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# Another intermediate mass black hole in a starburst galaxy?: The luminous X-ray source in NGC 3628 reappears

## 1 Introduction

It has become apparent that there exists a class of extragalactic X-ray sources significantly more luminous than normal X-ray binaries or supernova remnants, but less X-ray luminous than conventional AGN such as Seyfert nuclei (Fabbiano 1989). These intermediate-luminosity X-ray objects (IXOs, Ptak 2001) or ultraluminous X-ray sources (ULXs, Makishima et al. (2000)) have X-ray luminosities in the range $`10^{39}`$$`10^{41}\mathrm{erg}\mathrm{s}^1`$ (equivalent to the entire Eddington luminosity for accretion onto a $`7`$$`700M_{\mathrm{}}`$ mass object), but are generally not found at the dynamical center of the galaxy (Colbert & Mushotzky (1999); Roberts & Warwick (2000)), and hence are not likely to be supermassive black holes (SMBHs) radiating inefficiently.

For example, recent Chandra High Resolution Camera (HRC) observations of the prototypical starbursting dwarf peculiar galaxy M82 (Kaaret et al. (2001); Matsumoto et al. (2001)) conclusively show that the bright X-ray variable source (peak luminosity $`L_\mathrm{X}9\times 10^{40}\mathrm{erg}\mathrm{s}^1`$ in the 0.5–10.0 keV energy band) previously seen in Einstein, ROSAT & ASCA observations (see Watson, Stanger & Griffiths (1984); Bregman, Schulman & Tomisaka (1995) and Ptak & Griffiths (1999) among many other papers too numerous to mention) lies $`9\mathrm{}`$ ($`160\mathrm{pc}`$) away from the dynamical center of the galaxy.

The nature and origin of these objects remains unknown. The variability argues against models of supernova remnants evolving in dense surroundings (Franco et al., 1993), where a monotonic decline in X-ray luminosity might naively be expected (but note this is not necessarily always true (Cid Fernandes et al., 1996)). The possible association between the luminous X-ray source in M82 and the known young supernova remnant 41.95+57.5 (Stevens, Strickland & Wills, 1999), advanced based on the source position derived from ROSAT HRI data, appears incorrect based on the more accurate Chandra astrometry. No persistent counterpart to this source at other wavelengths has been confirmed, although the transient radio source 41.4+59.7 (Kronberg & Sramek, 1985), seen in one observation in 1981 but not subsequently, lies within the positional error circle of the M82 IXO222We adopt the purely descriptive term IXO to refer to these objects over the alternative ULX as it makes no assumptions about their nature. (Kaaret et al., 2001) and may be associated with the IXO.

The currently favored interpretation is that these might be black holes of mass $`10^2M_{\mathrm{BH}}(M_{\mathrm{}})10^4`$, intermediate between the SMBHs ($`M_{\mathrm{BH}}10^6`$$`10^9M_{\mathrm{}}`$) found in traditional AGN such as Seyfert galaxies (formed in some as yet unknown manner, which is possibly related to the growth of stellar bulges (Gebhardt et al. (2000); Ferrarese & Merritt (2000))) and black holes of a few solar masses (formed naturally as a consequence of the stellar evolution of the most massive stars (Brown, Weingartner & Wijers, 1996)). However, alternative explanations not involving intermediate mass black holes do exist. King et al. (2001) argue that these X-ray sources are conventional high-mass X-ray binaries in which the X-ray emission happens to be beamed in our direction. Roberts et al. (2001) report a possible optical blue continuum counterpart to an IXO in NGC 5204, which might be an extremely luminous O star or a cluster of young stars.

Here we report on the re-detection of a strongly variable X-ray luminous point source (peak $`L_\mathrm{X}5\times 10^{40}\mathrm{erg}\mathrm{s}^1`$) located at least 900 pc from the nucleus of the nearby starburst galaxy NGC 3628 (D = 10 Mpc, Soifer et al. (1987)). This source, discovered to be variable by Dahlem et al. (1995), had faded by a factor $`27`$ between two ROSAT HRI observations taken in late 1991 and early 1994 (when it was too faint to be detected). This source is the brightest X-ray source in a recent 52 ks-long Chandra ACIS-S observation we obtained of NGC 3628.

With the arcsecond spatial resolution of Chandra we have been able to measure the absolute position of this source to an accuracy of $`0\stackrel{}{\mathrm{.}}5`$, and obtain one of the first unambiguous X-ray spectra of an IXO333At the initial time of writing no other Chandra spectra of any IXO, including the M82 source, had been published. This is most likely because “pile-up” (see § 4) in the CCD detectors becomes a problem for point sources slightly brighter than the bright source in NGC 3628. For sources as bright as the one in M82, it can be so severe as to prevent any meaningful spectral analysis. A paper by Roberts et al. (2001) appeared while this paper was undergoing the referee process which very briefly discusses the Chandra ACIS spectrum of an IXO in NGC 5204., free from contamination by unrelated X-ray emission from the rest of the galaxy.

## 2 Data analysis and reduction

NGC 3628 was observed with the Chandra ACIS-S instrument on 2000 December 2, for a total exposure time (after the removal of background flares) of 52289 s. The nucleus of the galaxy was placed at the aim point of the back-illuminated S3 chip (the back illuminated chips are more sensitive to soft X-ray emission, and do not suffer from the radiation damage that compromises the spectral resolution of the front illuminated ACIS chips). Much, but not all, of the disk of NGC 3628 falls within the boundaries of the S3 chip.

The data was reduced and analyzed using Ciao (version 1.1.5), Heasoft (version 5.0.2) and Xspec (version 11.0.1). The latest Chandra calibration and spectral response files appropriate for this observation were used. Spectra were binned to achieve at least 20 counts per channel, to allow the use of $`\chi ^2`$-fitting. Our reduction and processing followed the guide lines released by the Chandra X-ray Observatory Center (CXC) and the ACIS instrument team444The Ciao (v1.1.5) Science Threads can be found at http://asc.harvard.edu/ciao1.1/threads/threads.html, the ACIS instrument team’s recipes at http://www.astro.psu.edu/xray/acis/recipes/..

The data reduction and analysis will be described in more detail in a forthcoming paper on the diffuse X-ray emission from this galaxy’s starburst-driven superwind (Strickland et al. 2001, in preparation). Here we will focus only on the brightest point source within the disk of the galaxy.

