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# Steady-State Eternal Inflation

## I Introduction

Following the discovery of the cosmic expansion, cosmology became dominated by two alternative paradigms. The first, the Big Bang (BB), is based on general relativity applied to a physical system obeying the Cosmological Principle (CP) of spatial homogeneity and isotropy. In the BB, the observed universe evolved in a finite time from a dense singular state before which classical space and time did not exist. The second, the Steady-State (SS), is based on the Perfect Cosmological Principle (PCP) that the statistical properties of the universe are independent also of time. In the SS, the universe always has and always will exist in a state statistically like its current one, and time has no beginning .

Observations of the thermal microwave background and evolution in quasars and galaxies turned most astronomers away from the SS, and its proponents were forced make their models only “quasi-steady”, with expansion and contraction cycles explaining the observed evolution . But while the SS has approached the BB, the BB has also approached the SS, in the form of “eternal inflation”: there is a broad consensus among its architects that inflation—now considered by many to be an indispensable part of the BB cosmology—never ends once it begins . Rather, inflation always continues somewhere and continually spawns new thermalized regions, creating a mixture of inflating and non-inflating areas that approaches some quasi-steady-state distribution eternally into the future.

The SS cosmology is appealing because it avoids an initial singularity, has no beginning of time, and does not require an initial condition for the universe. This led some to hope that inflation could be extended eternally into the past to likewise avoid these unpalatable necessities. Attempts to do this failed, however, and these failures have motivated the formulation of several singularity theorems attempting to show that under very general assumptions inflating spaces must contain singularities, so that inflation can be at best “semi-eternal” into the future. The most recent such theorem, for example, attempts to show that an observer following “almost any” geodesic will have finite past proper time if its “locally measured Hubble constant” always exceeds some positive minimum value , implying that inflating spaces are generically past geodesically incomplete.

This is an odd result as it applies to—and hence appears to forbid—the seemingly physically reasonable classical SS cosmology (which can itself be considered a form of eternal inflation). In this paper we attempt to resolve this incongruity by carefully examining the implications of the singularity theorems and providing a construction that allows for a physically reasonable geodesically complete eternally inflating space-time in which physical observers can have indefinitely long past proper time. In Sec. II we examine the classical SS cosmology in light of the singularity theorems, and show how to construct a self-consistent and physically reasonable model with its essential features. Eternal inflation is based on the same (de Sitter) space-time as the SS cosmology, and in Sec. III we show how our construction might be used to formulate a viable truly eternal model of inflation with big-bang-like regions embedded in an eternally inflating background. We conclude in Sec. IV.

## II The Steady-State Universe

Let us now review the classical SS model. The backbone of this theory is the PCP, which holds that an observer at a randomly chosen position in space and time measures physical properties of the universe that are isotropic and that are statistically indistinguishable from any other such observer. This principle places strong conditions on a cosmology that satisfies it. The spatial part of the PCP implies that space-time can be described by the Friedmann-Robertson-Walker (FRW) metric with scale factor $`a`$. The measurable Hubble parameter $`H(1/a)da/dt\dot{a}/a`$ must be a constant in cosmic time $`t`$, implying exponential expansion. The universe must be spatially flat, lest there be a time-varying ratio of the curvature scale to the Hubble radius. The physical matter density must also be constant in time. Because of the Hubble expansion, this implies that particles must be continually created so as to keep this density constant. This requires that the number of particles created in a given four-volume be proportional to the four-volume itself. (Mechanisms for doing this are generally considered somewhat artificial, detracting from the aesthetic appeal of the SS; but this is not important for the present argument.)

A subtle question that should be asked at this point is: why have we stated that the universe is expanding (rather than contracting) and that particles are being created (not destroyed)? This is necessary if the arrow of time (AOT) is to point in the direction of entropy creation: to maintain a SS, both microscopic and coarse-grained entropy must, on average, be created as the universe expands at a constant rate per unit physical volume. In other words, if either microscopic or coarse-grained entropy were created as the universe contracted, the entropy density would change in time, violating the PCP. The “thermodynamic AOT” defined by entropy creation is in turn linked to the electromagnetic AOT. The latter specifies, for example, that while moving charges can emit radiation (creating an asymptotically spherical outgoing wavefront that is either eventually absorbed or propagates to infinity), an incoming spherical wavefront cannot “miraculously” assemble into a local electromagnetic field that can move charges. Conditions sufficient to ensure this behavior are that the “retarded” rather than “advanced” potentials are appropriate (which is tied to the thermodynamic AOT) and that there be no radiation incoming from infinity (the “Sommerfield radiation condition”) . This last condition is discussed below; for now note only that in a SS model the thermodynamic and (hence) electromagnetic AOTs are explicitly linked to the direction of the expansion.

