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# 1 Introduction

## 1 Introduction

The paradigm of grand unification has dominated our thinking about physics at very high energies since the pioneering work of Georgi and Glashow  (also ). The success of gauge coupling unification  in supersymmetric extensions of these grand unified theories (GUTs)  has further supported this idea . However, the GUT concept has well-known problems, such as the Higgs structure at the high scale (especially doublet-triplet splitting), the issue of too fast proton decay, and the mismatch of the GUT scale with the naive scale of unification with gravity.

A new possibility for embedding of the standard model (SM) into a form of GUT has been suggested by Kawamura  and further extended by Altarelli and Feruglio  and by Hall and Nomura  (see also ). The basic idea is that the GUT gauge symmetry is realized in 5 or more space-time dimensions and only broken down to the SM by utilizing GUT-symmetry violating boundary conditions on a singular ‘orbifold’ compactification. Given the success of supersymmetric gauge-coupling unification, the most attractive models include both supersymmetry and (at least) SU(5) gauge symmetry in 5 dimensions. In these models, both the GUT group and 5d supersymmetry (corresponding to N=2 SUSY in 4d) are broken down to a N=1 supersymmetric model with SM gauge group by compactification on $`S^1/(Z_2\times Z_2^{})`$ (related ideas were employed for electroweak and low-energy SUSY breaking; see, e.g., ). One of the most attractive features of this construction is the solution of the doublet-triplet splitting problem by boundary conditions for the Higgs which are closely linked to the breaking pattern of SU(5). More recently, it has been observed that an even simpler way of removing the triplet Higgs is provided by localizing the Higgs field at the SU(5)-breaking brane . A further motivation for the above orbifold GUTs follows from string theory, which requires both additional dimensions as well as branes located at orbifold fixed points. Thus, taking the phenomenological success of traditional gauge coupling unification seriously, the energy range between the GUT scale and the string (or Planck) scale is the natural domain for higher-dimensional field theories. In the following, we will take an effective-field-theory viewpoint of orbifold branes and impose all necessary constraints of a consistent low-energy theory without requiring an explicit string-theory realization.

In this paper, we analyse the generic structure of orbifold breaking of gauge symmetries, illustrating our results with phenomenologically important examples.111 After this paper has been completed, a related investigation of structural issues in orbifolding appeared . Although there is some overlap with our discussion, most results are complementary since  emphasizes SUSY breaking and TeV scale models, while we focus on gauge symmetry breaking with applications mainly at the GUT scale.  Section 2.1 introduces abstractly the field-theoretic orbifolding procedure, which is based on a discrete symmetry group acting in physical space and in field space. The popular model of SU(5) breaking on a $`S^1/(Z_2\times Z_2^{})`$ orbifold is described in Sect. 2.2. The group theoretic structure of orbifold breaking of gauge symmetries is analysed in detail in Sect. 3. Different breaking patterns emerge if the discrete orbifolding symmetry is realized in field space as an inner (see Sect. 3.1) or outer (see Sect. 3.2) automorphism of the Lie algebra. A complete classification can be given in the physically most interesting case of a $`Z_2`$ symmetry. In Sect. 4, we advocate an alternative and much more general approach, which starts from a theory defined on a space with boundaries and breaks the gauge symmetry by consistently chosen boundary conditions for the gauge potential. Section 4.1, which discusses Dirichlet and Neumann boundary conditions, is followed by a critical assessment of more restrictive boundary conditions in Sect. 4.2 and by a discussion of the dynamical realization of boundary conditions by expectation values of boundary fields in Sect. 4.3. For example, the physically important breaking of SO(10) to SU(5), inaccessible to the $`Z_2`$ orbifolding procedure, is straightforwardly realized by a boundary scalar in the 16 of SO(10). The close relation of orbifold breaking and Wilson line breaking of gauge symmetries, which is apparent at a conceptual level, is treated in technical detail in Sect. 5. In the orbifolding case, the background gauge field responsible for the non-trivial Wilson loop is restricted to the singularity, where it enforces the typical orbifolding boundary conditions for the gauge potential. The quantum field theoretic consistency of orbifold models is discussed in Sect. 6. Section 6.1, dealing with the elementary constraints of unitarity and self-adjointness, is followed by Sect. 6.2, where anomaly cancellation is discussed and found to be highly restrictive in more than 5 dimensions. Our conclusions are given in Sect. 7.

## 2 Orbifold Breaking

In this section we discuss more generally the idea of ‘orbifolding’ a quantum field theory with gauge group $`G`$. We then describe how the particularly popular example of SU(5) breaking on $`S^1/(Z_2\times Z_2^{})`$ fits into this framework.

### 2.1 The meaning of orbifolding

Consider a (higher-dimensional) QFT with gauge group $`G`$ defined on a manifold $`M=R^4\times C`$ ($`C`$ has coordinates $`y^i`$, $`i=1,\mathrm{},\mathrm{dim}(C)`$). Suppose that both the manifold $`C`$ and the QFT possess a symmetry under a discrete group $`K`$. The action of $`K`$ on the internal manifold $`C`$ is geometrical,

$$K:(x,y)(x,k[y]),$$
(1)
where $`k[y]`$ is the image of the point $`y`$ under the operation of $`kK`$, while the action of $`K`$ in field space is

$$K:\mathrm{\Phi }_iR(k)_{ij}\mathrm{\Phi }_j.$$
(2)
Here $`\mathrm{\Phi }`$ is a vector comprising all fields in the theory, and $`R(k)`$ is a, possibly reducible, matrix representation of $`K`$.

We can orbifold or ‘mod out’ the theory by $`K`$ by declaring that only field configurations invariant under the actions Eqs. (1) and (2) are physical. Alternatively, one can replace Eq. (2) by the trivial action (in which case $`K`$ acts purely geometrically), or one can replace Eq. (1) by the trivial action (in which case $`K`$ acts purely in field space). Let us discuss the physical meaning of these three possibilities in turn.

Modding out by just the geometrical action Eq. (1) means that instead of working on the physical space $`C`$, we define the theory on $`C/K`$. First let $`K`$ act freely. Namely,

$$k[y]y,yC,k1K,$$
(3)
so that non-trivial elements of $`K`$ move all points of $`C`$. Then the space $`C/K`$ is smooth and is again a manifold. Note that we have not reduced the amount of gauge symmetry of the theory; it is still $`G`$, but now defined on the smaller physical space $`R^4\times C/K`$. A relevant example of such a construction is to take $`C`$ to be the real line which we then mod out by the equivalence $`yy+2\pi R`$ generated by the discrete translation group $`K=𝐙`$, leading to the smooth space $`R/𝐙=S^1`$ of radius $`R`$.

On the other hand when the action of $`K`$ has fixed points ($`k[y]=y`$ for some $`yC`$, $`k1`$), then $`C/K`$ is not smooth, having singularities at the fixed points. Such a space is known as an orbifold. A classic result of string theory is that string propagation on such singular manifolds is well-defined . Here, following Refs.  (see also ), we wish to consider orbifolds in the effective field theory context, in which the consistency of propagation on such singular spaces has to be re-assessed . This we postpone to Section 6.

The second possibility is that we mod out by just the action Eq. (2) on field space. In this case the geometrical nature of the physical space is unchanged, it is still $`R^4\times C`$. However the amount of gauge symmetry has been reduced to the centralizer $`N_K(G)`$ of $`K`$ in $`G`$ ($`K`$ is now to be thought of as a subgroup of $`G`$) 222This is not precisely correct. The representation $`R(k)`$ by which $`K`$ acts on the space of fields may not be faithful, in which case the surviving group is just the centralizer in $`G`$ of the faithfully represented subgroup of $`K`$.. The reason for the breaking is that $`KG`$ does not commute with all of $`G`$ (we will study this in greater detail in Section 3.1). Recall that the centralizer of an element $`k`$ in a group $`G`$ is defined as

$$N_k(G)\{gG:gk=kg\}.$$
(4)
Such modding out reduces the size of the gauge group everywhere in $`R^4\times C`$ to the smaller gauge group $`N_K(G)H`$. This is just as if we had started with the smaller gauge theory based on $`H`$.333 Even this seemingly trivial form of ‘orbifolding’ leads to interesting information about the relation of the parent and daughter theories, e.g., in the large-N limits. Specifically there exists an ‘inheritance principle’ relating the correlation functions . As a side remark, let us note that one can start directly from a 4d SU(5) theory and reduce it to the SM by modding out just in field space. Using a $`Z_2`$ symmetry along the lines of Kawamura’s proposal (see Sect. 2.2 below), one can dispose of the triplet Higgs at the same time. Of course, one has now no fundamental reason forbidding additional SU(5)-violating operators (which could spoil gauge coupling unification completely). However, since one is in the weakly coupled regime, there is also no apparent dynamical mechanism generating such dangerous terms.

The third possibility is that the equivalence involves a simultaneous action on both coordinates and field space,

$$\mathrm{\Phi }_i(x,y)R(k)_{ij}\mathrm{\Phi }_j(x,k^1[y]).$$
(5)
The theories of particular interest are ones where the action of $`K`$ on $`C`$ is not free, so that the geometrical space is an orbifold $`C/K`$ with singular points. The special feature of this case is that away from these fixed points the gauge symmetry remains $`G`$, but at the fixed points it is reduced to a subgroup $`HG`$. This group is determined as follows: At each $`y`$ consider the discrete subgroup $`F_yK`$ of elements $`kK`$ that leave $`y`$ fixed, $`F_y\{kK:k[y]=y\}`$. Then the unbroken gauge group at $`y`$ is the centralizer of $`F_y`$ in $`G`$,

$$H_y=\{gG:gk=kg,kF_y\}.$$
(6)
This combines features of the first and second possibilities in a particularly interesting way.

A recent and physically relevant example is provided by the SU(5) GUT model of Refs.  based on an $`S^1/(Z_2\times Z_2^{})`$ orbifold. Since we will be interested in asking how this model can be generalized it is useful for us to summarize some of its essential features, a task to which we now turn.