## 3 Source location

The Chandra observation of NGC 3628 reveals a large number of hard X-ray point sources, embedded in highly structured and wide-spread diffuse soft X-ray emission (see Fig. 1, which only shows the central $`2\mathrm{}`$ region around the nucleus of the galaxy). One particularly luminous point source, at a position of $`\alpha =11^h20^m15\stackrel{\mathrm{s}}{\mathrm{.}}75`$, $`\delta =+13\mathrm{°}35\mathrm{}13\stackrel{}{\mathrm{.}}6`$ (J2000.0), stands out above all the rest, and accounts for a large fraction of the hard X-ray emission from the galaxy (see § 4). Following the recommended naming convention for Chandra sources, we name this source CXOU J112015.8+133514, but for convenience we shall refer to it for the remainder of this paper as the IXO.

Previous X-ray studies of NGC 3628 had assumed that the X-ray emission was centered on the nucleus of the galaxy, given the limited absolute positional accuracies of previous X-ray instruments (the highest resolution observations prior to Chandra were with the ROSAT HRI, which had $`1\sigma `$ absolute positional uncertainties of $`6\mathrm{}`$). In contrast, source coordinates derived from this Chandra observation are accurate to $`0\stackrel{}{\mathrm{.}}5`$, based on a cross-correlation between the positions of X-ray sources in the S2 and S3 chips (excluding X-ray sources within the disk of NGC 3628) and optical sources from the APM catalog (Maddox et al., 1990).

With these more accurate source coordinates it is clear that the IXO is not at the nucleus of NGC 3628, if we make the reasonable assumption that the peaks of the K-band, HI, CO and radio recombination line emission correspond to the nucleus of the galaxy (See Table 1 for references. All of these emission maxima are within $`3\mathrm{}`$ of each other). The nucleus of NGC 3628 is approximately $`20\mathrm{}`$ to the east of the IXO (see Table 1). An offset of $`20\mathrm{}`$ corresponds to a projected distance of 970 pc (possibly considerably more physically), given the assumed distance of 10 Mpc. Although the kinematic center of the larger-scale HI distribution (Wilding, Alexander & Green, 1993) is offset to the north-west of the nucleus by about $`12\mathrm{}`$, it is also $`20\mathrm{}`$ from the IXO.

As this source has a luminosity only a factor $`4`$ lower than the peak luminosity of the bright source seen by the ROSAT HRI (see § 5), and there were no other comparable luminosity sources seen in previous observations, it seems most probable that the IXO is the same source as the variable HRI source discussed in Dahlem, Heckman & Fabbiano (1995). Comparison of the ROSAT HRI images with the 0.3 – 2.0 keV Chandra images supports this interpretation, based on the relative position of other weak X-ray sources found in both sets of observations.

We have searched for an optical, near-IR or radio counterpart to this source. R-band optical images (Fabbiano, Heckman & Keel, 1990) reveal the location of the IXO to be within one of the dust lanes obscuring much of the disk of NGC 3628. Within a $`2\mathrm{}`$ radius of the Chandra-derived position of the IXO the optical surface brightness is relatively uniform, and there are no obvious star clusters or other features visible. K-band imaging, taken by Colbert, also revealed no features within a $`5\mathrm{}`$ radius of the IXO’s position. No radio source was detected in the 15 GHz VLA A-configuration data from Carral, Turner & Ho (1990). The 3$`\sigma `$ upper limit of 0.24 mJ/beam corresponds to a radio power P $`<`$ 3 $`\times `$ 1018 W Hz-1, about an order of magnitude more luminous than the galactic supernova remnant Cas A, but $`10`$ – 1000 times lower than typical radio supernovae (Weiler et al., 1986).

## 4 Spectral properties and count rates

### 4.1 Spectral fitting

Fig. 2 shows the ACIS spectrum of the IXO, extracted using a circular aperture of radius $`6\mathrm{}`$. For the purposes of background subtraction we used a circular aperture of radius $`30\mathrm{}`$, offset $`20\mathrm{}`$ directly to the west of the IXO, having excluded the region around the bright source itself and around the five other Chandra-detected X-ray sources falling within this region. Use of a local background region is warranted, given the presence of extended diffuse soft X-ray emission (associated with the starburst-driven wind) throughout the disk of NGC 3628.

We fit a variety of different spectral models to the Chandra spectrum using the data in the energy range 0.3 – 8.0 keV, focusing mainly on models traditionally associated with AGN (absorbed power laws) or other IXOs observed with ASCA (multi-color disk models, see Makishima et al. (2000)).

An absorbed power law provides the simplest statistically acceptable fit to the spectrum (Fig. 2, table 2). Absorbed multi-color disk, bremsstrahlung or Mekal hot plasma models (Mewe, Kaastra & Liedahl, 1995) are all statistically unacceptable fits to the IXO spectrum (reduced $`\chi ^21.1`$$`1.4`$).

Statistically good fits can be obtained using these models if an additional hard component was added to the model. Two component spectra, comprising a soft multi-color disk with a hard power law tail, have been found for other IXOs using ASCA spectroscopy (Takano et al. (1994); Colbert & Mushotzky (1999)). The model parameters of the added power law or Gaussian line model used as this hard component are very poorly constrained, and physically some of the parameters are not realistic, so it is not clear if this apparent hard component is real or not.

A small fraction of the events detected from this source will be due to pile-up (the mis-identification of two or more X-ray photons falling within the same pixel during a single CCD exposure of 3.2s as a single photon of higher energy). This has many affects, the simplest of which is a systematic hardening of the spectrum, which is a possible cause of the additional hard component the spectral fits appear to require. The Pimms count-rate calculator predicts $`8`$% of the total counts are piled-up given the observed count rate of this source. This is close to the 10% level at which the CXC warn that spectra are likely to be significantly affected, suggesting pile-up may be a problem.

To investigate whether there is appreciable pile-up in the NGC 3628 IXO spectrum we compared the event grade branching ratios (the fraction of events with a given grade, see the Chandra Proposers Observatory Guide) for photons with $`2E`$ (keV) $`8`$ from the IXO (1646 events) with the summed emission from the 14 next brightest point sources seen in NGC 3628 which are individually too faint to suffer from any pile-up (672 events in total). Pile-up leads to a systematic increase in the fraction of events with high grades (e.g. ASCA grades 5, 6 & 7). However, we find that the event grade branching ratios for the IXO and the summed fainter point source emission are identical to within $`2\sigma `$ for all grades, which suggests that there is no appreciable pile-up in the NGC 3628 IXO spectrum. Applying this technique to the public 34 ks Chandra ACIS-I observation of M82 (ObsID 361) shows a very significant migration of the events from the M82 IXO to higher grades with respect to the fainter point sources in M82.

