission of $`\beta `$ Cep may not be directly associated with its status as a Be star, as Cohen et al. (2000) find evidence for similar variability in 3 other $`\beta `$ Cephei variables, none of which are Be stars. It should be noted that the time coverage of the ROSAT observation of this star is exceptionally good, and it is certainly possible that more OB stars would have modest X-ray variability detected if they could be observed for 20,000 s, as $`\beta `$ Cep was. It should also be noted that while this observation was long, it was not long enough to detect modulation on the 12 day period over which the magnetic field, recently detected by Henrichs et al. (2000), has been found to vary.

Finally, I will briefly mention $`\tau `$ Sco (B0 V), which has been suggested to be a Be star with a weak disk seen pole-on (Waters et al. 1993). However, it now seems that the observed Brackett emission lines can be better explained by a non-LTE effect at the base of the wind, rather than by a disk (Waters, these proc.). The X-ray properties of this star are relevant, however, because they show that certain hot stars have X-ray emission that simply cannot be explained by the standard line-force instability wind shock mechanism. The X-ray emission from $`\tau `$ Sco is so hard that a significant quantity of plasma with temperatures in excess of 20 million K must be present on this star (Cohen, Cassinelli, & Waldron 1997). This might be due to magnetic activity or magnetically confined winds. The presence of a magnetic field on this hot star is plausible due to its extreme youth (Kilian 1992). Alternatively, the hard X-rays might be produced by an interaction between dense, infalling blobs (seen in red-shifted O VI absorption), and the fast stellar wind (Howk et al. 2000).

## 4. Constraints on Be Star Models Provided by the X-ray Data

Based on the available X-ray database of OB stars, it can be concluded that the X-ray properties of Be stars are not very different than those of B stars in general. Their X-ray luminosities may be somewhat higher (Cohen et al. 1997 suggest a factor of three, but their sample may not be completely unbiased). And there are several interesting cases of stronger, harder, and more time-variable X-rays from Be stars. However, it should be kept in mind that the existing data are relatively sparse, with only about 25 isolated Be stars detected with X-ray telescopes over the past two decades, and with very few of these observations having durations in excess of 5000 s.

To the extent that Be stars are moderately more X-ray-active than non-emission B stars, there are several possible causes. The higher luminosities could be due to the higher mass-loss rates that Be stars have compared to B stars of the same spectral subtype (Grady, Bjorkman, & Snow 1987). Alternately, the Be X-rays could be due to wind shocks that are enhanced compared to those in B star winds, perhaps by additional clumping, driving at the base via NRPs, or by interactions with corotating interaction regions or with the Be disks.

The time-variable X-ray fluxes and high X-ray temperatures seen in $`\mu `$ Cen and $`\lambda `$ Eri, among other stars, have several possible implications. The time variability may be indicative of magnetic flaring (more likely in the case of $`\lambda `$ Eri, in which the X-ray outburst was large) or of emission from an ensemble of wind shocks that is dominated by a small number of shock zones. The high X-ray temperatures (in $`\tau `$ Sco, but also in the X-ray enhancements seen in $`\lambda `$ Eri and $`\mu `$ Cen) may also be indicative of magnetic activity, or hybrid magnetic-wind activity. Alternately, they could be due to shocks involving the winds of these Be stars interacting with slow, dense (or even infalling) clumps or with the disk.

The presence of disks around Be stars might be expected to affect the X-ray properties of these objects via interactions with the stellar wind. In the WCD model, or any other model in which wind material directly feeds a disk, the wind is decelerated across a shock as it enters the disk. Specific models of the wind compressed disk predict shock temperatures of several hundred thousand degrees Kelvin, with somewhat higher temperatures in stars rotating at close to the break-up velocity (Bjorkman & Cassinelli 1993). If Be disks have an inner radius (i.e. they are detached from the stellar surface) then there may also be shock emission where the wind impacts the inner edge of the disk. Additionally, there may be infall of material from a disk that cannot be rotationally supported, and this material may interact either with the wind or the photosphere itself, leading to shocked plasma and X-ray emission.