### 2.2 An example: The $`S^1/(Z_2\times Z_2^{})`$ model

Consider a 5-dimensional factorized space-time comprising a product of 4d Minkowski space $`R^4`$ (with coordinates $`x^\mu `$, $`\mu =0,\mathrm{},3`$), and the orbifold $`S^1/(Z_2\times Z_2^{})`$, with coordinate $`yx^5`$. The circle $`S^1`$ has radius $`R`$ where $`1/RM_{\mathrm{GUT}}`$. The orbifold $`S^1/Z_2`$ is obtained by modding out the theory by a $`Z_2`$ transformation which imposes on fields which depend upon the 5th coordinate the equivalence relation $`yy`$. To obtain the orbifold $`S^1/(Z_2\times Z_2^{})`$ we further mod out by $`Z_2^{}`$ which imposes the equivalence relation $`y^{}y^{}`$, with $`y^{}y+\pi R/2`$. With the basis of identifications

$$P:yyP^{}:y^{}y^{}.$$
(7)
there are two inequivalent fixed 3-branes (or ‘orbifold planes’) located at $`y=0`$, and $`y=\pi R/2\mathrm{}`$, which we denote $`O`$ and $`O^{}`$ respectively. It is consistent to work with the theory obtained by truncating to the physically irreducible interval $`y[0,\mathrm{}]`$ with the 3-branes at $`y=0,\mathrm{}`$ acting as ‘end-of-the-world’ branes 444 Note that the discrete group $`Z_2\times Z_2^{}`$, generated by $`P`$ and $`P^{}`$, can also be considered as being generated by $`P`$ and $`PP^{}`$. The fact that the generator $`PP^{}`$ is a translation (i.e., it acts freely) suggests a close relation to Wilson line breaking. This relation, which can also be discussed in terms of the original generators $`P`$ and $`P^{}`$, is explored in detail in Sect. 5..

The action of the equivalences $`P,P^{}`$ on the fields of a quantum field theory living on $`R^4\times S^1/(Z_2\times Z_2^{})`$ is not fully specified by the action Eq. (7) on the coordinates. One must also define the action within the space of fields. To this end, let $`\mathrm{\Phi }(x,y)`$ be a vector comprising all bulk fields, then the action of $`P`$ and $`P^{}`$ is given by $`P:\mathrm{\Phi }(x,y)P_\mathrm{\Phi }\mathrm{\Phi }(x,y)`$ and $`P^{}:\mathrm{\Phi }(x,y^{})P_\mathrm{\Phi }^{}\mathrm{\Phi }(x,y^{})`$. Here, $`P_\mathrm{\Phi }`$ and $`P_\mathrm{\Phi }^{}`$ are matrix representations of the two $`Z_2`$ operator actions, with eigenvalues $`\pm 1`$. Let us from now on work in this diagonal basis of fields, and classify the fields by their $`(P,P^{})`$ eigenvalues $`(\pm 1,\pm 1)`$. Then the fields $`\mathrm{\Phi }_{PP^{}}(x,y)`$ have KK expansions which involve $`\mathrm{cos}(ky/R)`$ with $`k=2n`$ or $`2n+1`$, for $`\mathrm{\Phi }_{+P^{}}`$ ($`P^{}=+,`$ respectively), and $`\mathrm{sin}(ky/R)`$ with $`k=2n+1`$ or $`2n+2`$, for $`\mathrm{\Phi }_P^{}`$ ($`P^{}=+,`$ respectively). From the 4d perspective the KK modes acquire a mass $`k/R`$, so only the $`\mathrm{\Phi }_{++}`$ possess a massless zero mode. Moreover, only $`\mathrm{\Phi }_{++}`$ and $`\mathrm{\Phi }_+`$ have non-zero values at $`y=0`$, while only $`\mathrm{\Phi }_{++}`$ and $`\mathrm{\Phi }_+`$ are non-vanishing at $`y=\mathrm{}`$. The action of the identifications $`P,P^{}`$ on the fields (namely the matrices $`P_\mathrm{\Phi }`$ and $`P_\mathrm{\Phi }^{}`$) can utilize all of the symmetries of the bulk theory. Thus $`P`$ and $`P^{}`$ can involve gauge transformations, discrete parity transformations, and in the supersymmetric case, R-symmetry transformations.

To reproduce the good predictions of a minimal supersymmetric GUT, one starts from a 5d SU(5) gauge theory with minimal SUSY in 5d (with 8 real supercharges, corresponding to N=2 SUSY in 4d). Thus, at minimum, the bulk must have the 5d vector superfield, which in terms of 4d N=1 SUSY language contains a vector supermultiplet $`V`$ with physical components $`A_\mu ,\lambda `$, and a chiral multiplet $`\mathrm{\Sigma }`$ with components $`\psi ,\sigma `$. Both $`V`$ and $`\mathrm{\Sigma }`$ transform in the adjoint representation of SU(5).

If the parity assignments, expressed in the fundamental representation of SU(5), are chosen to be $`P=\mathrm{diag}(+1,+1,+1,+1,+1)`$, and $`P^{}=\mathrm{diag}(1,1,1,+1,+1)`$, so that the equivalence under $`P`$ is $`V^a(x,y)T^aV^a(x,y)PT^aP^1`$, and similarly for $`P^{}`$, then SU(5) is broken to SU(3)$`\times `$SU(2)$`\times `$U(1) on the $`O^{}`$ fixed-brane, but is unbroken in the bulk and on $`O`$. If for $`\mathrm{\Sigma }`$ the same assignments are taken apart from an overall sign for both $`P`$ and $`P^{}`$ equivalences, e.g., under $`P^{}`$, $`\mathrm{\Sigma }^a(x,y^{})T^a\mathrm{\Sigma }^a(x,y^{})P^{}T^aP^1`$, then these boundary conditions also break 4d N=2 SUSY to 4d N=1 SUSY on both the $`O`$ and $`O^{}`$ branes. Only the $`(+,+)`$ fields possess massless zero modes, and at low energies the gauge and gaugino content of the 4d N=1 MSSM is apparent.

| $`(P,P^{})`$ | 4d superfield | 4d mass |
| --- | --- | --- |
| $`(+,+)`$ | $`V^a`$ | $`2n/R`$ |
| $`(+,)`$ | $`V^{\widehat{a}}`$ | $`(2n+1)/R`$ |
| $`(,+)`$ | $`\mathrm{\Sigma }^{\widehat{a}}`$ | $`(2n+1)/R`$ |
| $`(,)`$ | $`\mathrm{\Sigma }^a`$ | $`(2n+2)/R`$ |

Table 1. Parity assignment and KK masses of fields in the 4d vector and chiral adjoint supermultiplet. The index $`a`$ labels the unbroken SU(3)$`\times `$SU(2)$`\times `$U(1) generators of SU(5), while $`\widehat{a}`$ labels the broken generators.

In summary, the general situation is that, if $`K`$ acts on the extra dimensional manifold, $`C`$, non-freely and its action in field space does not commute with $`G`$, then the resulting theory has a smaller gauge symmetry $`HG`$. The symmetry breaking is localized on (3+1)-dimensional submanifolds, which correspond to the fixed points (actually fixed 3-branes) in $`R^4\times C`$ under the action of $`K`$.

## 3 The group-theoretic structure of orbifold breaking

The general setup of the ‘orbifold’ breaking described above is the modding out or restriction of the space of gauge field configurations by a discrete transformation $`K`$. If this discrete group is to be a symmetry of the gauge action then, in general, it acts as a linear transformation on the Lie algebra $`A^a(x,y)T^aA^a(x,K[y])M^{ab}T^b`$ that preserves the structure constants, $`M^{ad}M^{be}f^{def}=f^{abc}M^{cf}`$. In other words, the action of $`K`$ on the Lie algebra $`(G)`$ of the group $`G`$ must be an automorphism of $`(G)`$ .

Such automorphisms of Lie algebras come in two classes, inner automorphisms, and outer automorphisms, the difference between the two classes being that inner automorphisms can always be written as a group conjugation $`T^agT^ag^1`$ for some $`gG`$, while outer automorphisms cannot be so written. As we will discuss below, the SU(5) ‘orbifold-GUT’ breaking so far employed in the literature is of the inner-automorphism form.

### 3.1 Orbifold breaking by inner automorphisms

Before describing the possibilities allowed to us by outer automorphisms, we first discuss the interesting physics of orbifold actions by $`K=Z_n`$ inner automorphisms. While for $`K=Z_2`$, the matrix $`M`$ must have eigenvalues $`\pm 1`$ as it forms a representation of $`K`$, for more general discrete actions the matrix $`M`$ can have complex eigenvalues.

As a simple example consider $`C=T^2`$ the 2d torus defined by the lattice (in complex coordinates) $`n_11+n_2\mathrm{exp}(2\pi i/6)`$ with $`n_1,n_2𝐙`$ (cf. ). In addition to translations through lattice vectors, this torus has a $`𝐙_3`$ discrete rotation symmetry $`z\mathrm{exp}(2\pi i/3)z`$, by which we can mod out. This leads to 3 fixed points at $`f_0=0`$, $`f_1=\mathrm{exp}(\pi i/6)/\sqrt{3}`$, and $`f_2=2\mathrm{exp}(\pi i/6)/\sqrt{3}`$. Consider the fixed point at the origin $`f_0`$: this (like the other fixed points in this case) is left fixed by the group elements $`F_1=1,w,w^2`$. Now suppose that we have an SU(2) gauge theory on this space (see also the recent analysis of ), and we define the action of the orbifold group on the generators of SU(2) via

$$T^a\left(\begin{array}{cc}w& 0\\ 0& w^2\end{array}\right)T^a\left(\begin{array}{cc}w^1& 0\\ 0& w^2\end{array}\right),$$
(8)
where $`w`$ is a third root of unity, $`w^3=1`$. Then the the subgroup of SU(2) that commutes with this action is the U(1) generated by $`\sigma ^3`$. Thus at the fixed point $`f_0`$ the gauge symmetry is just the U(1) left invariant by Eq. (8), while away from the fixed points the full SU(2) is a good symmetry.

As is well known from the string orbifold literature (see e.g. ), the general structure resulting from such orbifolding is most easily illuminated by choosing the Cartan-Weyl basis for the generators $`T^a`$ of the bulk gauge group $`G`$. In this basis the generators are organized into Cartan sub-algebra generators $`H_i`$, $`i=1,\mathrm{},\mathrm{rank}(G)`$, and ‘raising and lowering’ generators $`E_\alpha `$, $`\alpha =1,\mathrm{},(\mathrm{dim}(G)\mathrm{rank}(G))`$, with

$$[H_i,E_\alpha ]=\alpha _iE_\alpha ,$$
(9)
where the $`\mathrm{rank}(G)`$-dimensional vector $`\alpha _i`$ is the root associated to $`E_\alpha `$. The orbifold action on the gauge and matter fields, $`AgAg^1`$ and $`\mathrm{\Phi }g\mathrm{\Phi }`$, is given by a matrix representation $`g`$ of the action of the $`Z_n`$ group.