Other evidence that the hard excess seen in the NGC 3628 IXO is not due to pile-up is that spectral fitting of a brighter point source seen in our two Chandra observations of NGC 253 (Weaver et al. , in preparation) shows no sign of a hard excess, even though the predicted pile-up fraction is 12 – 14% (higher than the NGC 3628 IXO), and the total number of counts in the spectrum is similar to that in the NGC 3628 IXO spectrum.

Statistically acceptable multi-color disk spectral models can be obtained if we restrict the energy range used to 0.3 – 5.0 keV (i.e. deliberately excluding data in the energy range where the multi-color disk model does worst). However, it should be noted that absorbed power law and absorbed bremsstrahlung models provide marginally better fits to the data in this restricted energy range. It therefore seems that a power law model provides the best description of the current spectral state of this source, and that a multi-color disk model does not provide an adequate fit to the spectrum of the IXO.

Source count rates and absorption-corrected fluxes and luminosities, assuming the power law spectral model (using the restricted 0.3 – 5.0 keV energy range), are given in Table 3. All spectral fits give absorption columns in the range $`N_\mathrm{H}=5`$$`8\times 10^{21}\mathrm{cm}^2`$. These columns are consistent with foreground absorption of the source by the edge-on disk of NGC 3628, and its location in or behind the optical dust lane.

### 4.2 Comparison to previous spectral studies of NGC 3628

It is not easy to compare our Chandra spectra of the IXO with previous X-ray spectral studies of the nucleus NGC 3628, using the ROSAT PSPC (Dahlem, Heckman & Fabbiano, 1995) or ASCA (Yaqoob et al., 1995), given the significant variability of the IXO and the much poorer spatial resolution of the earlier observations (The ROSAT PSPC spectrum covers a region $`2\mathrm{}=5.8`$ kpc in radius, and the ASCA spectra a region $`3\mathrm{}=8.7`$ kpc in radius).

The most detailed existing spectral study is that of Dahlem, Weaver & Heckman (1998), who performed a joint spectral fit of the PSPC and ASCA spectra, taking into account the variability between the two observations. This joint spectrum is best characterized by two soft thermal components and a hard absorbed power law. The photon index and hydrogen column derived for the power law component ($`\mathrm{\Gamma }=1.63_{0.17}^{+0.14}`$ and $`N_\mathrm{H}=9\pm 2\times 10^{21}\mathrm{cm}^2`$) agree well with the Chandra-based power law fit to the emission from the IXO.

The close agreement between the power law slopes may be fortuitous, as most of the hard X-ray counts in the ASCA spectrum must have been from other point sources in NGC 3628 and not from the IXO itself. Even in its present state, which is several times more luminous than it was during the 1993 ASCA observations (see § 5), hard X-ray emission from sources other than the IXO still provide a significant fraction ($`33`$%) of the 2.0 – 8.0 keV count rate in the central region of NGC 3628. Within a $`3\mathrm{}`$ radius region, the Chandra observations reveal at least 33 other point-like X-ray sources, in addition to the diffuse thermal emission associated with the starburst. We find that the IXO only provides $`35`$% of the ACIS-S3 0.3 – 8.0 keV energy band count rate within a radius of $`3\mathrm{}`$ from the source. In the 2.0 – 8.0 keV energy band the IXO is more dominant, providing 67% of the ACIS-S3 counts, but emission from the rest of the galaxy is always significant.

We estimate that these other point sources, along with the diffuse emission, account for $`80\pm 30`$% of the total ASCA count rate (the main uncertainty is the uncertainty in the ASCA count rate (Yaqoob et al., 1995)). As the IXO, at the luminosity observed in December 2000, would produce $`90`$% of the total ASCA count rate itself, the IXO must have been less luminous in 1993 than it is now. The shape of the hard spectral component in the joint ROSAT PSPC and ASCA spectral fit was therefore largely determined by the 30 or so other hard X-ray point sources within the central $`3\mathrm{}`$ of NGC 3628.

It is worth noting that Chandra provides a spectrum that is unambiguously that of the IXO alone — the same can not be so easily said for ASCA spectra of IXOs, which are typically of a region a few arcminutes in radius. The luminosity of these objects is very similar to that of the rest of the normal spiral or starburst galaxies they inhabit. That contamination of the ASCA spectra by unrelated binary and diffuse X-ray emission may be biasing ASCA spectral fits in favor of the multi-color disk spectral model is a legitimate concern.

To investigate whether spectral contamination (at the level of $`30`$% of the hard X-ray counts that we find in NGC 3628) does bias the fitted spectral shape of the hard X-ray emission, we extracted a spectrum of all the emission within a 3 arcminute radius of the IXO (approximately the same region an ASCA spectrum would cover). We fit the spectrum with spectral models comprising two absorbed soft thermal components and an absorbed hard component (either a power law or a multi-color disk model), based on the good empirical fit such three component models give to the combined ROSAT PSPC and ASCA spectra of starbursts (Dahlem, Weaver & Heckman, 1998). For the Chandra spectrum, two soft thermal components are required to obtain a statistically acceptable fit, but the hard component can equally well be fitted by a multi-color disk or a power law (the difference between the two fits is not significant: $`\mathrm{\Delta }\chi ^2=0.7`$ for a change by 1 in the number of degrees of freedom). The spectral shape of the fitted hard component (best-fitting $`N_\mathrm{H}`$, $`\mathrm{\Gamma }`$ or $`kT`$) was statistically consistent with the spectral fits to the IXO alone, except for a higher model normalization due to the flux from the 33 other X-ray point sources.

This suggests that the reason we do not find the IXO spectrum to be clearly better fit by the multi-color disk model strongly favored by ASCA observations of other IXOs (Colbert & Mushotzky (1999); Makishima et al. (2000)) is due to a real spectral difference between this source and the other IXOs, and not due to spectral contamination (at least not spectral contamination at the 30% level). One possibility is that IXOs can change spectral state, from soft states described by the multi-color disk model to harder power law spectral states (see Colbert & Mushotzky (1999) and Kubota et al. (2001)), and that we are observing the NGC 3628 IXO in such a hard spectral state.