If large quantities of shocked plasma do exist at the disk-wind interfaces, then the shocks must be relatively weak, and the temperatures correspondingly low. One might ask how much “warm” plasma ($`T10^5`$ K) could be present on Be stars and still be consistent with the X-ray data. In Figure 6 I show several emission models convolved with the ROSAT PSPC spectral response matrix.

It can be seen from this figure that even a huge amount of $`T=2\times 10^5`$ K plasma could not be reliably detected with ROSAT in the presence of the emission from a typical quantity of $`T=2\times 10^6`$ K plasma. However, $`T=4\times 10^5`$ K plasma would be detectable. A shock temperature of $`T=2\times 10^5`$ K corresponds to a shock jump velocity of 120 km s-1, which is quite typical of the predictions of the oblique shocks on the surface of WCD disks (Bjorkman & Cassinelli 1993). So, as Figure 6 indicates, large quantities of shocked gas could exist at the wind-disk interface without ROSAT being able to detect it.

## 5. Prospects for Future Missions

The current X-ray missions have provided a modest amount of information about the flux levels and time variability properties of hot stars, including Be stars. However, their very limited spectral resolution has prevented any quantitative X-ray spectral diagnostics of Be stars from being employed. This situation will change shortly with the deployment of the next generation of X-ray telescopes: Chandra, XMM, and ASTRO-E, which have spectral resolutions approaching $`\lambda /\mathrm{\Delta }\lambda 1000`$. With this resolution, numerous individual X-ray lines will be measurable, and if they are wind broadened, they may even be resolvable.

High-resolution measurements of X-ray lines (and continua) will make possible the application of various spectral diagnostics. These include density- and temperature-sensitive line ratios, thermal versus non-thermal emission, deviations from equilibrium, Doppler shifts due to bulk motion, line opacity effects, and ionization balance via inner-shell X-ray transitions (fluorescence and resonant absorption).

One specific diagnostic with a lot of potential to discriminate among the various models for X-ray production in Be stars is the helium-like forbidden-to-intercombination line strength ratio, which is density sensitive. This physics behind this diagnostic is demonstrated schematically in Figure 7.

This density diagnostic can be applied to helium-like ions from many elements, with each element having a somewhat different density- and temperature-sensitivity. For example, helium-like carbon exists at temperatures of about $`3\times 10^5`$ K, and can diagnose densities of about $`n_e=10^9`$ cm-3, while helium-like silicon exists at temperatures near $`3\times 10^6`$ K and its forbidden/intercombination line ratio is sensitive to densities near $`3\times 10^{13}`$ cm-3. Using these line ratios to diagnose the density of the X- ray emitting plasma in Be stars will provide information about whether this hot plasma exists in the stellar wind, the disk, or even near the photosphere. Furthermore, density information combined with an emission measure determination gives information about the volume of the emitting structures. These data will put some very stringent constraints on the high-energy mechanisms operating in Be stars.

Another potentially useful X-ray spectral diagnostic involves probing the Be disks in Be/X-ray binaries with the hard X-rays from the compact companion. Accretion onto the compact object in these systems yields a hard X-ray continuum spectrum. If the compact object can be viewed while it is behind the Be disk, then an absorption line spectrum will be seen. The useful property of inner- shell X-ray absorption is that each ionization state leads to a single absorption feature, with the energy of each feature monotonically increasing with ionization level. Therefore, a small section of the X-ray spectrum can provide information about all possible ionization stages of an element such as silicon, or iron, in the disk.

## 6. Conclusions

Data, primarily from ROSAT, indicates that X-ray activity may be modestly stronger in Be stars than in non-emission B stars, but it is qualitatively not that different. There are, however, a subset of Be stars in which X-ray activity is quite strong and/or time variable. Taken together, these observational facts may indicate that the Be phenomenon has a high-energy aspect that can lead to enhanced X-ray emission, at least at some times and in some stars. Some objects ($`\lambda `$ Eri, for example) have X-ray properties that simply cannot be understood in terms of the standard picture of wind shocks.