It is always possible to express the action of this discrete $`Z_n`$ Abelian group in terms of the Cartan generators as

$$g=e^{2\pi iVH},$$
(10)
where this defines the rank$`(G)`$-dimensional twist vector $`V_i`$ that specifies the orbifold action. (When this twist acts on a field in representation $`r`$ of $`G`$ the $`H_i`$ are to be considered as in this representation too.) Via the use of standard commutator identities Eqs. (9) and (10) then imply

$`gE_\alpha g^1`$ $`=`$ $`\mathrm{exp}\left(2\pi i\alpha V\right)E_\alpha ,`$
$`gH_ig^1`$ $`=`$ $`H_i,`$ (11)
so the Cartan-Weyl basis diagonalisies the $`Z_n`$ action, and we necessarily have that $`\mathrm{exp}(2\pi i\alpha V)=w`$, where $`w`$ is an $`n`$-th root of unity.

From Eq. (11) we see that gauge bosons corresponding to Cartan generators are not projected out, since if $`T^a=H_i`$ is a Cartan sub-algebra element then the $`g`$’s commute through $`H_i`$, and the transformation acts on $`H_i`$ as the identity. Thus we immediately learn that breaking by $`Z_n`$ inner automorphisms is rank preserving (in particular this is true in the $`Z_2`$ case, a prototypical example of such inner automorphism action being precisely the action that reduces SU(5) to SU(3)$`\times `$SU(2)$`\times `$U(1) in the $`S^1/(Z_2\times Z_2)`$ case). Additionally, raising and lowering generators with roots $`\alpha `$ satisfying

$$\alpha V=0\mathrm{mod}𝐙$$
(12)
are not projected out. Thus the problem of determining the unbroken subgroup is reduced to simple linear algebra.

In fact there exists a well-known algorithm for computing the surviving group under such a $`Z_n`$ twist. Consider the extended Dynkin diagram555 See Table 16 of Ref. , and the discussions of  and  where the structure of the subalgebras of a Lie algebra are discussed in this language in some detail. , where in addition to the usual Dynkin diagram nodes corresponding to the simple roots of the algebra we add one more node formed from the lowest root $`\alpha _\theta `$ (where $`\alpha _\theta `$ is the highest root, which is not simple). Then the regular semi-simple subalgebras of a Lie algebra are almost always found (the 5 exceptions are discussed in  and references therein) by deleting one or more nodes of this extended Dynkin diagram. Thus the following simple rule almost always applies: If one desires to realize the semi-simple subalgebra $`H`$ with Dynkin diagram which corresponds to the deletion of nodes $`\alpha _I`$ ($`I`$ runs over some subset of $`\theta ,1,2,\mathrm{}.r=\mathrm{rank}(G)`$) one utilizes a twist $`V`$ satisfying

$`\alpha _IV`$ $``$ $`0\mathrm{mod}𝐙,`$
$`\alpha _iV`$ $`=`$ $`0\mathrm{mod}𝐙,iI.`$ (13)
In fact these conditions are just the statement that the twist vector $`V`$ is a valid weight vector of the subalgebra $`H`$ but not of the original algebra $`G`$. Moreover, we can write $`\alpha _IV=k_I/n`$, for some integer $`k_I`$’s since $`V`$ has to represent the $`Z_n`$ twist. Then gauge bosons corresponding to such roots $`\alpha _I`$ have their KK mode spectrum lifted by $`k_I/nR`$, thus eliminating the zero mode.

As a simple example of this consider an SO(10) gauge theory acted upon by a $`Z_4`$ twist. The extended Dynkin diagram of this theory is shown in the 4th figure of Table 16 of Slansky . If the node indicated by ‘3’ is removed then the surviving algebra is the Pati-Salam group SU(4)$`\times `$SU(2)$`\times `$SU(2). Since the simple roots of SO(10) are just the rows of the Cartan matrix of SO(10) (see Tables 6 and 8 of Ref. ), namely $`(2,1,0,0,0)`$, $`(1,2,1,0,0)`$, $`(0,1,2,1,1)`$, $`(0,0,1,2,0)`$, $`(0,0,1,0,2)`$ in the Dynkin basis, while the lowest root is $`\alpha _\theta =(0,1,0,0,0)`$, then the $`Z_4`$ twist vector $`V=(1/2,0,1/2,1/4,1/4)`$ projects out just the third root leaving the unbroken Pati-Salam group in the zero mode sector.

In the case of $`Z_2`$, a classification of all breaking patterns is given in Table 17 of . Here we only reproduce the breaking patterns for SU(N), SO(N) and E6, since they are most likely to be of physical interest.

| $`G`$ | $`H`$ | restrictions |
| --- | --- | --- |
| SU(p+q) | SU(p)$`\times `$SU(q)$`\times `$U(1) |  |
| SO(p+q) | SO(p)$`\times `$SO(q) | p or q even |
| SO(2n) | SU(n)$`\times `$U(1) |  |
| E6 | SU(6)$`\times `$SU(2) |  |
| E6 | SO(10)$`\times `$U(1) |  |

Table 2. Possible breaking patterns of SU(N), SO(N) and E6 based on orbifold action by $`Z_2`$ inner automorphisms.

The feature of rank-preservation by inner automorphisms is only generally true in the case where the orbifold action in field space is $`Z_n`$. For more general actions and, in particular, if this action is non-Abelian, it is not possible to write the group element $`g`$ as the exponential of the Cartan subalgebra generators, cf. Eq. (10), and therefore conjugation by $`g`$ can act non-trivially on some $`H_i`$, leading to the projection of the corresponding gauge fields out of the zero mode spectrum. If we wish to have the gauge symmetry broken on the fixed branes (rather than in the bulk as a whole), it is necessary that the orbifold action on the spatial coordinates $`y`$ also be non-Abelian. Such models (which are possible, e.g., in higher dimensions ) can be quite complicated and highly constrained by anomaly cancellation considerations (as discussed in Section. 6.2), so despite their potential interest we now focus attention on a more elementary method of rank reduction.

### 3.2 Orbifold breaking by outer automorphisms

Even if we restrict to Abelian orbifold groups, rank preservation is not automatic. The new possibility of breaking rank in the Abelian case is realized if outer automorphisms are employed, and, as we will now show, even $`Z_2`$ ‘orbifold GUT breaking’ can reduce the rank.

Recall that outer automorphisms are structure-constant preserving linear transformations of the generators which cannot be written as group conjugations. For any given Lie algebra there are only a limited number of possible outer automorphisms, their group structure corresponding to the symmetries of the Dynkin diagram of the Lie algebra. To make this concrete, consider the prime example of an outer automorphism; complex conjugation, $`T^a(T^a)^{}`$ for all $`a(G)`$, which of course preserves the structure constants. For groups with complex representations this cannot be written as a conjugation by a group element. As a simple example consider an SU(n) gauge theory defined on the orbifold $`S^1/Z_2`$, with

$`T^aA_\mu ^a(x,y)`$ $``$ $`(T^a)^{}A_\mu ^a(x,y)`$ (14)
$`T^aA_5^a(x,y)`$ $``$ $`(T^a)^{}A_5^a(x,y).`$ (15)
Then the gauge fields corresponding to generators in SO(n) but not SU(n) are even, and have a Kaluza-Klein decomposition containing zero modes, while the others are odd and possess no zero modes. Thus the theory on the brane only respects the gauge symmetry of the SO(n) subgroup, and the rank is reduced (for $`n>2`$). In fact in a sense a U(1) theory provides an even simpler, though somewhat degenerate example of this. It is certainly possible in principle to mod out by the equivalence $`A_\mu (x,y)A_\mu (x,y)`$, $`A_5(x,y)A_5(x,y)`$ which eliminates the U(1) completely from the zero mode spectrum.

Of course a requirement for such modding out to make sense is that the original bulk theory be symmetric under the field space transformation being employed. In the case of U(1) including charged matter the original theory must then have a $`qq`$ ‘charge-conjugation’ symmetry. Similarly in the non-Abelian situation the pure gauge case is trivially consistent as the adjoint representation is always real, while with matter present we require a $`r\overline{r}`$ symmetry. Thus we see that the original bulk theory must be vector-like, at least with respect to the group we wish to act on by an outer automorphism. One may be concerned that this is a difficulty if one wants to realize a chiral theory in the zero-mode sector. However we are used to the fact that orbifolding can produce chiral states from an originally vector-like theory, an example being the chiral $`N=1`$ theories in 4d resulting from the ‘$`N=2`$’ minimal SUSY theory (8 supercharges) in 5d. The simplest possibility is just to add chiral matter of the $`H`$ subgroup theory (in an anomaly-free representation) on the brane where $`GH`$ via the outer automorphism.

A natural question is if this most simple form of $`Z_2`$ rank reduction can work for SO(10), reducing the theory to SU(5) or SU(3)$`\times `$SU(2)$`\times `$U(1) without an additional U(1). Unfortunately this does not appear to be possible. A complete listing of such $`Z_2`$ outer automorphism reductions is given in Table 2.

| $`G`$ | $`H`$ | action or restrictions |
| --- | --- | --- |
| U(1) | 1 | $`qq`$ |
| SU(n) | SO(n) | $`R\overline{R}`$ |
| SO(p+q) | SO(p)$`\times `$SO(q) | $`R\overline{R}`$, $`p,q`$ odd $`p+q=4n+2`$ |
| SO(p+q) | SO(p)$`\times `$SO(q) | $`SS^{}`$, $`p,q`$ odd $`p+q=4n`$ |
| SU(2n) | Sp(n) | $`R\overline{R}`$ |
| E6 | Sp(4) | $`R\overline{R}`$ |
| E6 | F4 | $`R\overline{R}`$ |

Table 2. Allowed rank reduction by orbifold action employing $`Z_2`$ outer automorphism twist.