## 5 Source variability

This source displays strong variability on the time scale of months or years (Dahlem et al. 1995). We are now able to improve previous estimates of the X-ray flux of this source over time by making use of the better-determined Chandra spectrum, and by making use of Chandra’s spatial resolution to correct the Einstein, ROSAT PSPC and ASCA flux measurements for the contribution from the other point sources and diffuse emission.

Within the $`17`$ hour duration of our Chandra observation the count rate of the bright source, in either the broad (0.3 – 8.0 keV) or hard energy band (2.0 – 8.0 keV), is statistically consistent with being constant (although this does not exclude genuine variation on the order of $`10`$% or less).

Fig. 3 presents our best estimate of the absorption-corrected X-ray flux of this object with time, based on these observations, the papers of Dahlem, Heckman & Fabbiano (1995), Fabbiano, Heckman & Keel (1990), Dahlem et al. (1996) & Yaqoob et al. (1995), and the count rate in a 2 ks Chandra ACIS-S3 observation taken on 1999 November 3, as part of a Chandra GTO program (Ptak 2000, private communication).

We used the power law model that best-fits the Chandra spectrum to predict Einstein, ROSAT (PSPC & HRI) and ASCA count rates. The ratio of the observed to predicted count rate, for any particular observation, multiplied by the absorption corrected X-ray flux (0.3 – 8.0 keV energy band) from this Chandra observation is the estimated X-ray flux plotted in Fig. 3.

For the Einstein, ROSAT PSPC and ASCA observations we have calculated a correction to obtain the flux due to the bright source alone (given the significant flux from other point sources and diffuse emission, see § 4). We estimate that approximately 48% of the Einstein count rate, 33% of the ROSAT PSPC count rate and 78% of the ASCA count rate was due to diffuse X-ray emission and point sources other than the IXO.

The relative fluxes of the IXO during the Einstein ROSAT and ASCA observations differ somewhat from the work of Dahlem et al. (1995) and Dahlem, Weaver & Heckman (1998), due to our correction for emission from other point sources and diffuse gas, and due to the strong dependence of absorption-corrected flux on the assumed spectral shape.

The IXO was substantially brighter in the early 1990s than it is now, with an intrinsic X-ray luminosity (0.3 – 8.0 keV energy band) of $`5\times 10^{40}\mathrm{erg}\mathrm{s}^1`$. This makes it one of the most luminous IXOs, only slightly less luminous than the source in M82 (Kaaret et al. 2001; Makishima et al. 2000). A drop in flux by a factor $`27`$ occurred between late 1991 Dec. and 1994 May (Dahlem et al. 1995). Our estimate of a low X-ray flux from the IXO in the 1993 December ASCA observation is consistent with this fading, given the non-detection of the source by the ROSAT HRI only 5 months later.

One should bear in mind that Fig. 3 is based on the assumption that spectral shape of the source has remained the same, only changing in absolute luminosity. Given the large variations in derived luminosity, it is quite possible that the spectral shape has changed, due to intrinsic changes in the source itself or possibly even variations in foreground absorption (as discussed by Dahlem, Heckman & Fabbiano (1995)).

## 6 Discussion, speculation and conclusions

What is this X-ray-luminous source? Given the substantial offset of the brightest X-ray source from the nucleus of NGC 3628 ($`20\mathrm{}970`$ pc), this object can not be a SMBH inefficiently radiating X-rays, as dynamical friction would make a SMBH fall to the center of the galaxy within an astronomically short time. This object is clearly another example of an IXO (or ULX). Is it a candidate intermediate mass black hole, or can it be explained by models involving X-ray-luminous supernovae or beamed X-ray emission from normal BH binaries?

Interpretations of this source as either a young X-ray luminous SNR or a supernova remnant evolving in a high-density medium (Franco et al., 1993) have problems. Most young SNRs have soft thermal X-ray spectra (Schlegel, 1995), unlike the observed Chandra spectrum of this object (§ 4). Spectrally this source is consistent with some models of supernovae in high-density environments which predict power-law-like X-ray spectra with photon indices of $`\mathrm{\Gamma }=1.6`$$`2.0`$ (Plewa, 1995), as the power law spectral model fit to the Chandra spectrum gives $`\mathrm{\Gamma }=1.8\pm 0.2`$. Nevertheless, the pattern of source variability seen (the observed increase in flux after the original peak and strong decline, see § 5), along with an upper limit on the radio flux at this location significantly lower than known radio supernovae (§ 3), are convincing evidence against a supernova-related interpretation.

Although the ASCA spectra of most other known IXOs are clearly better fit by a multi-color disk model than a power law model (Colbert & Mushotzky (1999); Makishima et al. (2000)), our Chandra spectrum is better fit by a power law than by a multi-color disk model. Three IXOs observed with ASCA appear to show changes in spectral state, from a soft state well represented by a multi-color disk to a hard state best modeled as a power law (Colbert & Mushotzky (1999); Kubota et al. (2001)), and it is possible that the NGC 3628 source represents another IXO in such a hard spectral state. Our fitted power law slope, $`\mathrm{\Gamma }=1.8\pm 0.2`$, is very similar to that seen in Galactic BH binary candidates in their hard state (see references in Esin et al. (1998)), or to the canonical $`\mathrm{\Gamma }=1.7`$ power law of AGN. More Chandra spectra of IXOs will be necessary to convincingly determine the spectral properties of this class of object.

With an absorption-corrected 0.3 – 8.0 keV X-ray luminosity of $`1.1\times 10^{40}\mathrm{erg}\mathrm{s}^1`$ in this observation (assuming the emission to be isotropic), and a peak luminosity of perhaps $`5\times 10^{40}\mathrm{erg}\mathrm{s}^1`$ in the early 1990s, this object is one of the more luminous IXOs known (others of this class more typically have 0.5 – 10 keV luminosities of $`10^{39}`$$`10^{40}\mathrm{erg}\mathrm{s}^1`$ (Makishima et al. 2000), while the luminous source in M82 reaches $`10^{41}\mathrm{erg}\mathrm{s}^1`$ at maximum). Both of these objects display strong variability, with X-ray luminosities changing by at least an order-of-magnitude over a period of a few years.