The metric for an exponentially expanding FRW universe can be written:

$`ds^2=dt^2+e^{2Ht}\left(dx^2+dy^2+dz^2\right),`$ (1)
with $`H`$ constant chosen positive so that $`a=e^{Ht}`$ increases as $`t`$ increases as required by the preceding argument. This is a well studied metric: that of the flat slicing of de Sitter space . 4-dimensional de Sitter space-time can be thought of as a hyberboloid in 5-dimensional Minkowski space; see Fig. 1. One may coordinatize this hyperboloid in a variety of ways to yield slices of constant time that are

open, flat or closed. In our case the PCP has singled out as physically appropriate the flat expanding system shown in Fig. 1: slices of constant time are the nearly diagonal parabolas, with the $`t\mathrm{}`$ surface $`𝒥^{}`$ a null surface. Comoving observers emerge from past timelike infinity $`i_\mathrm{I}^{}`$ in the lower-right corner, with future light cones that open in the direction of expansion, which is toward future timelike infinity at the top of the diagram.

However, as we can see from the figure, this slicing does not cover the entire hyperboloid. So the universe described by (1) is geodesically incomplete; geodesics like that labelled “X” in Fig. 1 can go “through $`t=\mathrm{}`$” into the uncharted region. This singularity at $`𝒥^{}`$ is exactly what the singularity theorems  point to, so let us look at the equations here. Consider a massive particle (the analogous argument can be made for light). Its geodesic equations in the metric (1) read

$`t^{\prime \prime }+He^{2Ht}𝐱^2=0,\left(e^{2Ht}𝐱^{}\right)^{}=0,`$ (2)
where prime denotes a derivative with respect to the proper time $`\tau `$ of the particle. Integrating the latter gives $`e^{2Ht}𝐱^{}=𝐯`$, with $`𝐯`$ constant. Substituting into the former leads to

$`t^2e^{2Ht}𝐯^2=1,`$ (3)
remembering the normalization of the proper time. Now consider the particular class of geodesics with $`𝐯=0`$. Then (3) simply reads $`t^2=1`$ so that $`\mathrm{\Delta }t=\mathrm{\Delta }\tau `$ and for any value of $`\tau `$ the particle stays in the region of space-time covered by the coordinates of the flat slicing. So these (comoving) geodesics are in fact complete in the region of space-time described by (1). Now consider a geodesic with $`𝐯0`$. Eq. (3) leads to

$`{\displaystyle _{t_i}^{t_f}}{\displaystyle \frac{dt}{1+𝐯^2e^{2Ht}}}=\tau _f\tau _i.`$ (4)
The LHS is unbounded as $`t_f+\mathrm{}`$, showing that the region of space-time described by Eq. (1) is geodesically complete to the future. But it tends to a finite constant as $`t_i\mathrm{}`$, implying that along this geodesic there is only a finite proper time since $`t=\mathrm{}`$. Hence the region described by Eq. (1) is geodesically incomplete to the past. This sort of argument is the basis for the recent singularity theorem of Ref. .

What does this mean? Is the steady-state model badly defined? We will address this question from several perspectives. First, consider what a particle $`X`$ on such a trajectory that came “from the outside” into the region described by the metric (1) would look like to the geodesically complete comoving observer it passes at time $`t`$. It would appear to be a particle with energy $`m_0\sqrt{1+𝐯^2e^{2Ht}}`$, where $`m_0`$ is its rest mass. This is time dependent and as $`t\mathrm{}`$ particle $`X`$ has an arbitrarily large energy. That particles like $`X`$ are forbidden can be seen in several complementary ways. First, consider $`X`$ to be propagating “backwards in time” toward $`𝒥^{}`$ . If $`X`$ has any nonzero interaction cross section with any particle in the universe that has nonzero physical number density, then particle $`X`$ will interact with an infinite number of them with arbitrarily high energy. It would create, then, a “spray” of particles in a light-cone opening toward $`𝒥^{}`$ , violating the CP to an abritrarily great degree as $`𝒥^{}`$ is approached.***Note also that when viewed forward in time, this requires collective, anti-entropic behavior by an increasingly large number of particles as $`t\mathrm{}.`$ Now consider $`X`$ to be propagating forward in time, starting “from” $`𝒥^{}`$ . Then for the same reason, $`X`$ would interact with an abitrarily large number of particles, yielding a spray of high-energy particles filling a light-cone opening away from $`𝒥^{}`$ , rendering any time-slice inhomogeneous. Even supposing the particle to somehow avoid all interactions, it would—simply by virtue of its asymptotically infinite energy—still pick out a preferred position, and violate the PCP.A homogeneous family of such incoming particles can satisfy the CP but only on one of the flat spatial sections. In short, enforcing the PCP as $`t\mathrm{}`$ acts a boundary condition on $`𝒥^{}`$ that forbids any physical

particles from entering the SS universe from “elsewhere”. The only allowed physical things in the SS are particles/photons/observers that are created within the space-time or particles/observers that have world lines approaching the inextendible comoving geodesics in their infinite past.