## 4 Symmetry breaking by boundary conditions

As has been discussed in detail in the previous sections, the constructs resulting from GUT breaking by orbifolding are, in essence, higher dimensional field theories defined on $`R^4\times (C/K)`$, where $`(C/K)`$ is a compact manifold with boundaries. Apart from the obvious possibility of having certain degrees of freedom confined strictly to a boundary, the interesting structure of these theories is due to the different types of boundary conditions for the bulk fields. Until now, we have simply accepted that these boundary conditions are determined by the discrete orbifold symmetry $`K`$ (more precisely, by its realization in field space) which defines $`C/K`$. The advantage of this approach is that one simply restricts the space of physical field configurations of a consistent theory on the basis of a symmetry of the action, thereby automatically obtaining a new consistent theory.

However, it is not at all obvious that all consistent field theories on spaces with boundaries can be obtained in this way. Thus, it may be more general and, in certain cases, more economical666For example, to realize the prototypical $`S^1/(Z_2\times Z_2^{})`$ orbifold model, including fields localized on both boundaries, one has to start with a field theory on an $`S^1`$ with 4 branes (located at $`0`$, $`\pi /2`$, $`\pi `$ and $`3\pi /2`$) the Lagrangians of which are pairwise related by the two $`Z_2`$ symmetries. to start directly with a field theory on $`R^4\times M`$ (where $`M`$ is a compact manifold with boundary and its possible construction as $`C/K`$ is inessential). This theory is made consistent by an appropriate choice of boundary conditions. In the present section, we investigate the possibilities for choosing such boundary conditions and their implications for the surviving gauge symmetry and particle spectrum.

### 4.1 Consistent boundary conditions for scalar and gauge fields

Let us start with the simple case of a scalar field in a 5d space-time with 4d boundary located at $`y=0`$,

$$S=\underset{y=0}{}𝑑yd^4x\left(\frac{1}{2}(\phi )^2V(\phi )\right).$$
(16)
Varying this action, one obtains

$$\delta S=d^4x(_y\phi )\delta \phi |_{y=0}\underset{y=0}{}𝑑yd^4x\left(^2\phi +V^{}(\phi )\right)\delta \phi +\mathrm{},$$
(17)
where the dots stand for the contribution from a possible further boundary, which is of no concern at the moment. We want our theory to be consistently defined entirely in terms of the bulk field $`\phi (x,y)`$ with $`y>0`$. This will be the case if the boundary contribution in Eq. (17) vanishes (at least on the level of the classical action; see Section 6 for a discussion of the quantum case). Therefore we have the two obvious possibilities of demanding either $`\delta \phi =0`$ (Dirichlet) or $`_y\phi =0`$ (Neumann) at $`y=0`$. In the first case, a natural more special choice is $`\phi =0`$ at $`y=0`$.

Generalizing the above to the case of an Abelian gauge theory, one finds the two analogous possibilities $`A_\mu =0`$ or $`F_{5\mu }=0`$ at the boundary. While the first choice breaks gauge invariance at the boundary, the second choice leaves the gauge invariance completely intact. This can now be compared to what is done in the orbifolding case. On the one hand, gauge symmetry breaking is realized by the parity assignment $`A_\mu `$ and $`A_5+`$, which leads to the boundary conditions $`A_\mu =0`$ and $`_yA_5=0`$. It is immediately clear that this is precisely our Dirichlet-type boundary condition supplemented with the gauge choice $`_yA_5=0`$ (which can be realized even in the broken theory since the parameter $`\chi `$ of the gauge transformation $`A_MA_M+_M\chi `$, $`M=0,1,2,3,5`$ remains unrestricted away from the boundary). On the other hand, unbroken gauge symmetry follows from the assignment $`A_\mu +`$ and $`A_5`$ and boundary conditions $`_yA_\mu =0`$ and $`A_5=0`$. Again, we see that this is just our Neumann-type boundary condition in the $`A_5=0`$ gauge. Thus, at least in this particularly simple case, the boundary-condition-based approach describes the same physics.

In the case of a non-Abelian gauge theory with gauge group $`G`$ one finds, in complete analogy, that the boundary term in $`\delta S`$ vanishes if either $`A_\mu ^A=0`$ or $`F_{5\mu }^A=0`$ at the boundary ($`A_\mu =A_\mu ^AT^A`$ is the gauge potential and the $`T^A`$ form an orthonormal basis of the Lie algebra $`𝒢`$). Let $`G`$ have a subgroup $`H`$ with Lie Algebra $``$ so that $`𝒢=^{}`$. One now has the phenomenologically interesting option of breaking $`G`$ to $`H`$ by demanding $`A_\mu `$ and $`F_{5\mu }^{}`$ at the boundary. It is immediately clear that these conditions are indeed invariant under the full set of gauge transformations from $`H`$. Furthermore, let the set of indices $`\{A\}`$ consist of $`\{a\}`$ and $`\{\widehat{a}\}`$ so that the $`T^a`$ and $`T^{\widehat{a}}`$ form a basis of $``$ and $`^{}`$ respectively. Then our boundary conditions read $`F_{5\mu }^a=0`$ and $`A_\mu ^{\widehat{a}}=0`$, which is again equivalent to the familiar conditions from orbifolding with an appropriate gauge choice. Note, however, that one now has vastly more freedom as far as the symmetry breaking pattern is concerned. While, as discussed before, only very special subgroups can be obtained by $`Z_2`$ orbifold breaking, any subgroup $`HG`$ can be preserved by the boundary condition breaking described above.

A bulk field $`\mathrm{\Phi }`$ (with components $`\mathrm{\Phi }_i`$) transforming in some representation of $`G`$ can be discussed along the same lines. The boundary term in $`\delta S`$ vanishes if, for each $`i`$, either $`\mathrm{\Phi }_i`$ or $`(D_y\mathrm{\Phi })_i`$ (where $`D`$ is the covariant derivative) vanishes at the boundary. More abstractly, if $`\mathrm{\Phi }`$ takes values in the vector space $`V=V_1V_2`$, than we can demand $`\mathrm{\Phi }V_1`$ and $`D_5\mathrm{\Phi }V_2`$ at the boundary. Given that $`G`$ is broken to $`H`$ in the gauge sector, no further symmetry breaking will be introduced by this choice if $`H`$ is represented on $`V_1`$ and $`V_2`$ separately. Again, this is much more general than what is possible with the $`Z_2`$ parity matrix $`P`$ familiar from orbifolding. For example, one can choose $`V_1=0`$ ($`V_2=0`$) so that no (all) components of $`\mathrm{\Phi }`$ have KK zero modes.

### 4.2 Are more restrictive boundary conditions possible?

In the previous two subsections we have discussed the imposition of either Neumann or Dirichlet boundary conditions on the bulk fields at the location of the brane. The most interesting case is the breaking of a non-Abelian gauge group $`GH`$ by $`F_{5\mu }^a=0`$ and $`A_\mu ^{\widehat{a}}=0`$. In the bulk, the allowed gauge transformations are of the form $`U=\mathrm{exp}(i_a\xi ^a(x,y)T^a+i_{\widehat{a}}\xi ^{\widehat{a}}(x,y)T^{\widehat{a}})`$, with both the gauge transformation parameters $`\xi ^a(x,y)`$ and $`\xi ^{\widehat{a}}(x,y)`$ non-vanishing. Only at the brane are the $`\xi ^{\widehat{a}}(x,\mathrm{})=0`$, and purely the SM gauge symmetry is defined. However it is misleading to say in this case that there is no remnant of the bulk gauge symmetry $`G`$ at the brane. The reason is that the $`y`$-derivatives of the gauge field in the broken directions is non-zero $`_yA_\mu ^{\widehat{a}}0`$, and thus in general there can brane-localized interactions involving such a combination. Therefore, an interesting question is if it is possible to impose more restrictive boundary conditions that eliminate simultaneously both $`A_\mu ^{\widehat{a}}`$ and $`_yA_\mu ^{\widehat{a}}`$.777We thank Lawrence Hall for raising this question and for discussions.

To understand the problems of such a setup it is sufficient to address the case of a bulk scalar field. Let us therefore impose both $`\phi =0`$ and $`_y\phi =0`$ at the boundary. According to the discussion in Sect. 4.1, this is certainly a self-consistent boundary condition at the level of the classical action. However, by doing so one excludes completely the existence of the familiar KK excitations. To see this decompose the field in to 4d momentum eigenstates, so that $`_\mu ^\mu \phi =k^2\phi `$. Then the 5d field equation becomes (at the linearized level, suitable for building perturbation theory)

$$(_y^2k^2)\phi =m^2\phi $$
(18)
with $`m^2=^2V(\phi )/\phi ^2|_{\phi =0}`$. With the above boundary condition, the only solution is $`\phi (x,y)0`$. This implies that the space of 5d field configurations can not be described in terms of a superposition of eigenfunctions of the 4d momentum operator $`\widehat{P}_\mu `$ (with eigenvalues $`k_\mu `$.) Since usually this is the starting point of the quantization procedure, it is not obvious how to quantize the theory in the sense of conventional weakly coupled quantum field theory. Note that this problem is not improved in the more general situation with $`\phi =\phi _00`$ at the boundary (let alone the fact that such a boundary condition is unnatural in the physically interesting case of a gauge potential $`A_\mu `$).

To summarize, the more restrictive boundary conditions described above appear to work on a classical level, but not in any straightforward way in the quantum theory.

### 4.3 Boundary condition breaking from boundary VEVs

A simple field-theoretic realization of the above symmetry breaking by boundary conditions is obtained if a gauged boundary scalar $`\mathrm{\Phi }`$ is included in the action,

$$\mathrm{\Delta }S=\underset{y=0}{}𝑑yd^4x\delta (y)|D\mathrm{\Phi }|^2,$$
(19)
and $`\mathrm{\Phi }`$ acquires a vacuum expectation value (VEV) . Let us again start with the Abelian case and impose the gauge symmetry preserving boundary condition $`F_{5\mu }=0`$. Assume that the complex scalar $`\mathrm{\Phi }`$ acquires the VEV $`\mathrm{\Phi }=v/\sqrt{2}`$. Then, in the $`A_5=0`$ gauge, a KK mode of the field $`A_\mu `$ with 4d momentum $`k`$ has to solve the differential equation

$$\left[\frac{1}{g_5^2}\left(_y^2+k^2\right)+\delta (y)v^2\right]A_\mu =0.$$
(20)
Integrating this equation from 0 to an infinitesimal positive constant $`\epsilon `$ and making use of the boundary condition $`_yA_\mu =0`$, one obtains

$$_yA_\mu |_{y=\epsilon }=g_5^2v^2A_\mu .$$
(21)
Thus, in the limit $`v^2\mathrm{}`$, the field $`A_\mu `$ is driven to zero at the boundary. At the same time, the original boundary condition $`_yA_\mu =0`$ is relaxed at infinitesimal distance from the brane. As a result, we see that a large VEV of a gauged boundary scalar realizes precisely the gauge symmetry breaking boundary condition discussed abstractly in Sect. 4.1.