This object is not the only IXO in NGC 3628. Another luminous X-ray source $`5\mathrm{}`$ to the east of the nucleus (but still within the disk of NGC 3628) was detected in the earlier ROSAT and ASCA observations (source 14 in Dahlem et al. (1996), see also Yaqoob et al. (1995)). Unfortunately this source lies outside the region covered in these Chandra observations, but should be covered in the recent (currently unpublished) XMM-Newton observation of NGC 3628. Based on the relative ROSAT PSPC count rates and assuming a similar spectrum for both objects, the second IXO had an absorption-corrected 0.3 – 8.0 keV X-ray luminosity of $`1.2\times 10^{40}\mathrm{erg}\mathrm{s}^1`$ in late 1991.

That both M82 and NGC 3628 are also both archetypal starburst galaxies is perhaps a coincidence, but it is interesting to speculate on the possibility of a link between the formation of large numbers of massive stars and the growth of massive black holes from stellar mass remnants (Taniguchi et al. 2000). There is some form of relationship between starbursts and type 2 Seyfert galaxies (Heckman et al. 1989; Terlevich (1990); Terlevich, Diaz & Terlevich (1990); Cid Fernandes & Terlevitch 1995; González Delgado, Heckman & Leitherer 2001; Levenson, Weaver & Heckman 2001a, 2001b), although not necessarily directly evolutionary in kind. If IXOs are intermediate mass black holes, might they be a “missing-link” connecting star formation and black hole formation?

The model of IXOs as relatively normal BH X-ray binaries (or perhaps analogues of the Galactic microquasars) remains a strong contender. As King et al. (2001) argue, the apparently high numbers of IXOs in star-forming galaxies may be a problem for models invoking intermediate mass black holes. In contrast, elevated chances of seeing a beamed (but otherwise normal) X-ray binary are expected in starburst galaxies. The high-amplitude variability seen in both the NGC 3628 and M82 IXOs is also a natural consequence of this model (see King et al. (2001)).

Testing the various hypotheses currently in the literature requires coordinates of IXOs accurate to $`1\mathrm{}`$, in order to search for counterparts at other wavelengths (e.g. very dense young stellar clusters, or binary companions under the beaming hypothesis) and to study the environments in which these objects are found and may have formed in. This is a job only Chandra can perform.

It is clear that Chandra has much to offer in the study of these X-ray sources. As we have demonstrated with this study of the IXO in NGC 3628, it is possible to obtain absolute positions accurate to within $`0\stackrel{}{\mathrm{.}}5`$, and spectra free from contamination by unrelated X-ray point sources and diffuse emission. Both of these capabilities are vital to further the study of these intriguing objects.

It is a pleasure to thank the anonymous referee for their helpful comments. We would like to thank Andy Ptak for kindly providing us with the count rate of the IXO from the short 1999 November 3rd Chandra observation. EJMC thanks Patricia Carral for use of her calibrated VLA data. DKS is supported by NASA through Chandra Postdoctoral Fellowship Award Number PF0-10012, issued by the Chandra X-ray Observatory Center, which is operated by the Smithsonian Astrophysical Observatory for and on behalf of NASA under contract NAS8-39073.


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# 1 Introduction

## 1 Introduction

At gravitational interactions there appears a defect masses , i.e. some an energy yields since the bodies (or particles) are attracted. In the previous work  it was shown, that the radiation spectrum (or energy levels) of atoms (or nuclei) in the gravitational field has a red shift since the effective mass of radiating electrons (or nucleons) changes in this field. This red shift is equal to the red shift of the radiation spectrum in the gravitational field measured in existing experiments. The same shift must arise when the photon (or $`\gamma `$ quantum) is passing through the gravitational field if it participates in gravitational interactions. The absence of the double effect in the experiments means that photons (or $`\gamma `$ quanta) are passing through the gravitational field without interactions.

This work is devoted to search for the influence of gravitational interaction on the body (or particle) characteristics.

## 2 Some Consequences of the Law of Local Energy Conservation in Gravitational Field

a). We will consider the influence of the external gravitational field $`\phi =G\frac{M}{r}`$ ($`M`$ is a mass of the external body, $`r`$ is a distance and $`G`$ is a gravitational constant) on characteristics of a body (or particle) having a small velocity. The law of local energy conservation in the classical case is presented in the following form:

$$E=\frac{mv_1^2}{2}+m\phi _1=\frac{mv_2^2}{2}+m\phi _2$$
$`\left(1\right)`$
or

$$\frac{m\left(v_1^2v_2^2\right)}{2}=m\left(\phi _2\phi _1\right)$$
$`\left(2\right)`$
The Eqs. (1) and (2) characterize the balance between kinetic and potential energies (the smaller one energy, the bigger another energy and back). It is necessary to take into account the fact that in equations (1), (2) the mass $`m`$ is included as a factor. Formally we can delete this factor and then we came to the following senseless equation:

$$\frac{\left(v_1^2v_2^2\right)}{2}=\left(\phi _2\phi _1\right)$$
$`\left(2\right)`$
In a more strict form the law of local energy conservation can be rewritten in the form:

$$E=mc^2+\frac{mv_1^2}{2}+m\phi _1=mc^2+\frac{mv_2^2}{2}+m\phi _2.$$
$`\left(3\right)`$
Then the Eq. (3) can be rewritten in th following form:

$$E=mc^2\left(1+\frac{\phi _1}{c^2}\right)+\frac{mv_1^2}{2}=mc^2\left(1+\frac{\phi _2}{c^2}\right)+\frac{mv_2^2}{2}.$$
$`\left(4\right)`$
After introduction the new masses:

$$m^{}=m\left(1+\frac{\phi _1}{c^2}\right)m^{\prime \prime }=m\left(1+\frac{\phi _2}{c^2}\right),$$
$`\left(5\right)`$
and new velocities:

$$v_1^2=\frac{v_1^2}{\left(1+\frac{\phi _1}{c^2}\right)}v_2^2=\frac{v_2^2}{\left(1+\frac{\phi _2}{c^2}\right)}.$$
$`\left(5^{}\right)`$
Eq. (4) acquires the following form:

$$E=m^{}c^2+\frac{m^{}v_1^2}{2}=m^{\prime \prime }c^2+\frac{m^{\prime \prime }v_2^2}{2}.$$
$`\left(6\right)`$
The eq. (6) means that in an external gravitational field the effective mass body (or particle) changes. For clarification of this question, let us consider a body (or particle) with mass $`m`$ in the external gravitational field $`\phi `$ in point $`r`$ and write the law of local energy conservation for this system

$$mc^2=E=mc^2+\frac{mv^2}{2}+m\phi _=m^{}c^2+\frac{m^{}v^2}{2},$$
$`\left(7\right)`$
where

$$m^{}=m\left(1+\frac{\phi }{c^2}\right)\mathrm{\Delta }m=mm^{}=m\frac{\phi }{c^2},or\frac{\mathrm{\Delta }m}{m}=\frac{\phi }{c^2},$$

and

$$\mathrm{\Delta }v^2=v^2v^2=v^2\left(\frac{\phi }{c^2}\right)or\frac{\mathrm{\Delta }v^2}{v^2}=\frac{\phi }{c^2}.$$
$`\left(8\right)`$
Eqs. (7), (8) mean that changing of mass ($`\mathrm{\Delta }mc^2`$) of the body (or particle) in the external gravitational field goes on kinetic energy of this body (or particle).