Another way of looking at the situation is by asking what is in the region on the other side of $`𝒥^{}`$ , labelled as “region II” in Fig. 1. Note first that no signal or particle created in region I can escape into region II, because to do so it would have to travel along a spacelike path, or somehow backward in time so as to exist before it was created. Thus region II will see $`𝒥^{}`$ as a boundary from which no particle or information emerges. This is exhibited in the conformal diagram for the flat slicing of de Sitter space-time (Fig. 2): the future light-cone of any point in region I fails to intersect $`𝒥^{}`$ . Conceive now some physical beings residing in region II. In what sort of universe do they live? Consider first the electromagnetic AOT. A point in region II could not experience an incoming spherical wave from infinity traveling along a light cone opening toward $`𝒥^{}`$ (because no particles can emerge from there). It could, however, send such a wavefront away from $`𝒥^{}`$ . This provides the Sommerfield radiation condition in region II as long as the electromagnetic AOT points away from $`𝒥^{}`$ , i.e. toward the bottom of Figs. 1 and 2, with comoving observers emerging from the point labelled $`i_{\mathrm{II}}^{}`$. Now, noting that the boundary condition on $`𝒥^{}`$ picks out the flat slicing as preferred in region II, just as the PCP did in region I, we are strongly motivated to apply the PCP in region II as in region I (which would also link the thermodynamic and cosmological AOTs as before).It does not appear strictly necessary to enforce the PCP in region II, though this makes the construction simpler; all that is really necessary is that—as suggested but not required by the Sommerfield condition—there is a globally well-defined AOT that prevents particles created in region II from passing through $`𝒥^{}`$ . The PCP is a sufficient but probably not necessary condition. Turning the page upside-down, we see that region II now closely resembles region I, and that the “no incoming particles” boundary condition on $`𝒥^{}`$ (which, recall, followed simply from causality in region I) is exactly the necessary condition to prevent the sort PCP-violating particles previously discussed in the context of the geodesic completeness of region I. And further, the inability of particles created in region II to travel along spacelike paths or into their own past prevents any particles from traveling from region II into region I, completing the circle.

In essence, this construction partitions the full de Sitter space-time into a self-consistent set of two non-communicating SS universes. An observer in region I does not see anything in its past light cone from an observer in region II because that other observer cannot signal into its past, and vice-versa. Seen in this way the boundary condition forbidding physical particles from following geodesics across $`𝒥^{}`$ into one universe is in no way strange or unreasonable, as it follows directly from the forbidding of causality violations in the other universe. (One could similarly partition de Sitter space-time by any non-timelike boundary $``$ away from which time flows. But $`𝒥^{}`$ is special: any spacelike $``$ would allow no eternal observers, and any other null $``$ would be less symmetric; moreover, $`𝒥^{}`$ is the only $``$ that can be “irrelevant” by allowing interesting physics to occur throughout the full de Sitter space-time even while no information flows from $``$.)

The two universes resulting from the partition may not be identical, despite sharing the null boundary, because $`i_{\mathrm{II}}^{}`$ (which is the beginning point of all region II comoving geodesics) is not necessarily the same as $`i_\mathrm{I}^{}`$. The universes can be made identical, however, providing a more economical and perhaps more elegant construction, through the identification of antipodal points on the hyperboloid (demonstrated by equating the two points $`P`$ and $`P`$ in Fig. 1). This identification maps $`𝒥^{}`$ onto itself. The resulting space-time (studied mathematically in Ref. ) contains no closed timelike curves, and in it $`𝒥^{}`$ is a surface of infinitely early time that no physical particle can reach and from which no physical particle can emerge.

Without the identification, the space-time manifold is time-orientable in the mathematical sense that it is possible to continuously divide non-spacelike vectors into two classes which can be labelled “future” and “past”. In our construction these labels will only correspond to the physical AOT in one of the two regions. With the identification the space-time is still a manifold but is not mathematically time-orientable. The physical AOT is, however, still well-defined and no physical observer will see it reverse.

While our construction is self-consistent for any physical observer with an origin in the space-time, one might nevertheless ask what a meta-physical invisible observer (with its own arrow of time) might see as it follows for example one of the comoving geodesics of the closed slicing which covers the full de Sitter space-time (shown in Fig. 1 and labeled ‘X’). Moving in region I toward $`𝒥^{}`$ , it would observe that the clocks on the comoving observers it passes (at huge velocities as per Eq. (3)) would read earlier and earlier times, but that the clock of any one such observer would be turning at an ever-slower rate. Passing through $`𝒥^{}`$ it would see the times diverge to minus infinity but the rates freeze. Emerging into region II (or in the identified case into another part of region I), it would see the times increasing from minus infinity and the rates increasing again. It would perceive nothing singular happening, interpreting the time reaching minus infinity and back as due to the infinite length contraction between the comoving observers as its speed relative to them momentarily becomes the speed of light.

## III Eternal Inflation

The construction we have outlined gives either one or two past- and future-eternally inflating regions of space-time, but is not a viable cosmological model for the same (observational) reasons the classical SS is not. It could, however, provide the background for events that create big-bang-like regions, one of which could describe our environment.