The non-Abelian case can be discussed in complete analogy. The main difference is that only the fields $`A_\mu ^{\widehat{a}}`$ (where $`T^{\widehat{a}}`$ are those generators which act non-trivially on the VEV of $`\mathrm{\Phi }`$) are forced to zero by a diverging VEV. Thus, precisely as discussed in Sect. 4.1, any breaking pattern can be realized if boundary scalars in arbitrary representations of $`G`$ can acquire VEVs. For example, SO(10) can be broken to SU(5) by a large vacuum expectation value of a brane localized scalar field in the $`\mathrm{𝟏𝟔}`$ of $`SO(10)`$. This is physically different from either inner or outer $`Z_2`$ orbifold breaking.

## 5 The relation between orbifold breaking and Wilson line breaking of gauge symmetries

In this section, we discuss the relation between orbifold breaking of gauge symmetries and the familiar Wilson line breaking mechanism (also known as flux breaking or the Hosotani mechanism) . This mechanism works for a gauge field theory on a space $`R^4\times (C/K)`$, where $`K`$ acts freely on $`C`$. There exist two equivalent descriptions, depending on whether one considers fields defined on the covering space $`R^4\times C`$ or on the true physical space $`R^4\times (C/K)`$ (see  for a particularly clear discussion of this issue).

In the first definition, one requires for consistency that fields $`\mathrm{\Phi }`$ transforming under the gauge group $`G`$ are identical up to an $`x`$-independent gauge transformation when evaluated at two points of $`C`$ related by a transformation $`kK`$:

$$\mathrm{\Phi }_i(x,k[y])=R_{ij}(k)\mathrm{\Phi }_j(x,y).$$
(22)
Here $`xR^4`$, $`yC`$, and the map $`kR(k)`$ has to be respect the group property: $`R(kk^{})=R(k)R(k^{})`$. In particular, Eq. (22) holds for the gauge potential itself, in which case $`R(k)`$ is a matrix in the adjoint representation of $`G`$. In this approach, it is obvious that orbifold breaking is obtained from Wilson line breaking by simply giving up the requirement of a free action of $`K`$ on $`C`$. Apart from that, the discussion of Sect. 2 applies to both orbifold and Wilson line breaking. If the map $`kR(k)`$ is derived from a group homomorphism $`KG`$ (cf. the inner automorphism case of Sect. 3), then the symmetry is reduced to those elements of $`G`$ that commute with all elements of $`K`$.

We observe that, on a technical level, orbifold breaking has one important new feature when compared to Wilson line breaking. Since it is assumed that the gauge potential is continuous 888 After the first version of this paper appeared, orbifold theories with discontinuities of certain fields at the fixed points have been discussed in . Such structures represent a modification of the original orbifolding idea where all fields are smooth because they belong to a subset of the field space on a smooth manifold., gauge fields $`A_\mu ^{\widehat{a}}`$ on which $`K`$ acts non-trivially are forced to actually vanish at the orbifold fixed point. This has no analogue in Wilson line breaking because of the free action of $`K`$ on $`C`$.

In the second definition of Wilson line breaking, fields are defined on $`R^4\times (C/K)`$ in the presence of a background field $`B_M`$ with vanishing field strength. By definition, Wilson loops of $`B_M`$ corresponding to certain non-contractible closed paths in $`C/K`$ take certain non-trivial fixed values (which explains the name Wilson line breaking). The relation to the first definition follows from the observation that non-contractible loops in $`C/K`$ can be lifted to paths connecting points $`y`$ and $`k[y]`$ in $`C`$, and the corresponding Wilson lines provide the desired group homomorphism $`KG`$.

Starting with the first definition of Wilson line breaking, one can go to the second definition by performing a gauge transformation on $`C`$ that undoes the relative rotation of fields at $`y`$ and $`k[y]`$. The vacuum on $`C`$ (where the gauge potential vanishes) is thereby transformed into the background field $`B_M`$ discussed above. More explicitly, let this gauge transformation be defined by the function $`U(y)`$. Then

$$A_M(x,y)U(y)[A_M(x,y)i_M]U^1(y)=A_M^{}(x,y)+B_M(y),$$
(23)
where $`B_M`$ is the background field and $`A_M^{}`$ is the new gauge field, satisfying the condition $`A_M^{}(y)=A_M^{}(k[y])`$. Following this line of thinking, it is particularly easy to see what the orbifold analogue of the second definition of Wilson line breaking looks like. We will now describe this procedure in the case of the simple model of SU(5) breaking on $`S^1/(Z_2\times Z_2^{})`$ of Sect. 2.2.

After modding out of the first, SU(5)-preserving $`Z_2`$, our theory is defined on the interval $`y^{}[\mathrm{},\mathrm{}]`$. Thus, $`C=[\mathrm{},\mathrm{}]`$ is the covering space on which $`K=Z_2^{}`$ acts, and $`C/K=[0,\mathrm{}]`$. According to the first definition of Wilson line breaking, we demand that $`\mathrm{\Phi }_i(x,y^{})=R_{ij}(1_{Z_2^{}})\mathrm{\Phi }_j(x,y^{})`$, where $`R(1_{Z_2^{}})=`$ diag$`(1,1,1,1,1)=P^{}`$ in the fundamental representation. In particular, this has to hold for the gauge potential999 Note that, viewing the gauge potential as a Lie-algebra valued form, the extra minus sign of the 5th component $`A_5`$ becomes a trivial consequence of the reflection of space induced by $`1_{Z_2^{}}`$. . Now we can perform a gauge rotation with the matrix $`P^{}`$ SU(5) on $`[\mathrm{},0][\mathrm{},\mathrm{}]`$. This rotation is generated by an element of the Cartan subalgebra of the Lie algebra of SU(5): $`P^{}=`$ exp$`(iT)`$ with $`T=\pi `$ diag$`(2,2,2,3,3)`$. As a result, we now have a theory where $`\mathrm{\Phi }_i(x,y^{})=\mathrm{\Phi }_j(x,y^{})`$. The price we pay for this is that we have to work in the non-trivial background $`B_M=\delta _{5M}\delta (y^{})T`$. In other words, we work in a background with non-trivial Wilson loop

$$W=\mathrm{exp}\left(i_y^{}^y^{}𝑑y^{\prime \prime }B_5(y^{\prime \prime })\right)=P^{}.$$
(24)
Since, by definition, we are now discussing a theory where the gauge potential is symmetric under $`Z_2^{}`$ (i.e., $`B_5(y^{})=B_5(y^{})`$ for $`y^{}0`$), this Wilson loop gets a contribution only from the orbifold fixed point. It is also, as required, invariant under gauge transformations on $`C/K[0,\mathrm{}]`$. This becomes obvious if one observes that, when working on the covering space $`C[\mathrm{},\mathrm{}]`$, such gauge transformations rotate fields on $`(0,\mathrm{}]`$ and $`[\mathrm{},0)`$ in the same way.

Now consider the classical action for a perturbation $`A_\mu `$ (recall that now $`A_\mu (y^{})=A_\mu (y^{})`$) in this background. Since

$$F_{5\mu }^A=_5A_\mu ^A_\mu A_5^A+f^{ABC}(B_5^B+A_5^B)A_\mu ^C,$$
(25)
the term $`F_{5\mu }F^{5\mu }`$ in the Lagrangian induces a boundary mass for fields $`A_\mu ^{\widehat{a}}`$ (where $`T^{\widehat{a}}`$ are those generators which do not commute with $`T`$.) More specifically, the lagrangian for $`A_\mu ^{\widehat{a}}`$ up to quadratic order reads

$$=\frac{1}{4g^2}\underset{\widehat{a}}{}\left[_\mu A_\nu ^{\widehat{a}}_\nu A_\mu ^{\widehat{a}}\right]^2\frac{1}{4g^2}\underset{\widehat{a}}{}\left[_5A_\mu ^{\widehat{a}}+\underset{b,\widehat{c}}{}f^{\widehat{a}b\widehat{c}}B_5^bA_\mu ^{\widehat{c}}\right]^2.$$
(26)
We see that the term proportional to $`B_5^2`$ corresponds to a mass term for the field $`A_\mu ^{\widehat{a}}`$. This mass term is localized at $`y^{}=0`$ and proportional to the square of a $`\delta `$ function. We conclude that this infinite mass term will force $`A_\mu ^{\widehat{a}}`$ to vanish at the boundary $`y^{}=0`$. To be more precise, one can replace the $`\delta `$ function by a function $`\delta _\epsilon (y^{})`$, defined to be $`1/\epsilon `$ for $`y^{}(\epsilon /2,\epsilon /2)`$ and zero otherwise, and take the limit $`\epsilon 0`$ at the end. Now consider field configurations $`A_{\mu (\epsilon )}^{\widehat{a}}`$ which are finite together with their first derivatives in the limit $`\epsilon 0`$. It is clear that one has to require $`lim_{\epsilon 0}A_{\mu (\epsilon )}^{\widehat{a}}(y^{}=0)=0`$ to obtain a finite action in this limit. Thus, as in the orbifolding definition of the model, the fields $`A_\mu ^{\widehat{a}}`$ corresponding to broken generators of the gauge group $`G`$ are forced to vanish at the boundary. 101010 One could reach the same conclusion by analyzing the equation of motion for $`A_\mu ^{\widehat{a}}`$ in the regularized-$`\delta `$-function background and demanding finiteness of the field and its first derivatives in the limit $`\epsilon 0`$.

Note that the infinite mass term in Eq. (26) can be understood as coming from the kinetic term $`|D_\mu H|^2`$ of an adjoint Higgs field $`H`$ at the boundary which develops an infinite expectation value in $`T`$ direction. Clearly, on a technical level, the background field $`B_5`$ plays the role of this Higgs field. Thus, similarly to the situation on smooth manifolds , there exists an analogy between Wilson line breaking and breaking by an adjoint Higgs VEV.