And what is the result we have come to? In contrast to classical physics, the velocity of the body (or particle) is $`v^{}`$ and

$$\mathrm{\Delta }v^2=v^2v^2=v^2\frac{\phi }{c^2},\mathrm{\Delta }v=v\frac{\phi }{2c^2}.$$
$`\left(9\right)`$
The real velocity of the body (or particle) differs on $`\mathrm{\Delta }v`$ from the classical one. This difference can be measured by using Dopller and M$`\ddot{o}`$sbauer effects at moving the radiation atoms in the gravitational field of the Earth. We also can measure this effect at rotating planet around the star (the Sun). The real velocity of the rotating planet will differ from the classical one of the rotating planet.

b) Since the difference between the real and classical velocities $`\mathrm{\Delta }v`$ is very small, then this displace is very small. So, we can see this effect at multiple rotation of the planet around the star (the Sun). From equation (8) we see that this difference is bigger if the value $`\frac{\phi }{c^2}`$ bigger is. For the Sun system the biggest effect will be obtained for the Mercury since its distance from the Sun is the smallest (this effect is known as advance of perihelia of the Mercury).

Let come to the computation of this effect.

The rotation period of a planet around a star (the Sun) on a nearly circle orbit is given by the following expression :

$$P=2\pi \sqrt{\frac{r^3}{GM}},$$
$`\left(10\right)`$
where $`G`$ is a gravitational constant and $`M`$ is the Sun mass.

If the circular velocity of the planet (the Mercury) is $`v`$ and it does one circle for period $`P`$, then perimeter $`D`$ is

$$D=Pv.$$
$`\left(11\right)`$
If the real velocity of the Mercury is $`v^{}`$ and $`p^{}`$ is the real period of its rotation, then the real distance $`D^{}`$ is

$$D^{}=P^{}v^{}$$
$`\left(11\right)`$
Let us introduce the following definition :

$$ϵ=\frac{GM}{c^2r}=\frac{\phi }{c^2}$$
$`\left(12\right)`$
The centrifugal force is equal to the attractive force on the absolute value at the rotating planet around the star (the Sun) and therefore

$$\frac{mv^2}{r}=G\frac{mM}{r^2}.$$
$`\left(13\right)`$
From Eq. (13) we obtain the following correlation:

$$v=\sqrt{\frac{GM}{r}},$$
$`\left(14\right)`$
then the velocity variation $`\mathrm{\Delta }v`$ is

$$\mathrm{\Delta }v=\frac{1}{2}\frac{\sqrt{GM}}{r^{1.5}}\mathrm{\Delta }r,$$

then using eq. (14) we obtain the relation

$$\frac{\mathrm{\Delta }v}{v}=\frac{1}{2}\frac{\mathrm{\Delta }r}{r}$$
$`\left(15\right)`$
Since the time measurement unit is fulfilled by the atomic clock, then the decrease of mass results in the increase of length (Bohr orbit ), then the decrease of the planet mass results also in increasing the distances (or standard measure unit).

$$r\frac{1}{m},mm\mathrm{\Delta }m\left(\mathrm{\Delta }m>0\right)$$

$$r^{}=r+\mathrm{\Delta }r=r\left(1+\frac{\mathrm{\Delta }r}{r}\right)$$

$$\frac{1}{m^{}}=\frac{1}{m\mathrm{\Delta }m}\frac{1}{m}\left(1+\frac{\mathrm{\Delta }m}{m}\right)=\frac{1}{m}\left(1+ϵ\right)$$
$`\left(16\right)`$
So, we obtain

$$\frac{\mathrm{\Delta }r}{r}=ϵ$$
$`\left(17\right)`$
Besides we must take into account the relativistic factor $`\gamma =\frac{1}{\sqrt{1v^2/c^2}}`$, since the planet is moving around the star (the Sun) with velocity $`v`$

$$\frac{1}{\sqrt{1v^2/c^2}}1+\frac{v^2}{2c^2}=1+\delta .$$
$`\left(18\right)`$
Putting the eq. (14) in eq. (18) we get

$$\delta =\frac{v^2}{2c^2}=\frac{ϵ}{2}.$$
$`\left(19\right)`$
Collecting eqs (17), (19) and using eq. (12) we obtain the following equation:

$$\frac{\mathrm{\Delta }r}{r}=\frac{ϵ}{2}+ϵ=1.5ϵ,$$
$`\left(20\right)`$
or

$$r^{}=r\left(1+1.5ϵ\right).$$

Putting eq. (20) in eq. (10), we come to the following expression for the period of the planet:

$$P^{}=P\left(1+2.25ϵ\right).$$
$`\left(21\right)`$
Using eqs (15) and (20), we obtain the following expression for the velocity displace (variation):

$$\frac{\mathrm{\Delta }v}{v}=\frac{1}{2}\frac{\mathrm{\Delta }r}{r}=\frac{1.5}{2}ϵ.$$
$`\left(22\right)`$
The Kepler’s law states that the smaller the distance from the Sun, the more the planet velocity is, i.e.