The long ROSAT observation of $`\beta `$ Cep (and of three other $`\beta `$ Cephei stars) indicates that pulsations can have an effect on X-ray production in hot stars, although the specific mechanism that connects these two phenomena is open for debate. As of now, however, no Be stars (save $`\beta `$ Cep) have X-ray data with sufficient time coverage to draw any conclusions about the modulation of X-rays by pulsations.

The next generation of X-ray telescopes has the potential to vastly increase our understanding of the high-energy physical processes that occur on Be stars. This can be accomplished through the application of spectral diagnostics that are, for the most part, standard techniques in the UV, optical, and IR, but have not been applied in the X-ray due to the low spectral resolution of current instruments.

#### Acknowledgments.

I am grateful to Joe Cassinelli, Joe MacFarlane, and Stan Owocki for providing useful advice and suggestions during the preparation of this paper. This work was partially supported by NASA grant NAG 5-3530 to the Bartol Research Institute at the University of Delaware.

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## Discussion

R. Ignace: Are the somewhat higher $`L_X`$ values of Be stars over B stars consistent with Be winds having slightly larger mass-loss rates, as you alluded to (i.e. the X-rays are primarily from the polar wind, and do not arise in the disk)?

D. Cohen: Yes, this would be the most conservative explanation for the majority of Be stars.

H. Henrichs: Did all pulsating B stars in your sample show variable X-ray emission?

D. Cohen: Yes, $`\beta `$ Cru and $`\xi ^1`$ CMa at $`>3\sigma `$, and $`\beta `$ Cep and $`\alpha `$ Lup at just below the $`3\sigma `$ level.

C. Aerts: You observe X-ray variability in the hot $`\beta `$ Cephei stars, but not in $`\alpha `$ Lup, which is cooler. You should check if this is a general conclusion. Also, $`\beta `$ Cru is an eccentric binary in which the pulsation behavior seems to change between apastron and periastron. So it would be interesting to know if the X-ray luminosity is different at these two times.

D. Cohen: Well, $`\alpha `$ Lup is marginally variable in our ROSAT data. Also, I agree that it would be interesting to re-examine $`\beta `$ Cru at different orbital phases. It is an interesting object, from an X-ray point of view.

A. Tarasov: X-ray photometry can be useful for finding hidden hot subdwarfs in these systems. In this case you can see some extra emission even in cool (B2 - B5) stars.

D. Cohen: Yes, but with the very poor spectral resolution of ROSAT, and the inherently soft X-ray emission of the B/Be stars themselves, this is a practical impossibility. But, with future high spectral resolution missions, it should certainly be possible to detect subdwarf companions.

M. Smith: You mentioned that for the possibly two good cases for X-ray variability ($`\lambda `$ Eri and possibly $`\mu `$ Cen), it may be that these two stars are also unusual in having slightly more optical line profile variability than most other Be stars. So, I may be going slightly out on a limb in saying by conjecturing that the higher activities in these stars in both the optical and X-ray regions might be related. Also, note that the “flare” temperature of the 1991 X-ray event in $`\lambda `$ Eri was several times hotter as well as being several times brighter. This may indeed be a qualitatively different characteristic which would add to the challenge of modeling it with even a non-standard wind-shock model.