In this section, we have so far assumed that $`K`$ acts on all fields by $`x`$-independent gauge transformations (cf. Eq. (22)). However, in the particularly interesting orbifolding example of Sect. 2.2 this is obviously not the case. In fact, it is precisely the choice of the matrix $`P^{}`$ (where $`P^{}`$ SU(5)) for the transformation of the Higgs which so elegantly solves the doublet-triplet splitting problem in Kawamura’s original proposal . We want to interpret this construction as a particular example of Wilson line breaking. To achieve this, let us generalize what we mean by Wilson line breaking by allowing matrices $`R_{ij}(k)`$ in Eq. (22) corresponding to all the symmetries of the theory (and not just gauge transformations). All that matters is that the group multiplication in $`K`$ is respected and that the Lagrangian is left invariant. From this perspective, the orbifold model of Sect. 2.2, now including the Higgs field, is conceptually the same as Wilson line breaking (more generally understood), but with a non-free action of $`K`$. In fact, one could take the obvious next step and address the doublet-triplet splitting problem in an SU(5) GUT with conventional Wilson line breaking on an $`S^1`$ by introducing an additional phase $`1`$ in the boundary conditions of the Higgs.

Such additional phases are, of course, familiar in the case of fermions, where they do not affect observable quantities since these are quadratic in fermion fields. However, we see no conceptual problem with introducing them for scalar fields as well. One may certainly worry whether it is still valid to consider $`R^4\times S^1`$ as the true physical space, given that the (observable) sign of a scalar field is not unambiguously defined. This may, however, not be necessary for the theory to be consistent.

## 6 (Quantum) Consistency of field theoretic orbifolds

In string theory a well-understood issue is that of the consistency of string propagation on singular orbifold spaces. In the effective field theory context in which we are here working this issue needs to be re-examined. First, though, we should quickly address why we choose to work in the effective theory framework at all.

If one is interested in investigating the phenomenological consequences of a particular field content and symmetry structure, the effective theory approach is in many ways superior: it allows an efficient survey of the possibilities unencumbered by unnecessary restrictions that would be inferred from any single UV completion.111111Of course the construction of a specific UV theory can give us new relations between couplings in the effective theory which can be of great interest, just like QCD gives relations between couplings in the low-energy effective chiral Lagrangian theory of pions. In particular, if one finds that a phenomenologically desirable structure is impossible to realize in the effective-field-theory context, then this approach assures one that it is also impossible to realize in any UV completed theory. Moreover, we claim that all necessary consistency conditions that the low-energy theory must satisfy can already be seen at low-energy. An outstanding example of such a constraint is the necessity of anomaly cancellation in the low-energy effective theory.

We emphasize that this philosophy is nothing but the usual one for effective field theories, and which has had great success since at least the era of the Fermi model of the weak interactions, and the Ising and Heisenberg models of magnetic materials.

### 6.1 Unitarity, self-adjointness, and boundary conditions

We now turn to the specific question of the field theoretic consistency of orbifold models. Most elementary is the requirement that the truncation enacted by the orbifold projection on the space of KK modes be consistent with the interactions of the theory. If not then, for example, it would be possible to scatter two allowed zero modes producing one or more disallowed zero modes, and the pole and cut structure of $`S`$-matrix elements would not correspond to physical particle states. This requirement is automatically met if the orbifold action mods out by a symmetry of the parent theory. In the boundary condition approach of Section 4.3 it is also guaranteed by, for example, the consistent realization of the necessary boundary VEVs via a boundary quantum field theory.

At the quantum level there seem to be two different types of consistency questions: First one may be concerned about loss of unitarity in propagation on such singular spaces. Certainly large enough co-dimension orbifold fixed points are locations of curvature singularities, and are thus not in the usual sense geodesically complete. For example in co-dimension two (e.g., the 6d model $`R^4\times T^2/Z_3`$ discussed in Section 3.1) the fixed point is a conical singularity. Thus in the low energy effective Lagrangian there are naively $`\delta `$-function terms in the curvature, which can appear in the effective action for the light fields, leading to ambiguous time evolution.121212Consistent with our effective field theory viewpoint, these $`\delta `$-functions should really be interpreted as some distribution with characteristic length scale $`1/M_{}`$, where $`M_{}`$ is our gravitational cutoff. The real issue is, however, possible violation of the conservation of energy and momentum (or other conserved quantum numbers) at the singularity in the second-quantized theory. To assess if this happens we must ask if it is possible to apply boundary conditions to the fields at the singularity so as to ensure that operators such as the Hamiltonian or angular momentum are self-adjoint. More precisely in the space of $`L^2(R)`$-integrable functions $`\phi `$ we require that it is possible to find boundary conditions such that

$$_0^r\sqrt{g_{ij}}\phi ^{}(H\phi )=_0^r\sqrt{g_{ij}}(H^{}\phi ^{})\phi ,$$
(27)
where $`r`$ is here a radial coordinate running from the position of the singularity, taken to be at $`r=0`$. Mathematically speaking, this is the problem of finding the so-called self-adjoint extensions of an operator . Such a self-adjoint extension is typically allowed when the singularity is not too severe. Specifically, as demonstrated in Ref. for the case of conical gravitational singularities, and in Ref.  in the case of gauge singularities of Aharonov-Bohm type (namely gauge configurations with non-zero Wilson lines, and $`F=0`$ except at co-dimension 2 singular points – which we know by the discussion in Section 5 do occur at the fixed points when we act on the fields by gauge twists), the self-adjoint extension does exist. This ensures that there is no problem with unitarity loss in these theories with conical-type singularities.131313Quite often the self-adjoint extension is not unique, but is instead described by a multi-parameter family. This just corresponds to the fact that low-energy unitarity is not strong enough to fix the boundary conditions uniquely, and these additional parameters simply correspond to the fact that a given IR theory may have different UV completions. Actually, to be precise the effective orbifold theory is unitary at low-energy, below the cutoff. From an effective theory viewpoint this is all we need care about: high-energy unitarity is not in the domain of concerns for an effective theory. For example, $`S`$-matrix elements derived from the chiral Lagrangian describing pion interactions have, at energies comparable to the cutoff, $`E1\mathrm{GeV}`$, unphysical poles and cuts. This does not invalidate the theory as a good description below the cutoff.

We now turn to the second consistency issue, that of anomaly cancellation.

### 6.2 Anomaly constraints

The absence of anomalies in the low-energy theory is a more restrictive and interesting requirement. It is important to understand that in orbifold models there are in principle two types of anomalies: 4d anomalies  intrinsic to the fixed points, and higher-dimensional anomalies intrinsic to the bulk. The basic reason for there being two classes of anomaly cancellation requirements is that the orbifold action can introduce new chiral fields localized at the fixed points (3-branes), in addition to the higher-dimensional chiral fields that may already propagate in the bulk. Alternatively, in the boundary condition approach the boundary quantum field theory realizing the boundary conditions can (must) be chiral, and can in principle introduce new anomalies. It is necessary for the low energy consistency of the theory that both the fixed-point and the bulk anomalies be canceled. For the 4d fixed point anomalies it is sufficient to check anomaly cancellation only for the massless zero mode spectrum, since it is only massless fields that cannot be regulated in a gauge-invariant way (say by Pauli-Villars) that can lead to an anomaly. Such 4d anomaly cancellation conditions are identical to those usually imposed on the SM, and since we want to realize the spectrum of the SM or MSSM this is not a particular difficulty. (See the discussion of Ref. , where, however, considerations were limited to the anomalies associated to the fixed points.) However, in space-time dimension $`d>5`$ the cancellation of the bulk local anomalies turns out to be a very restrictive requirement.

To motivate this let us consider the interesting example of an SO(10) theory (which for simplicity we choose to be non-supersymmetric) defined on a 6d bulk. Let us suppose that this theory has as its left-handed fermion content a single $`\mathrm{𝟏𝟔}`$ of SO(10). If this theory were in 4d then it would be anomaly free. However, in 6 dimensions the anomalous triangle diagram with 3 gauge currents is replaced by a box diagram with 4 gauge currents, and, unfortunately, a single $`\mathrm{𝟏𝟔}`$ of SO(10) has a non-zero quartic anomaly as the totally symmetric 4th order invariant $`\mathrm{Tr}_S(T^aT^bT^cT^d)=A(\delta ^{ab}\delta ^{cd}+\delta ^{ac}\delta ^{bd}+\delta ^{ad}\delta ^{bc})`$ of SO(10) in the spinor representation is non-zero (we give its precise value in Eq. (30)).

Thus, as an example of the general situation in $`d6`$, let us consider some aspects of the anomaly structure of 6d theories in greater detail. Unlike the Lorentz group in odd dimensions (5d for example) where chirality is not defined, the 6d Lorentz group has chiral representations. In fact there are three types of fields which contribute to anomalies: chiral spin 1/2 fermions, chiral spin 3/2 fermions, and (anti) self-dual 3-forms. As discussed in Refs.  (see also  for useful trace relations) the total anomaly can be deduced via so-called descent equations from a formal eight-form polynomial $`I(F,R)`$ built out of the Yang-Mills 2-form field strength $`F`$ and the 2-form Riemann tensor $`R_{\mu \nu }`$.141414Traces are taken over the SO(5,1) indices $`a,b`$ of $`(R_{\mu \nu })_a^b`$. The 8-form anomaly polynomial is the sum of the contributions from the various chiral fields in the theory.

It turns out that in the case of pure gauge and mixed gauge-gravity anomalies only chiral spin 1/2 fermions contribute, leading to

$`I_{\mathrm{gauge}}^{(1/2)}(F)`$ $`=`$ $`{\displaystyle \frac{1}{4!(2\pi )^3}}\underset{r}{tr}F^4,`$
$`I_{\mathrm{mixed}}^{(1/2)}(R,F)`$ $`=`$ $`{\displaystyle \frac{1}{4}}{\displaystyle \frac{1}{4!(2\pi )^3}}trR^2\underset{r}{tr}F^2,`$ (28)
where $`r`$ is the gauge representation of the fermions, and wedge products are assumed. On the other hand there are three sources of the purely gravitational anomalies arising from chiral spin 1/2, chiral spin 3/2, and self-dual 3-form fields. Their contributions are

$`I_{\mathrm{grav}}^{(1/2)}(R)`$ $`=`$ $`{\displaystyle \frac{1}{4!(2\pi )^3}}\left({\displaystyle \frac{1}{240}}trR^4+{\displaystyle \frac{1}{192}}(trR^2)^2\right),`$
$`I_{\mathrm{grav}}^{(3/2)}(R)`$ $`=`$ $`{\displaystyle \frac{1}{4!(2\pi )^3}}\left({\displaystyle \frac{49}{48}}trR^4{\displaystyle \frac{43}{192}}(trR^2)^2\right),`$
$`I_{\mathrm{grav}}^{(3\mathrm{form})}(R)`$ $`=`$ $`{\displaystyle \frac{1}{4!(2\pi )^3}}\left({\displaystyle \frac{7}{60}}\mathrm{tr}R^4{\displaystyle \frac{1}{24}}(trR^2)^2\right).`$ (29)
For bulk anomaly cancellation we need the total anomaly polynomial from the sum over all bulk fields to vanish.