$$\frac{\mathrm{\Delta }v}{v}=\frac{vv^{}}{v}<0.$$

It takes place since the length measure unit grosses up and, correspondingly, the velocity must gross on the absolute value. If to take into account the Kepler’s law, then

$$\frac{\mathrm{\Delta }v}{v}=+\frac{1}{2}\frac{\mathrm{\Delta }r}{r}=\frac{1.5ϵ}{2}=0.75ϵ$$
$`\left(23\right)`$
or

$$v^{}=v\left(1+0.75ϵ\right)$$
$`\left(23^{}\right)`$
Putting equations (21) and (23’) in eq. (11), we obtain

$$D^{}=P^{}v^{}=Pv\left(1+2.25ϵ\right)\left(1+0.75ϵ\right)Pv\left(1+3ϵ\right)=D\left(1+3ϵ\right)$$
$`\left(24\right)`$
or

$$D^{}=D\left(1+\frac{3GM}{c^2r}\right)$$
$`\left(24^{}\right)`$
Equation (24’) as function of angle $`\phi `$ has the following form:

$$\phi ^{}=\phi +\mathrm{\Delta }\phi ,\mathrm{\Delta }\phi =2\pi 3ϵ=6\pi \frac{GM}{c^2r},$$
$`\left(25\right)`$
for elliptic orbit $`rr\left(1e^2\right)`$ ($`e`$ is a larger eccentricity and $`\mathrm{\Delta }\phi `$ is

$$\mathrm{\Delta }\phi =\frac{6\pi GM}{c^2r\left(1e^2\right)}$$
$`\left(26\right)`$
Eqs. (25), (26) are mathematically identical to Einstein’s equation . These equations are obtained in the flat space by taking into account changing of the effective mass of the planet in the external gravitational field, i.e. by using the law of local energy conservation. A more detailed consideration of this problem is presented in work .

## 3 Conclusion

So, the effective mass $`m^{}`$ of the planet rotation around the star (the Sun) with mass $`M`$ on distance $`r`$ is

$$m^{}=m\left(1\frac{\phi }{c^2}\right),\phi =G\frac{M}{r},$$

and the corresponding connection energy is

$$\mathrm{\Delta }E=m\phi =\mathrm{\Delta }mc^2.$$

Half of this energy is the energy of the planet rotation around the star (the Sun)

$$m^{}v^2=G\frac{m^{}M}{r}=\frac{m^{}}{2}\phi ,v^2=\phi ,$$

$$E_{kin}=\frac{m^{}v^2}{2}=\frac{m^{}\phi }{2},$$

and another half-

$$E_{con}=\frac{m^{}\phi }{2}$$

is the energy lost of planet rotating around the star (the Sun).

At gravitational interactions of bodies and particles there appears the defect of masses, i.e. the energy yields since the bodies (or particles) are attracted. It was shown that this changing of the effective mass of the body (or the particle) in the external gravitational field leads to changes the measurement units: velocity and length (relative to the standard measurement units). The expression describing the advance of the perihelion of the planet (the Mercury) has been obtained. This expression is mathematically identical to Einstein’s equation for the advance of the perihelion of the Mercury.

References

1. Kh.M. Beshtoev, JINR Commun. P4-2000-45, Dubna, 2000;

quanta-ph/0004074.

2. P.I. Bakulin, E.V. Kononovich, V.I. Moroz, Course of

General Astronomy, M., Nauka, 1977.

3. P. Marmet, Physics Essays, 1999, v.3, p.468.

4. A. Einstein, Ann. Phys., 1911, v.35, p.898;

M. Born, Einstein’s Theory of Relativity, Dover, N.Y., 1962;

C.M. Will, Intern. Journal of Modern Phys., 1992, v.1, p.13.


text:
# Ensemble properties of securities traded in the NASDAQ market

## 1 Introduction

In recent years physicists started to interact with economists to concur to the modeling of financial markets as model complex systems . A reliable model of a financial market should be able to reproduce and to explain the stylized facts observed in the real markets. These stylized facts mainly refer to the statistical properties of asset returns and volatility and to the degree and nature of cross-correlation between different assets traded synchronously or quasi synchronously and belonging to given portfolios. Recently, we have proposed to look at a different aspect of an ensemble of stock by considering the statistical properties (shape, moments, etc.) of the ensemble return distribution of stocks simultaneously traded in a market . Our studies have shown that some of the statistical properties of the ensemble return distribution of stocks traded in the NYSE market are not described by simple market models as the single-index model . A similar conclusion has been reached in Ref. . In this paper we study the statistical properties of the ensemble return distribution of the NASDAQ market in the 12-year period 1987-1998. The main motivation for this study is to compare our previous findings obtained for the NYSE with the empirical results observed in a different market. The NASDAQ market is very different from the NYSE. Stocks traded in the NASDAQ are usually more volatile (mean volatility is $`4.6\%`$ per year) than those traded in the NYSE (mean volatility is $`2.4\%`$ per year). In 1987 the NASDAQ was a relatively small market but its total capitalization and the number of traded companies increased very fast and in 1994 NASDAQ surpassed the NYSE in annual share volume.

## 2 Ensemble return distribution properties for the NASDAQ

The investigated market is the NASDAQ during the 12-year period from January 1987 to December 1998 which corresponds to 3032 trading days. We consider the ensemble of all stocks traded in the NASDAQ. The number of stocks traded in the NASDAQ is increasing in the investigated period and it ranges from $`864`$ at the beginning of 1987 to $`4280`$ at the end of 1998. The total number of data records exceeds $`6`$ millions. The variable investigated in our analysis is the daily price return, which is defined as

$$R_i(t)\frac{Y_i(t+1)Y_i(t)}{Y_i(t)},$$
(1)
where $`Y_i(t)`$ is the closure price of $`i`$th stock at day $`t`$ ($`t=1,2,..`$). For each trading day $`t`$, we consider $`n_t`$ returns, where $`n_t`$ is the total number of stocks traded in the NASDAQ at the selected day $`t`$. In our study we use a “market time”. With this choice, we consider only the trading days and we remove the weekends and the holidays from the calendar time. A database of more than 6 millions records unavoidably contains some errors. A direct control of a so large database is not realistic. For this reason, to avoid spurious results we filter the data by not considering daily price returns which are in absolute values greater than $`50\%`$. We extract the $`n_t`$ returns of the $`n_t`$ stocks for each trading day $`t`$. The probability density function (pdf) of these returns $`P_t(R)`$ provides information about the kind of activity occurring in the market at the selected trading day $`t`$. Figure 1 shows the contour plot of the logarithm of the pdf as a function of the return and of the trading day. In Fig. 1 there are long time periods, see for example the three-year period 1993-1995, in which the central part of the distribution maintains its shape and the equiprobability contour lines are approximately parallel one to each other. On the other hand there are time periods in which the shape of the distribution changes drastically. In general these periods corresponds to financial turmoil in the market .