D. Cohen: Regarding your first point, yes, simultaneous X-ray and optical (and ideally UV) observations would be very nice. On the second point, I would agree, but also point out that something that produces a transient increase in the X-ray flux by almost an order of magnitude is likely to also have a different spectral signature than the basal X-ray emission. For example, the infall of a dense clump interacting with the outflowing stellar wind would increase the X-ray flux levels, but it would likely also produce a higher X-ray temperature than the standard wind shocks.


text:
# Angular Structure of Lacunarity, and The Renormalisation Group

## I The Angular Structure of Lacunarity

We introduce here the decomposition of the Lacunarity Function over angular harmonics, for example in two dimensions

$$(R,\theta )=_0(R)+2\underset{m=1}{\overset{\mathrm{}}{}}_m(R)\mathrm{cos}m\theta .$$
(2)
Our physical interpretation of the individual components $`_m(r^{}/r)`$ is that they measure the correlation between different lengthscales $`r`$ and $`r^{}`$ of relative fluctuations, of a particular angular harmonic, in the local two point correlation about each mass point. They can be more precisely calculated as ratios

$$_m(r^{}/r)=M_m(r^{},r)=\frac{<S_m(r^{};\stackrel{}{r}_1)S_m(r;\stackrel{}{r}_1)^{}>}{<S_0(r^{};\stackrel{}{r}_1)><S_0(r;\stackrel{}{r}_1)>}$$
(3)
where $`S_m(r;\stackrel{}{r}_1)`$ is the weighted count of occupied points within a shell of radius $`r`$ about mass point $`\stackrel{}{r}_1`$, each point weighted by the angular harmonic of its direction relative to $`\stackrel{}{r}_1`$ (i.e. $`\mathrm{e}^{\mathrm{i}m\theta }`$ in two dimensions), and the averages are with respect to all occupied mass points $`\stackrel{}{r}_1`$.

The width of the shells used to compute the averages in (3) drops out of the result provided it is small enough, but with finite datasets some compromise must be made to obtain reasonable signal to noise ratio. We typically used shells of 7% width by radius. In the case of diagonal elements (only), that is $`r=r^{}`$ equivalent to $`R=1`$, shot noise makes a systematically positive contribution to the reading for which we have corrected our data below.

Figure 1 shows contour plots of the shell mass correlations $`M_m(r^{},r)`$ as a function of $`ln(r)`$ and $`ln(r^{})`$ for a large site percolation cluster grown at criticality. The structure along the diagonal is direct evidence for the reduction $`M_m(r^{},r)=_m(R=r^{}/r)`$ and on the basis of such plots we have averaged data parallel to the diagonal, within suitable looking windows, to obtain the curves for $`_m(R)`$ shown in figure 2.

Figure 3 shows a direct comparison between the corresponding measurements for the outer perimeter set of such a percolation cluster with those for a large self-avoiding walk. The broad agreement (with no adjustable parameters in any of the cureves shown) reinforces the claim that these two objects are in the same Universality Class, as very strongly suggested by Duplantier’s caclulation  of their identical $`f(\alpha )`$ spectra for the exterior harmonic measure.

## II Connection to the Real Space Renormalisation Group

The physical idea behind the renormalisation group is that under critical conditions the structure of a system is propagated through a continuous cascade of length scales. This is usually viewed in terms of the propagation of certain (judiciously chosen) renormalised parameters which remain invariant at the fixed point. The linearisation of the renormalisation group about the fixed point then corresponds to the transmission of perturbations through the lengthscale cascade.

Our lacunarity function measures the correlation of structure fluctuations between different lengthscales and it is natural to suppose that this correlation arises due to propagation. If so, then our measurements of correlation directly probe the linearised renormalisation group. More strictly, we need the covariances rather than the correlations to probe propagation, to which end it is useful to distinguish from Lacunarity notation (and rescale) by writing

$$_m(R)=\frac{_m(R)\delta _{m0}}{_m(1)\delta _{m0}},$$
(4)
where we propose to take the liberty of refering to $``$ as the Local Renormalisation Group Function.