To make use of these fomulae for anomaly cancellation we need the relationship between the anomaly contributions from fields in different SO(10) representations, or, equivalently, the relationship between traces taken in different representations. For SO(n) theories we have for example (denoting the fundamental $`F`$, adjoint $`A`$, and spinor $`S`$):

$`\underset{A}{tr}F^2`$ $`=`$ $`(n2)\underset{F}{tr}F^2`$
$`\underset{A}{tr}F^4`$ $`=`$ $`(n8)\underset{F}{tr}F^4+3(\underset{F}{tr}F^2)^2`$
$`\underset{S}{tr}F^2`$ $`=`$ $`2^{(n8)/2}\underset{F}{tr}F^2`$
$`\underset{S}{tr}F^4`$ $`=`$ $`2^{(n10)/2}\underset{F}{tr}F^4+3(2^{(n14)/2})(\underset{F}{tr}F^2)^2.`$ (30)
(For completeness the SU(n) case has, for example, $`tr_AF^2=2ntr_FF^2`$ and $`tr_AF^4=2ntr_FF^4+6(tr_FF^2)^2`$ except in the cases $`n=2,3`$ where there is no independent 4th-order invariant and $`tr_AF^4=(trF^2)^2/2`$.)

Thus from Eqs. (28) and (30) we see that a single $`\mathrm{𝟏𝟔}`$ of SO(10) has a gauge anomaly. Let us focus on the leading term $`tr_FF^4`$ in the expansion of $`tr_SF^4`$. To cancel this requires either a rhd mirror $`\mathrm{𝟏𝟔}`$ (so the theory is non-chiral), or a lhd spin 1/2 field in the $`\mathrm{𝟏𝟎}`$ of SO(10). Actually because of the second term proportional to $`(tr_FF^2)^2`$ in the expansion of the spinor trace of $`F^4`$ this is not sufficient to cancel the entire anomaly. Such sub-leading factorized contributions to the anomaly polynomial correspond to what are known as reducible anomalies, in distinction to the leading so-called irreducible anomalies. The reducible anomalies, which are a new feature relative to the familiar 4d case, do not necessarily have to cancel by summing over the chiral matter spectrum. Rather, the Green-Schwarz mechanism  utilizing the interactions and exchange of antisymmetric tensor fields can apply. Non-trivial string-theoretic orbifolds always invoke this mechanism. Thus we expect that the introduction of antisymmetric tensor fields will be necessary to render the effective field-theory orbifold anomaly-free, and these fields lead to axion-like degrees of freedom in the low-energy 4d theory. Although it is quite interesting to discuss in detail these extra fields and their consequences, we leave this for a future publication devoted to the phenomenology of generalized orbifold GUT models. Here we just note that, independent of the possibility of the GS mechanism, it is a necessary condition for anomaly freedom that the chiral field content of the theory leads to a cancellation of the irreducible anomalies. This alone is a highly restrictive requirement.

In fact the minimally supersymmetric 6d theories ($`(1,0)`$-SUSY, with 8 real supercharges) of most interest are further constrained since the $`(1,0)`$ SUSY algebra requires the gravitino and gauginos to have opposite chirality from the matter fermions which must all share the same chirality . Taking a Panglossian viewpoint it is possible to dream that these severe constraints in the 6d (and higher) case can be used to derive or restrict the number of generations, along the lines of the discussion of Ref. .

## 7 Conclusions

In this paper we have performed a detailed analysis of the structure of orbifold gauge theories, paying particular attention to the possibilities for gauge symmetry breaking. To set the stage for our discussion we studied in Section 2.1 the field-theoretic orbifolding procedure. The meaning of ‘modding out’ a theory by a discrete symmetry group acting simultaneously in physical and field space was discussed, while in Section 6 we studied issues connected to the quantum-mechanical consistency of this procedure in the effective field theory context. These included the requirements for defining a sensible theory on singular orbifold spaces, and especially the stringent anomaly cancellation conditions that apply to theories in $`d>5`$ dimensions.

The group theoretic structure of orbifold breaking of gauge symmetries was analysed in detail in Section 3. Different breaking patterns emerge if the discrete orbifolding symmetry is realized in field space as an inner (see Sect. 3.1) or outer (see Sect. 3.2) automorphism of the Lie algebra. A complete classification was given of the simple but physically very interesting case of $`Z_2`$ orbifold actions, which includes the popular $`S^1/(Z_2\times Z_2^{})`$ models. We showed that rank reduction is possible, and discussed how this is achieved in the $`Z_2`$ case by the use of outer automorphisms. Some aspects of larger orbifold-GUT theories based on the groups SO(10) and E6 were noted. (We emphasize that for more general non-Abelian orbifold actions rank reduction is generic.)

In Section 4, we outlined an alternative and in principle much more general approach, which starts from a theory defined on a space with boundaries and breaks the gauge symmetry by consistently chosen boundary conditions for the gauge potential. One realization of this is by expectation values of boundary fields, as discussed in Section 4.3. For example, the physically important breaking of SO(10) to SU(5), inaccessible to the $`Z_2`$ orbifolding procedure, is straightforwardly realized by a boundary scalar in the 16 of SO(10). In Section 5 we turn to the close relation of orbifold breaking (as so far studied in the context of the $`S^1/(Z_2\times Z_2^{})`$ model) and the more traditional Wilson line breaking of gauge symmetries. We argued that, in the orbifolding case, one can equivalently think of a background gauge field restricted to the singularity (with non-trivial Wilson loop) as enforcing the orbifold boundary conditions for the gauge potential.

Overall, it is clear that GUT theories constructed by field-theoretic orbifolding have a rich structure with exciting new possibilities for phenomenology.

Acknowledgments: We are very grateful to Guido Altarelli, Wilfried Buchmüller, Lawrence Hall, Takemichi Okui, Erich Poppitz, Riccardo Rattazzi and Claudio Scrucca for helpful conversations. JMR thanks the members of the Theory Group, LBNL, for their kind hospitality during the completion of this work.


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# Scale-free Network in Financial Correlations

## Abstract

We study the cross-correlations in stock price changes between the S&P 500 companies by introducing a weighted random graph, where all vertices (companies) are fully connected, and each edge is weighted. The weight assigned to each edge is given by the normalized covariance of the two modified returns connected, so that it is ranged from -1 to 1. Here the modified return means the deviation of a return from its average over all companies. We define influence-strength at each vertex as the sum of the weights on the edges incident upon that vertex. Then we found that the influence-strength distribution in its absolute magnitude $`|s|`$ follows a power-law, $`P(|s|)|s|^\delta `$, with exponent $`\delta 1.8(1)`$.

PACS numbers: 89.75.Da, 89.65.Gh, 05.10.-a

Recently complex systems such as biological, economic, physical, and social systems have received considerable attentions as an interdisciplinary subject. Such systems consist of many constituents such as individuals, companies, substrates, spins, etc, exhibiting cooperative and adaptive phenomena through diverse interactions between them. In particular, in economic systems, adaptive behaviors of individuals, companies, or nations, play a crucial role in forming macroscopic patterns such as commodity prices, stock prices, exchange rates, etc, which are formed mostly in a self-organized way . Recently, many attentions and studies have been focused and performed on the fluctuations and the correlations in stock price changes between different companies in physics communities by applying physics concepts and methods.

Stock price changes of individual companies are influenced by others. Thus, one of the most important quantities in understanding the cooperative behavior in stock market is the cross-correlation coefficients between different companies. Since the stock prices changes depend on various economic environments, it is very hard to construct a dynamic equation, and predict the evolution of the stock price change in the future. Recently, there have been some efforts to understand the correlations in stock price changes between different companies using a random matrix theory, where large eigenvalues are located far away from the rest part predicted by the random matrix theory, reflecting the collective behavior of the entire market as well as the subordination among the stock prices .

Let $`Y_i(t)`$ be the stock-price of a company $`i`$ ($`i=1,\mathrm{},N`$) at time $`t`$. Then the return of the stock-price after a time interval $`\mathrm{\Delta }t`$ is defined as

$$S_i(t)=\mathrm{ln}Y_i(t+\mathrm{\Delta }t)\mathrm{ln}Y_i(t),$$
(1)
meaning the geometrical change of $`Y_i(t)`$ during the interval $`\mathrm{\Delta }t`$. We take $`\mathrm{\Delta }t=1`$ day for the following analysis in this Letter. The cross-correlations between individual stocks are considered in terms of a matrix $`𝐂`$, whose elements are given as

$$C_{i,j}\frac{S_iS_jS_iS_j}{\sqrt{(S_i^2S_i^2)(S_j^2S_j^2)}},$$
(2)
where the brackets mean a temporal average over the period we studied. Then $`C_{i,j}`$ can vary between \[-1,1\], where $`C_{i,j}=1`$ (-1) means that two companies $`i`$ and $`j`$ are completely correlated (anti-correlated), while $`C_{i,j}=0`$ means that they are uncorrelated. Since the matrix $`𝐂`$ is symmetric and real, all eigenvalues are real, and the largest eigenvalue is not degenerate. It was found that the eigenvector corresponding to the largest eigenvalue is strongly localized at a few companies which strongly influence other companies in the stock price changes. Moreover, the ultrametric hierarchical tree structure was constructed among those companies, using the concept of the minimum spanning tree in the graph theory, which arranges those companies in order following their strengths of influence.