One possibility, based on “old inflation” , was discussed by Vilenkin in Ref.  but considered not to be viable because the background space-time (the flat de Sitter slicing) is geodesically incomplete—the very problem to which we have outlined a solution. To construct such a steady-state inflation model, one may simply take the SS universe described above and replace the particles by bubbles§§§Not all of the arguments carry over directly. For example, unlike the $`X`$ particle, a physical observer (somehow) beginning in an inflating region could, without encountering anything else, follow a timelike geodesic (necessarily always passing through locally de Sitter space) toward $`𝒥^{}`$ and (noticing nothing) pass through it. The observer would then quickly encounter a bubble and realize that it was traveling into the future of its surrounding region. in which the scalar field will eventually roll down to the true vacuum ; the interior of each bubble looks like an open FRW cosmology to observers inside it. For a suitably flat inflaton potential (as in “open inflation”), the FRW regions can be nearly flat, homogeneous, and have scale-invariant density perturbations just as in standard inflationary cosmology. Like the particles in the SS model, the number of bubble nucleation events in a given four-volume is proportional to the four-volume itself . For non-overlapping bubbles, this would yield a model obeying the PCP, as the physical number density of the bubbles of a given size on each space-like surface would be independent of time. However, the bubbles do tend to overlap: given a volume $`V`$ at a time $`t`$, bubbles formed after some earlier time $`t_0`$ at a rate $`\lambda `$ per unit 4-volume fill all of $`V`$ except a fraction

$$f_{\mathrm{inf}}=\mathrm{exp}[\lambda Q]=\mathrm{exp}\left[\frac{4\pi \lambda (tt_0)}{3H^3}\right]$$
(5)
for $`(tt_0)H^1`$ and $`V\mathrm{}`$, where $`Q`$ is the 4-volume between $`t_0`$ and $`t`$ in the past light cone of a point in $`V`$. Then $`f_{\mathrm{inf}}0`$ as $`t_0\mathrm{}`$ and inflation seemingly halts. However, as argued in Ref. this is not necessarily the case. One can show that if a large but finite sphere of comoving volume $`\stackrel{~}{V}`$ contains a fraction $`f_{\mathrm{inf}}>0`$ of inflating volume, then the inflating phase’s physical volume increases with time in that comoving volume, and its distribution at any time is a self-similar fractal of dimension $`D=3\frac{4\pi \lambda }{3H^4}`$ up to a scale $`L\mathrm{log}(tt_0)`$ (that is, $`V(r)f_{\mathrm{inf}}(r)r^D`$ for $`r<L`$). As $`t_0\mathrm{}`$ the distribution becomes fractal on arbitrarily large scales and, because $`D<3`$, the inflating fraction of an arbitrarily large region tends to zero even though parts inflate indefinitely. The global structure of the space-time is still apparently de Sitter, however, as all inflating regions are connected in space-time and the fractal “skeleton” of inflating phase cannot be in any way affected by the regions of true vacuum. Note also that—although bubble intersections are common—the interior of any given bubble formed at time $`t`$ will be essentially homogeneous if $`\lambda /H^4`$ is small enough: it can be shown  that throughout all time, on average only $`(80\pi /9)(\lambda /H^4)`$ bubbles formed prior to $`t`$ will intersect the chosen bubble, and that the fractional volume of the chosen bubble filled with bubbles formed after $`t`$ is also $`(80\pi /9)(\lambda /H^4)`$.

If the disquieting feature of this model that events of zero probability occur in the universe (infinitely often) is accepted,Constructing a steady-state model is different from constructing a model evolved from an initial condition in that one must choose the state of the system at some particular time, and then show that the state maintains itself and does not “self-destruct” by evolving into anything else. Thus assuming that some region is inflating is allowed (despite the odds) as long as this assumption self-consistently leads to the same configuration at a later time. there is still cause for concern because an infinite fractal does not satisfy the CP. Note, however, that the distribution $`f_{\mathrm{inf}}(r)`$ about each inflating point is the same, and is independent of time. Thus the inflating part of the universe does satisfy a “perfect” (stationary in time) version of the “Conditional Cosmographic Principle” (proposed by Mandelbrot as a generalization of the CP) that the statistical distribution of inflating volume around any point is isotropic and does not depend upon that point on the condition that the point is itself inflating. This principle, which holds for both the inflating and thermalized regions, could therefore serve as a replacement for the PCP in constructing an SS universe, though it is a radical departure from the CP that implictly or explicitly lies at the heart of almost all known cosmological models.

The fractally inflating model just described is, however, not the only conceivable possibility, and we can sketch out a number of possible variations that could satisfy the usual CP and might (or might not) improve upon it.

First, relaxing the PCP to the CP, the nucleation rate $`\lambda `$ could tend to zero at “early times” so that the number of nucleation events in the past light-cone of any point is finite. This would prevent $`f_{\mathrm{inf}}`$ from vanishing at any finite time (and the fractal distribution would, as in future-eternal inflation, have an outer scale above which it becomes homogeneous). This would, however, come at the great expense of introducing a preferred point in time.

Second, eternal inflation could occur in some 4+1 or higher-dimensional manifold and somehow nucleate 3+1 dimensional bubbles incapable of filling the space. This would also prevent $`f_{\mathrm{inf}}`$ from vanishing.

Third and related, big-bang cosmologies could be formed within the intersection of bubble walls in a higher-dimensional space-time. A model of this sort has been proposed in Ref. . As noted by Ref.  this model as it stands is geodesically incomplete, and so a construction such as that proposed here might be applied.