Our proposal is that if the local two point correlation function structure at radius $`r`$ about point $`\stackrel{}{r}_1`$ is perturbed $`C_2(r)_{\stackrel{}{r}_1}C_2(r)(1+ϵ_m(r;\stackrel{}{r}_1)H_m)`$, where $`H_m`$ is a (normalised) angular harmonic, then the corresponding response at larger lengthscale $`r^{}`$ should follow

$$ϵ_m(r^{};\stackrel{}{r}_1)=_m(r^{}/r)ϵ_m(r;\stackrel{}{r}_1).$$
(5)
It is important to note that the Local Renormalisation Group Function defined above is a ’shattered’ response function, in that it gives the response due to changing the two point correlation at one locality. If we make a global relative perturbation $`ϵ_m(r)`$ of the local two point correlation at lengthscale $`r`$ around every mass point, then the growth of corresponding response defines a “Global Renormalisation Group Function” $`𝒢`$ through

$$ϵ_m(r^{})=𝒢_m(r^{}/r)ϵ_m(r).$$
(6)
From the number of (occupied) localities of radius $`r`$ contributing to perturbation in a larger vicinity of radius $`r^{}`$, we expect the components of $`𝒢`$ to scale as

$$𝒢_m(R)R^D_m(R)$$
(7)
for a simple mass fractal of fractal dimension $`D`$. Note that only even $`m`$ are of physical consequence here, as the (global) two point correlation function is by construction an even function restricted to even perturbations.

An important consequence of equation (7) is that global perturbations are relevant at large lengthscales if the corresponding Local RG function falls off more slowly than $`R^D`$ for large $`R`$.

The case of simple Random Walks in $`d>2`$ illustrates and tests these ideas with exact results. The general form of the Lacunarity function $`(R,\theta )`$ was first given in ref, but the angular harmonic decomposition of $``$ gives the much simpler form:

$$_0(R)=R^{2d};_m(R)=\frac{1+R^{2d}}{2}R^m,m>0.$$
(8)
This gives $`𝒢_0(R)R^{4d}`$, $`𝒢_2(R)R^0`$ and $`𝒢_4(R)R^2`$ for large $`R`$, which all have physical interpretation.

A negative $`m=0`$ perturbation at lengthscale $`r`$ means depressing the incidence of other points at radius $`r`$ from any given one, corresponding in polymer language to turning on some excluded volume. That the resulting perturbation at larger lengthscales $`r^{}`$ grows as $`(r^{}/r)^{4d}`$ corresponds to the well known Fixman perturbation expansion of Coil Swelling. The analogous positive perturbation leads to coil shrinkage (and ultimately collapse).

An $`m=2`$ perturbation corresponds to the local structure being stretched in some directions and shrunk in others, corresponding for a random walk to anisotropy in the individual walk steps. The scale independence of the resulting response follows from the equivalence of such random walks to affine deformations of isotropic ones, which we discuss as a much more general result below.

An example of an $`m=4`$ perturbation would be the intrinsic bias of random walks made on a square (more generally hypercubic) lattice, and the decay of the perturbation reflects the known irrelevance of this in the large lengthscale limit. Analogous interpretations apply to higher orders of lattice bias, for example $`m=6`$ and the triangular lattice in two dimensions.

An important issue is whether the propagation of perturbation is necessarily confined to running upwards in lengthscale. In systems governed by an equilibrium ensemble we can equally expect reverse (inwards) propagation governed by the form of $``$. Thus we are led naturally to predict that for every global perturbation propating outwards from $`r`$ to $`r^{}`$ as $`(r^{}/r)^\sigma `$ there is propagation inwards of the same symmetry of perturbation from $`r^{}`$ to $`r`$ as $`(r^{}/r)^\tau `$ where $`\tau =\sigma +D`$.

The corresponding inwards perturbations of a random walk can be identified. The zeroth harmonic corresponds to simple confinement (and checks out), whilst higher harmonics can then be interpreted in terms of the influence of a confining shape. The $`m=2`$ case, ellipticity, is particularly important because this corresponds to polymer elasticity.