In this Letter, we study further properties of the cross-correlations in stock price changes using a random graph theory. The study of complex systems through a random graph was initiated by Erdös and Rényi (ER), however, the ER model is too random to describe real-world complex systems. Recently, Barabási and Albert (BA)  introduced an evolving network where the number of vertices increases with time rather than fixed, and a newly introduced vertex is connected to $`m`$ already existing vertices, following the so-called preferential attachment rule. The number of edges $`k`$ incident upon a vertex is called the degree of the vertex. Then the degree distribution $`P(k)`$ follows a power-law $`P(k)k^\gamma `$ with $`\gamma =3`$ for the BA model, while for the ER model, it follows a Poisson distribution. The network following a power-law in the degree distribution is called scale-free (SF) network.

For the problem of the correlations in stock price changes, each vertex (edge) in the random graph corresponds to a company (the cross-correlation in stock price changes between the companies connected via that edge). The random graph generated in this way is different from a typical one in the following way: While the edge in a typical random graph has weight either 1 or 0, depending on if the edge is present or not, respectively, the edge in the random graph we will introduce has weight $`\{w_{i,j}\}`$, which is rather distributed between \[-1,1\]. For further studies, the random graph for the former (later) case is called binary random graph (BRG) (weighted random graph (WRG)). While WRG can be found easily in real-world networks such as neural networks, cardiovascular networks, and respiratory networks in biological systems, acquaintance networks in social systems, etc, it is less studied, compared with BRG. In WRG, one may wonder if the edge with weak weight, called the weak edge, can be ignored in considering the correlations, however, there have been ongoing discussions about the importance of the weak edges, for example, in social acquaintance network, the scientific collaboration web, and ecosystems. We will also show that the WRG introduced in this Letter is different from the corresponding DRG in which weak edges are ignored and the remaining edges are assigned a unit weight.

Recently, Yook, Jeong and Barabási (YJB) introduced a WRG. In this model, a vertex $`i`$ is newly introduced at each time step, connecting to $`m`$ vertices existing already according to the so-called preferential attachment rule. The edge connecting from the vertex $`i`$ to an existing vertex $`j`$ is assigned a weight $`w_{i,j}`$, depending on the degree of the vertex $`j`$, which is not uniform. The weight at each vertex is defined as the sum of the weights on the edges incident upon that vertex, which follows a power-law in its distribution, $`P(w)w^\delta `$, where $`w`$ means weight at a vertex. The exponent $`\delta `$ is different from the degree exponent $`\gamma `$, and turns out to strongly depend on the mean degree $`m`$. While the YJB model is meaningful as a first step towards understanding diverse WRGs in real-world in a simple way, it is very different from what we will consider in association with the cross-correlations in stock price changes. The WRG we will introduce below are fully connected, and each edge is weighted, while the YJB graph is also weighted, but sparsely connected.

We consider the cross-correlations in stock-price changes between the S&P 500 companies during 5-year period 1993-1997. Thus, the $`N=500`$ companies correspond to 500 vertices, which are fully connected to each other through $`N(N1)/2`$ edges. Each edge is assigned a weight, $`w_{i,j}`$ ($`i,j=1,\mathrm{},N`$), which is slightly modified from the cross-correlation coefficient $`C_{i,j}`$ defined in Eq.(2). Before defining $`w_{i,j}`$ specifically, we first recall some properties exhibited by $`C_{i,j}`$. It is known that the distribution of the coefficients $`\{C_{i,j}\}`$ is a bell-shaped curve, and the mean value of the distribution is slowly time-dependent, while the standard deviation is almost constant . The time-dependence of the mean value might be caused by external economic environments such as bank interest, inflation index, exchange rate, etc, which fluctuates from time to time. To extract intrinsic properties of the correlations in stock price changes, we introduce a quantity,

$$G_i(t)=S_i(t)\frac{1}{N}\underset{i}{}S_i(t),$$
(3)
where $`G_i(t)`$ indicates the relative return of a company $`i`$ to its mean value over the entire 500 companies at time $`t`$. The cross-correlation coefficients are redefined in terms of $`G_i`$,

$$w_{i,j}\frac{G_iG_jG_iG_j}{\sqrt{(G_i^2G_i^2)(G_j^2G_j^2)}}.$$
(4)
The cross-correlation coefficients $`\{w_{i,j}\}`$ are assigned to each edge of the WRG as its weight. In order to check if the distribution $`P(w)`$ is time-independent, we take temporal average in Eq.(4) over each year from 1993 to 1997. In Fig.1, we plot the distributions of $`\{w_{i,j}\}`$ obtained for each year. The data for different years are indeed overlapped, and time-independent. Therefore we think that the cross-correlation coefficients $`\{w_{i,j}\}`$ we introduced are appropriate to study intrinsic properties of the cross-correlations between the 500 S&P companies.

We define the influence-strength $`s_i`$ at a vertex $`i`$ as the sum of the weights on the edges incident upon the vertex $`i`$, that is,

$$s_i=\underset{ji}{}w_{i,j},$$
(5)
where $`j`$ denotes the vertices connected to the vertex $`i`$. Here $`\{w_{i,j}\}`$ was obtained numerically by temporal averaging over the 5 years in Eq.(4). Then the weight $`s_i`$ means the net amount of influence for the company $`i`$ to affect other companies in stock price changes. Since the weight $`w_{i,j}`$ is distributed between \[-1,1\], the influence-strength at a certain vertex could be negative. Thus, we deal with the absolute magnitude of the influence-strength for each vertex. In Fig.2, we plot the influence-strength distribution $`P(|s|)`$ in the absolute magnitude as a function of $`|s|`$, which turns out to follow a power-law, $`P(|s|)|s|^\delta `$. The exponent $`\delta `$ is estimated to be $`\delta 1.8(1)`$. Thus the cross-correlations in stock price changes forms a SF network, which in particular is a weighted SF network. To our knowledge, this is the first observation of SF WRG emerging in real-world economic systems. The presence of a scaling in the cross-correlations through the WRG would be related to the ultrametric hierarchical tree structure, implying that there exist a few companies having strong influence in stock price changes. On the other hand, it is easy to know that as the degree exponent in SF networks is smaller, the connectivity to the hub, the vertex with the largest degree, is higher, and the network is much centralized. This fact is also applicable to the SF WRG we introduced. Since the influence-strength exponent $`\delta `$ is smaller than 2 in the WRG, the vertex having largest influence-strength plays a much important role in affecting stock price changes of other vertices, compared with the role of the hub in the Internet, the world-wide web and the metabolic network, where the degree exponent is greater than 2. We think that this result reflects that economic systems is much correlated and adaptive to achieve high profits. Thus the rich-get-richer phenomenon appears much strongly in economic systems, compared with the information systems. In contrast, we can expect that a simple drop in the stock price occurring in one of most influential companies could lead to a crash in the entire stock market.

Next, we study the matrix $`𝐖`$ whose elements are given by $`w_{i,j}`$. We found the distribution of the eigenvalue $`\lambda `$ for the matrix $`𝐖`$ shown in Fig.3, looking similar to the one for the matrix $`𝐂`$ previously studied; For small $`\lambda `$, the spectrum is likely to follow the prediction by the random matrix theory, while it exhibits a fat-tail behavior for large $`\lambda `$. However, we found that the gap between the first and second largest eigenvalues for the matrix $`𝐖`$ is not as big as the one for the matrix $`𝐂`$. Thus we think that the huge gap observed in the eigenspectrum for the matrix $`𝐂`$ may be caused by some external effects.

Finally, we also consider the components $`\{v_{j,1}\}`$ of the eigenvector corresponding to the largest eigenvalue for the matrix $`𝐖`$, where the vertices are ordered following the absolute magnitude of influence-strength. According to the matrix theory, the square of the component, $`\{v_{j,1}^2\}`$, indicates the relative strength of the contributions for each vertex to the largest eigenvalue. We plot the square of the component of the eigenvector $`\{v_{j,1}^2\}`$ versus the index $`j`$ in Fig.4. It is found that the components $`\{v_{j,1}^2\}`$ is strongly localized at the vertices with strong influence-strength as shown in Fig.4. Thus, the companies with large influence-strength affect other companies strongly in stock price changes. Interestingly, we found another SF behavior, $`v_{j,1}^2j^\beta `$ with $`\beta 1.8(2)`$ for large $`j`$, as shown in the inset of Fig.4, which is consistent with the one $`\delta 1.8(1)`$, obtained from the influence-strength distribution.

It would be interesting to compare our result with the one by Vandewalle et al., who eliminated weak edges, and regarded the remaining sparse random graph as a BRG. To be specific, they considered the cross-correlation coefficients defined in Eq.(2) in stock price changes between the 6 358 US companies, and assigned them to each edge of the fully connected graph. Next, they chose $`N`$ strongest edges out of $`N(N1)/2`$ edges in the magnitude of $`C_{i,j}`$, and assigned a unit strength to each of them, so that weak edges are ignored. Then the graph becomes sparse and binary. They measured the degree distribution for this BRG, which follows a power-law, $`P(k)k^\gamma `$, with $`\gamma 2.2`$, which is obviously different from our results, $`\delta 1.8(1)`$ and $`\beta 1.8(2)`$.

In conclusions, we have considered the cross-correlations in stock price changes between the S&P 500 companies by introducing a weighted random graph (WRG). The vertices of the WRG representing the 500 companies are fully connected to each other through weighted edges. An edge connecting vertices $`i`$ and $`j`$ has the weight given by the correlation coefficient $`w_{i,j}`$, defined as the normalized covariance of modified returns of two companies $`i`$ and $`j`$. Here the modified return of a company $`i`$ means the deviation of the return of the company $`i`$ from its average over all 500 companies. This modification yields the effect of excluding the overall behavior of the entire stock prices fluctuating from time to time. The distribution of the correlation coefficients obtained using the modified return is time-independent, and the coefficients themselves describe generic correlations between different companies without considering the effect of external environments. Next, we defined the influence-strength at each vertex as the sum of the weights assigned to the edges incident upon that vertex. We found that the influence-strength distribution follows a power-law $`P(|s|)|s|^\delta `$ with $`\delta 1.8(1)`$, where $`s`$ means influence-strength. The fact that the exponent $`\delta `$ is smaller than 2 implies that the stock price changes of the 500 companies are much strongly correlated, compared with the Internet topology, or the world-wide web, reflecting that cooperative and adaptive phenomena appear much dominantly in economic systems.

This work is supported by Korean Research Foundation grant (KRF-2001-015-DP0120) and by the Ministry of Education through the BK21 project in KU, and by grants No.2000-2-11200-002-3 from the BRP program of the KOSEF through SNU.