Fourth, thermalized or slowly-rolling regions could re-enter inflation. In the “recycling” scenario of Ref.  this occurs due to quantum fluctuations of the inflaton. There might be some way in which the fraction of inflating space could be a finite fraction of “all” space but is extremely difficult to see how to compute this volume fraction in an unambiguous way.

Fifth, in the recent “cyclic” model of Ref.  the universe consists of two repeatedly colliding 3+1 dimensonal flat branes embedded in a 4+1 dimensional bulk. An (indestructible) observer on one of the branes sees only a flat space which is almost always exponentially expanding, and in which particles are periodically created when an “ekpyrotic” collision occurs between the branes. Averaged over sufficient time, the expansion is exponential and the model comes to resemble a quasi-steady-state to an observer on the brane. The argument of Ref.  applies to geodesics on the brane, all of which cannot then be fully extended (because they encounter $`𝒥^{}`$ a finite proper time in their past.) Here as in the classical SS all the matter that is created in this model (in the brane collisions) originates at rest in the comoving frame (defined here by those collisions), so no physical particles follow the geodesics intersecting. Nevertheless, as in the SS the construction described herein may aid in constructing a global, geodesically complete space-time for this scenario.

## IV Conclusion

We have argued that the geodesically incomplete flat slicing of de Sitter space-time can be completed in a self-consistent and physically sensible way by considering it to be one of two similar or identical regions of a full de Sitter space-time that is partitioned by the flat slicing $`t\mathrm{}`$ null surface $`𝒥^{}`$ . Our construction follows naturally from causality constraints which forbid each region from sending particles or information into the other region. It also suggests intimate links between the arrows of time, the cosmic expansion, and the (perfect) cosmological principle.

Although our arguments have been largely classical, they may have interesting implications for the formulation of quantum field theories (QFTs) in de Sitter space. Both the “two universe” and identified models are geodesically complete and seem therefore to provide a more satisfactory background for QFTs than would an eternally inflating spacetime with a boundary. How (and whether) this quantum mechanical formulation can be achieved constitutes an interesting subject for future research.

Our construction may be applied to extend standard theories of future-eternal inflation into the eternal past, though we do not claim that such models are problem-free. In particular, on any equal-time slice the inflating regions form a fractal distribution of infinite volume and yet a vanishing volume fraction, and the cosmological principle must be replaced by some sort of “conditional” cosmological principle that can hold for infinite fractals. For those deeming these features undesirable, we have listed a number of possible ways in which they might be avoided by other models.

Speaking more generally, what makes constructing eternal models of the universe both appealing and difficult is that almost all, at bottom, have the same essential features. To be avoid a preferred time (as seems highly desirable), the model must enforce some sort of (quasi-)steady-state. For the 2nd law of thermodynamics to hold universally, the universe must then expand lest it be always in equilibrium, and to be (quasi-)steady this expansion must be (quasi-)exponential. Though not rigorous, these arguments lead somewhat unavoidably to the flat slicing of de Sitter space-time or some variant of it.Chaotic “eternal” inflation  may conceivably be an exception to this, as the the inflaton potential in the inflating region tends to approach the Planck energy and it is unclear how one is to talk about a global structure of the universe at all. Thus we suspect that a construction like that proposed here may be necessary in any reasonable model for an eternal universe that avoids a beginning of time.

Acknowledgements

We thank Paul Steinhardt, Neil Turok and Alex Vilenkin for useful discussions and comments. AA is supported by a grant from the W.M. Keck foundation. SG is supported in part by US Department of Energy grant DE-FG02-91ER40671.


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# Why Quantum Theory?

## 1 Introduction

The usual formulation of quantum theory is very obscure employing complex Hilbert spaces, Hermitean operators and so on. While many of us, as professional quantum theorists, have become very familiar with the theory, we should not mistake this familiarity for a sense that the formulation is physically reasonable. Quantum theory, when stripped of all its incidental structure, is simply a new type of probability theory. Its predecessor, classical probability theory, is very intuitive. It can be developed almost by pure thought alone employing only some very basic intuitions about the nature of the physical world. This prompts the question of whether quantum theory could have been developed in a similar way. Put another way, could a nineteenth century physicist have developed quantum theory without any particular reference to experimental data? In a recent paper I have shown that the basic structure of quantum theory for finite and countably infinite dimensional Hilbert spaces follows from a set of five reasonable axioms . Four of these axioms are obviously consistent with both classical probability theory and with quantum theory. The remaining axiom states that there exists a continuous reversible transformation between any two pure states. This axiom rules out classical probability theory and gives us quantum theory. The key word in this axiom is the word “continuous”. If it is dropped then we get classical probability theory instead. The proof that quantum theory follows from these axioms, although involving simple mathematics, is rather lengthy. In this paper I will simply discuss the main ideas referring interested readers to the main paper .

Various authors have set up axiomatic formulations of quantum theory, for example see references  (see also ). Much of this work is in the quantum logic tradition. The advantage of the present work is that there are a small number of simple axioms which can be easily motivated without any particular appeal to experiment, and, furthermore, the mathematical methods required to obtain quantum theory from these axioms are very straightforward (essentially just linear algebra).