Some of these interpretations can also be checked for less trivial fractals. For the Self Avoiding Walk (as for the random walk), the non-trivial part of the $`m=0`$ lacunarity is associated with the walk going from lengthscale $`r`$ out to lengthscale $`r^{}`$ and coming back again. This is then governed by the probability of an SAW to close a loop, which is known to vary as $`N^1r_{}^{}{}_{}{}^{D}`$ where $`N`$ is the number of steps in the walk (to reach radius $`r^{}`$). This leads to $`𝒢_0(R)R^0`$ for large $`R`$, corresponding (correctly) to a change in the excluded volume causing the SAW to dilate uniformly on larger lengthscales. The inset in figure 3 shows our measured data for $`L_0(R)1_0(R)`$ out to large $`R`$ and is consistent with $`R^D=R^{4/3}`$, albeit the data is noisy. The $`m=2`$ case for the SAW can be interpreted in terms of the scaling of elasticity for swollen polymers and leads to also to $`_2(R)R^D`$ at large $`R`$; this checks quite well against the main data in figure 3.

We believe a very general result governs the $`m=2`$ lacunarity due to its RG connection, which explains why in all the fractals considered in this letter (numerically for the percolation cluster of figure 1, and analytically for random and self-avoiding walks),

$$𝒢_2(R)R^0.$$
(9)
This corresponds to the outwards global m=2 perturbation being marginally relevant, and it arises because a $`m=2`$ perturbation can always be accommodated by a global strain of the metric of space. This should of course fail when long range interactions are important, sensitive to the metric of distance, and therefore equation (9) serves as a general test of whether long range interactions play a role in the underlying physics.

## III Concluding Remarks

We have presented arguments that the Lacunarity Function $``$, or at least its asymptotes, can be viewed as response functions determined by the Renormalisation Group. It is harder to firmly establish just how much of the Renormalisation Group is thereby revealed. We can certainly restrict any such claim to the Linearised Renormalisation Group, because the Lacunarity Function can only probe fluctuation correlations about the critical point behaviour: in RG terms this means that it can only probe the vicinity of the corresponding fixed point. We have restricted our attention to simple mass fractals, directly characterised in terms of one (positive definite) scalar field, the mass density. We speculate that $``$ incorporates all the linearised RG relating to how this field might be coupled locally and bilinearly to itself, whereas it cannot know anything about what happens when other fields are introduced.

A rich range of issues remain to be explored. We already mentioned that the odd angular harmonics in the Lacunarity Function lack a simple Response Theory interpretation because the two point correlation function must be even. One way to deal with this is to recognise more explicitly the way the Lacunarity Function depends only on the shape of the triangle of points it correlates, which leads to a parameterisation of $``$ involving only even harmonics; all the odd harmonics are thereby related to the even ones. However it is more interesting to consider structures from irreversible growth where correlating present with future growth is the natural correlation to investigate and odd harmonics are no longer forbidden in such time resolved correlations. We anticipate that problems like the response of Diffusion Limited Aggregation to anisotropy should be analysed in this way.

In principle our work opens the door to measuring the Renormalisation Group, via Lacunarity, directly from real experimental data (as opposed to just computer simulations). We recognise, however, that this may not be easy. Our simulations span some three decades of lengthscale (i.e. cluster radii of order 1000 units), and even then the match up to expected scaling laws is not always good. The best way forward would appear to be not to target the asymptotic exponents, but rather to compare absolute lacunarity values between experiment, simulation and theory at moderate $`R`$. On the theory side, our exact Random Walk results are extendable to Markov Chains, but no other exact results are known (other than exponents).

Finally, whilst all the fractals discussed in this letter have close relation to equilibrium critical phenomena, our present definition of Lacunarity certainly does not extend trivially to critical phenomena in general. We believe the correct analogue of our three point correlation for a mass fractal is a four point correlation of the corresponding critical distributions, the extra point being at infinity. The natural generalisation of our lacunarity function to spin models would thus be in terms of a four point correlation function at the critical point, and we look forward to exploring this in future work.

## IV Acknowledgements

This work was supportred by EPSRC, grant GR/L55346, and by the EU under TMR contracts ERBFMBI-CT97-2746 and FMRX-CT98-0183.