In order to characterize more quantitatively the ensemble return distribution at day $`t`$, we extract the first two central moments at each of the $`3032`$ trading days. Specifically, we consider the mean and the standard deviation of $`R_i(t)`$ defined as

$`\mu (t)={\displaystyle \frac{1}{n_t}}{\displaystyle \underset{i=1}{\overset{n_t}{}}}R_i(t),`$ (2)
$`\sigma (t)=\sqrt{{\displaystyle \frac{1}{n_t}}\left({\displaystyle \underset{i=1}{\overset{n_t}{}}}(R_i(t)\mu (t))^2\right)}.`$ (3)
The mean of price returns $`\mu (t)`$ quantifies the general trend of the market at day $`t`$. The standard deviation $`\sigma (t)`$ gives a measure of the width of the ensemble return distribution. We call this quantity variety  of the ensemble because it gives a measure of the variety of behavior observed in a financial market at a given day. A large value of $`\sigma (t)`$ indicates that different companies are characterized by rather different returns at day $`t`$. The mean and the standard deviation of price returns are not constant and fluctuate in time. The probability density function of the mean $`\mu (t)`$ is leptokurtic because of the correlation between stocks. In agreement with previous results on the NYSE market , we find that the mean $`\mu (t)`$ is a random variable with very short time memory, whereas the autocorrelation function of $`\sigma (t)`$ is a slow decaying function and lacks a typical time scale.

Figure 2 shows the time series of the variety $`\sigma (t)`$ for the NASDAQ. The time series of the variety is non stationary and shows several bursts of activity and relatively long time periods in which the variety has a slow dynamics. The effects of these observations are reflected in the properties of the autocorrelation function. We observe that the autocorrelation function of the variety is greater than $`0.25`$ after $`100`$ trading days.

It has been shown by us  that information about the relative strength of cross-correlation between different stocks and the autocorrelation of price returns can be obtained by comparing the statistical properties of time-averaged and ensemble-averaged quantities. To this end for each stock traded in the NASDAQ we extract the first two central moments of the time series $`R_i(t)`$ defined as

$`\mu _i={\displaystyle \frac{1}{t_i^bt_i^a}}{\displaystyle \underset{t=t_i^a}{\overset{t_i^b}{}}}R_i(t),`$ (4)
$`\sigma _i=\sqrt{{\displaystyle \frac{1}{t_i^bt_i^a}}\left({\displaystyle \underset{t=t_i^a}{\overset{t_i^b}{}}}(R_i(t)\mu _i)^2\right)},`$ (5)
where $`t_i^a`$ indicates the first trading day of our database or the day at which the asset $`i`$ entered the market and $`t_i^b`$ indicates the last trading day of our database or the day at which the asset $`i`$ quit the NASDAQ market. The quantity $`\mu _i`$ gives a measure of the overall performance of stock $`i`$ in the period. The standard deviation $`\sigma _i`$ is called historical volatility in the financial literature and quantifies the risk associated with the $`i`$-th stock. This quantity is of primary importance in risk management and in option pricing. The left panel of Figure 3 shows the pdf of the time-averaged mean $`\mu _i`$ and the pdf of the ensemble-averaged mean $`\mu (t)`$. The pdf of $`\mu _i`$ is non-Gaussian and it is much more peaked than the pdf of $`\mu (t)`$. Hence the statistical behavior observed by investigating a large ensemble in a market day is not representative of the statistical behavior observed by investigating the time evolution of single stocks. This comparison can be performed also for the second moment of the distributions. In the right panel of Figure 3 we compare the pdf of the volatility $`\sigma _i`$ and the pdf of the variety $`\sigma (t)`$. Also in this case, the statistical properties of $`\sigma _i`$ and $`\sigma (t)`$ are different. Specifically, the pdf of $`\sigma (t)`$ is more peaked than the pdf of $`\sigma _i`$. We showed  that the width of the pdf of $`\mu (t)`$ is related to the mean synchronous cross-covariance between pairs of stock returns, whereas the width of the pdf of $`\mu _i`$ is related to the mean autocorrelation of stock return time series. The left panel of Figure 3 confirms that also for the NASDAQ market the synchronous cross-correlations between the stocks are on average stronger than the single stock correlation present in the whole portfolio at two different trading day. In order to test how robust are these conclusion on the time horizon used to define returns, we perform the same analysis by considering weekly (5 trading days) returns and we find the same discrepancy between the pdfs of time averaged and ensemble averaged quantities. In the following we compare our results with the results obtained by modeling the price dynamics with a single index model . The single-index model assumes that the returns of all assets are controlled by one factor. For any asset $`i`$, we have

$$R_i(t)=\alpha _i+\beta _iR_M(t)+ϵ_i(t),$$
(6)
where $`R_i(t)`$ and $`R_M(t)`$ are the return of the asset $`i`$ and of the market factor at day $`t`$, respectively, $`\alpha _i`$ and $`\beta _i`$ are two real parameters and $`ϵ_i(t)`$ is a zero mean noise term characterized by a variance equal to $`\sigma _{ϵ_i}^2`$. Our choice for the market factor is the NASDAQ 100 index and we assume that $`ϵ_i=\sigma _{ϵ_i}w`$, where $`w`$ is a random variable distributed according to a Student’s t density function with exponent such that $`P(w)w^4`$. The use of a non Gaussian noise term has been recently proposed in Ref. . We estimate the model parameters for each asset and we generate an artificial market according to Eq. (6). A similar analysis has been performed in Ref.  for the NYSE market. We find that the single index model explains well the statistical properties of $`\mu _i`$, $`\mu (t)`$ and $`\sigma _i`$ but fails in describing the statistical properties of variety $`\sigma (t)`$. In the bottom panel of Figure 2 we show the variety of a surrogate market generated according to Eq. (6). The time series is very different from the real one showed in the top panel of the same Figure.

## 3 Conclusion

The present study performs an analysis the dynamics of returns of an ensemble of stocks traded in the NASDAQ. We observe that also in the NASDAQ the variety is a long-range correlated stochastic variable and that time-averaged and ensemble-averaged price returns have different statistical properties. Therefore the empirical results found in the NYSE are not specific of that market but are observed also in the NASDAQ. The statistical properties of the variety could be universal features of financial markets. In previous papers  we showed that the statistical properties of the variety cannot be explained by the single-index model. A theoretical challenge is to find a model able to explain these empirical ensemble observations.

The authors thank INFM and MURST for financial support. This work is part of the FRA-INFM project Volatility in financial markets. F. Lillo acknowledges FSE-INFM for his fellowships. We wish to thank Giovanni Bonanno for help in numerical calculations.