## 2 Basic notions

We will consider situations in which a preparation apparatus prepares systems which may be transformed by a transformation apparatus and measured by a measurement apparatus. Associated with any given preparation will be a state. The state is defined to be (that thing described by) any mathematical object that can be used to determine the probability associated with each outcome of any measurement that may be performed on a system prepared by the associated preparation. The point is that, if one knows the state, one can predict probabilities for any measurement that may be performed. It is not entirely clear that one will be able to ascribe states to preparations. The first axiom, to be introduced later, will make this possible by assuming that the same probability is obtained under the same circumstances. If we can ascribe a state it is clear from the definition above that one way of describing the state is by that mathematical object which simply lists all the probabilities for every outcome of every conceivable measurement that could possibly be made on the system. This would be a very long list. Since most physical theories have some structure, it is likely that this would be too much information. We can imagine that a set of $`K`$ appropriately chosen probability measurements will be just sufficient and necessary to determine the state (so $`K`$ is the smallest number of probabilities required to specify the state). We will call these the fiducial measurements. We can list just the probabilities corresponding to these fiducial measurements in the form of a column vector. Thus, the state can be written

$$𝐩=\left(\begin{array}{c}p_1\\ p_2\\ p_3\\ \mathrm{}\\ p_K\end{array}\right).$$
(1)
We will call the integer $`K`$ the number of degrees of freedom. This number plays an important role in this work.

The allowed states $`𝐩`$ will belong to some set $`S`$. We expect that there will exist sets of states which can be distinguished from each other in this set by a single shot measurement. Consider one such set. If Alice picks a state from this set and sends it to Bob then Bob can set up a measurement apparatus such that each state gives rise to a disjoint set of outcomes. By knowing which outcomes are associated with which state, Bob can tell Alice which state she sent. Let the maximum number of states in any such set be called $`N`$. We will call $`N`$ the dimension (because in quantum theory it corresponds to the dimension of the Hilbert space).

Associated with any particular type of system will be the two integers $`K`$ and $`N`$. It turns out that in classical probability theory we have $`K=N`$ and in quantum theory we have $`K=N^2`$. We will explain why this is the case later.

First, let us describe the type of scenario we wish to consider. This is shown in Fig. 1. We have three types of apparatus. The preparation apparatus prepares systems in some state. It has a knob on it for varying the type of state prepared. It also has a release button, whose role will be described shortly. The system then passes through a transformation apparatus. This has a knob on it which varies the transformation effected. Unless otherwise stated, we will assume that the transformation device is set to leave the state unchanged (i.e. effect the identity transformation). Finally the system impinges onto a measurement apparatus. This has a knob on it to vary the measurement being performed. It also has some classical information coming out. Either we obtain a non-null outcome, labeled $`l=1`$ to $`L`$, or we obtain a null outcome. We require that if the release button is pressed on the preparation apparatus (and assuming that the transformation is set to the identity) then we will certainly obtain a non-null outcome. On the other hand, if the release button is not pressed then we will certainly obtain a null outcome. To illustrate this we could think of an array of detectors labeled $`l=1`$ to $`L`$. If none of the detectors click then we can say this is a null result. Since we allow null outcomes we need not assume that states are normalized.

All quantities are reducible to measurements of probability. For example, any measurement of an expectation value is really a probability weighted sum. Therefore, we need only consider measurements of probability. Henceforth, when we refer to a “measurement” or a “probability measurement” we mean specifically a measurement of the probability that the outcome belongs to some non-null subset of outcomes with a given knob setting on the measurement apparatus.

If we never press the release button then all the fiducial probability measurements will be equal to zero (so the state will be represented by a column vector with $`K`$ zero’s). We will call this state the null state.

It is normal in probability theory to talk about pure states and mixed states. A mixed state is any state which can be simulated by a mixture of two distinct states. Thus, we prepare randomly either state $`A`$ or state $`B`$ with probabilities $`\lambda `$ and $`1\lambda `$ where $`0<\lambda <1`$. Pure states are defined to be those states (except the null state) which are not mixed states. Pure states will turn out to be extremal states in the set of allowed states (this set being convex).

We will now describe classical probability theory and then quantum theory. We will find that it is possible to give the two theories a very similar mathematical structure. This will help us to appreciate the similarities and differences between the two theories.

## 3 Classical probability theory

Consider a ball that can be in one of $`N`$ boxes (or be missing). The state is fully determined by specifying the probabilities, $`p_n`$, for finding the ball in each box. This information can, as in the previous section, be written

$$𝐩=\left(\begin{array}{c}p_1\\ p_2\\ p_3\\ \mathrm{}\\ p_N\end{array}\right).$$
(2)
Since the ball may be missing, the sum of the probabilities in this vector must be less than or equal to one. There are $`N`$ entries in $`𝐩`$. Hence, $`K=N`$. There are some interesting special cases. The states

$$𝐩_1=\left(\begin{array}{c}1\\ 0\\ 0\\ \mathrm{}\\ 0\end{array}\right)𝐩_2=\left(\begin{array}{c}0\\ 1\\ 0\\ \mathrm{}\\ 0\end{array}\right)𝐩_3=\left(\begin{array}{c}0\\ 0\\ 1\\ \mathrm{}\\ 0\end{array}\right)\mathrm{etc}.$$
(3)
represent the case where the ball is definitely in one of the boxes. These states cannot be simulated by mixtures of other states and hence are pure states for this system. The state

$$𝐩_{\mathrm{null}}=\mathrm{𝟎}=\left(\begin{array}{c}0\\ 0\\ 0\\ \mathrm{}\\ 0\end{array}\right)$$
(4)
represents the case where the ball is missing. These $`N+1`$ states are extremal in the space of allowed states. Since we are casting classical probability theory and quantum theory in similar mathematical forms, let us consider how we can represent measurements in the classical case. One measurement we could make is to look and see if the ball is in box 1. The probability of finding the ball in box 1 is $`p_1`$. We can write this as

$$p_1=\left(\begin{array}{c}1\\ 0\\ 0\\ \mathrm{}\\ 0\end{array}\right)\left(\begin{array}{c}p_1\\ p_2\\ p_3\\ \mathrm{}\\ p_N\end{array}\right)=𝐫_1𝐩.$$
(5)
Hence, we can identify the vector $`𝐫_1`$, defined as

$$𝐫_1=\left(\begin{array}{c}1\\ 0\\ 0\\ \mathrm{}\\ 0\end{array}\right),$$
(6)
with the measurement where we look to see if the ball is in box 1. We can write down similar vectors for the other boxes. However, we could perform more complicated measurements. For example, we could toss a $`\lambda `$ biased coin and look in box 1 if it came up heads and in box 2 if it came up tails. In this case the measurement being performed would be represented by the vector

$$𝐫=\lambda 𝐫_1+(1\lambda )𝐫_2$$
(7)
since then $`𝐫𝐩=\lambda p_1+(1\lambda )p_2`$. In general it can be shown that the probability associated with any measurement is given by

$$\mathrm{prob}_{\mathrm{meas}}=𝐫𝐩$$
(8)
where $`𝐫`$ is associated with the measurement and $`𝐩`$ is associated with the state.

Consider a classical bit. This is a system with $`N=2`$. In this case the extremal states are

$$𝐩_1=\left(\begin{array}{c}1\\ 0\end{array}\right)𝐩_2=\left(\begin{array}{c}0\\ 1\end{array}\right)𝐩_{\mathrm{null}}=\left(\begin{array}{c}0\\ 0\end{array}\right).$$
(9)
The set of allowed states $`S_{\mathrm{classical}}`$ are given by the convex hull of these extremal states as shown in Fig. 2a. Note that the normalized states (for which $`p_1+p_2=1`$) lie on the hypotenuse. Note also that the pure states form a discrete set. There is no continuous path from one pure state to another which goes through the pure states.

We see that classical probability theory is characterized by $`K=N`$, by the set $`S_{\mathrm{classical}}`$ of allowed states $`𝐩`$ and the set $`R_{\mathrm{classical}}`$ of allowed measurements $`𝐫`$, and by the formula $`\mathrm{prob}_{\mathrm{meas}}=𝐫𝐩`$.

## 4 Quantum theory

Let us begin describing the quantum case by discussing an example. Consider a spin half particle (an example of a qubit). Its state is represented by a density matrix $`\rho `$ which can be written

$$\rho =\left(\begin{array}{cc}p_{z+}& a\\ a^{}& p_z\end{array}\right)$$
(10)
where

$$a=p_{x+}p_{y+}\frac{1i}{2}(p_{z+}+p_z).$$
(11)
Here, $`p_{z+}`$ is the probability the particle has spin up along the $`+z`$ direction and the other probabilities are defined similarly. This means that rather than representing the state by $`\rho `$, we can represent it by

$$𝐩=\left(\begin{array}{c}p_{z+}\\ p_z\\ p_{x+}\\ p_{y+}\end{array}\right).$$
(12)
This mathematical object contains the same information as $`\rho `$. Hence, for $`N=2`$ we have $`K=4`$. The set of allowed states can be calculated from the condition that $`\rho `$ is positive. Since there are four parameters it is not easy to visualize the shape of this set. However, if we impose normalization ($`p_{z+}+p_z=1`$), thus eliminating one variable, then we can picture the allowed set of states in three dimensions. We find that the allowed states are inside that ball which sits just in the unit cube in the first octant of the variables $`p_{x+},p_{y+},p_{z+}`$ as shown in Fig. 2b. This is basically the Block sphere in a different coordinate set. All the points on the surface of the ball represent pure states (since they are extremal). Hence, unlike in the classical case, the pure states form a continuous set. This will be the key difference between the two theories.

The density matrix for $`N=2`$ is specified by 4 real parameters and this is why we need four probabilities. In general, the density matrix for a system of dimension $`N`$ is specified by $`N^2`$ real parameters (since we have $`N`$ real numbers along the diagonal and $`N(N1)/2`$ complex numbers above the diagonal). Not surprisingly then, we can show that we need $`N^2`$ probabilities to describe a general state:

$$𝐩=\left(\begin{array}{c}p_1\\ p_2\\ p_3\\ \mathrm{}\\ p_{N^2}\end{array}\right).$$
(13)
Hence, $`K=N^2`$. Various authors have noticed that the state can be represented by probabilities .

Associated with each probability measurement in quantum theory is a positive operator $`A`$. The probability for that measurement is given by the trace formula:

$$\mathrm{prob}_{\mathrm{meas}}=\mathrm{tr}(A\rho )$$
(14)
Now, since $`\rho `$ is linear in the probabilities $`p_k`$ for $`k=1`$ to $`N^2`$, it follows that we can write

$$\mathrm{prob}_{\mathrm{meas}}=𝐫𝐩.$$
(15)
The vector $`𝐫`$ can be determined from $`A`$. It describes the measurement.

Quantum theory is characterized by $`K=N^2`$, by the set $`S_{\mathrm{quantum}}`$ of allowed states $`𝐩`$ and the set $`R_{\mathrm{quantum}}`$ of allowed measurements $`𝐫`$, and by the formula $`\mathrm{prob}_{\mathrm{meas}}=𝐫𝐩`$.

It is also interesting to think about the effect of the transformation device on the state. In quantum theory, transformations are described by unitary transformations or, in the case of open systems, by superoperators. When acting on $`𝐩`$, it can be shown that such transformations can be written

$$𝐩Z𝐩$$
(16)
where $`Z`$ is a $`K\times K`$ real matrix. (A similar statement holds for transformations in the case of classical probability theory.) Allowed transformations belong to some set $`Z\mathrm{\Gamma }_{\mathrm{quantum}}`$.

## 5 The axioms

We will soon state the five axioms. But first let us point out a number of features of classical probability theory and quantum theory. Both theories are probability theories. We can only build a useful theory of probability if the world is such that the same probability is obtained under the same circumstances. Axiom 1 imposes this condition. The remaining axioms impose restrictions on the structure of the probability theory we derive. To motivate Axiom 2 consider the situation where a ball can be in one of five boxes. Then $`N=5`$. However, if the state is constrained so that the ball is never found in the last two boxes then the system will behave like one with $`N=3`$. Similarly, if the state of a quantum system is constrained to a lower dimensional subspace of the Hilbert space then it will behave like a system of the dimension of the subspace. We will say, in general, that a state is constrained to an $`M`$ dimensional subspace if, with the measurement apparatus set to distinguish a set of $`N`$ distinguishable states, the only outcomes observed (apart from the null outcome) are those associated with a subset of $`M`$ of these distinguishable states. In both classical and quantum theory the system will behave like one of dimension $`M`$ in such cases. To motivate the third axiom consider a composite system consisting of systems $`A`$ and $`B`$. In both classical and quantum theory we have that $`N=N_AN_B`$ and $`K=K_AK_B`$. One set of functions $`K=K(N)`$ which satisfy these properties are $`K=N^r`$ where $`r`$ is a positive integer. In fact, it will turn out from the axioms that $`K(N)`$ must be of this form. The simplest case is $`K=N`$ (with $`r=1`$). This is consistent with classical probability theory. However, the fourth axiom will imply that there exists a continuous set of pure states. This rules out $`K=N`$. The next simplest case is $`K=N^2`$. This corresponds to quantum theory. The role of Axiom 5 will be to take the simplest case consistent with the constraints imposed by the axioms (namely $`K=N^2`$).

The five axioms for quantum theory are:

Probabilities. Relative frequencies (measured by taking the proportion of times a particular outcome is observed) tend to the same value (which we call the probability) for any case where a given measurement is performed on a ensemble of $`n`$ systems prepared by some given preparation in the limit as $`n`$ becomes infinite.

Subspaces. There exist systems for which $`N=1,2,\mathrm{}`$, and, furthermore, all systems of dimension $`N`$, or systems of higher dimension but where the state is constrained to an $`N`$ dimensional subspace, have the same properties.

Composite systems. A composite system consisting of subsystems $`A`$ and $`B`$ satisfies $`N=N_AN_B`$ and $`K=K_AK_B`$.

Continuity. There exists a continuous reversible transformation on a system between any two pure states of that system for systems of any dimension $`N`$.

Simplicity. For each given $`N`$, $`K`$ takes the minimum value consistent with the other axioms.

The axioms are written in a slightly different (though obviously equivalent) form to those given in . If the word “continuous” is dropped from Axiom 4 then, because of the simplicity axiom, we obtain classical probability theory instead of quantum theory. It is rather striking that the difference between classical probability theory and quantum theory is just one word.

A few comments on these axioms are appropriate here. We can think of any probability theory as a structure. This structure, however, has no physical meaning unless we have a way of relating it to the real world. The first axiom deals with this aspect. It states that probabilities, defined as limiting relative frequencies, are the same each time they are measured. There are various different interpretations of probability. Axiom 1, as stated, favours the frequency approach. However, one could recast this axiom in keeping with other interpretations such as the Bayesian approach . In this paper we are primarily concerned with the structure of quantum theory and so will not try to be sophisticated with regard to the interpretation of probability theory. However, these are important matters which deserve further attention.

By a “continuous transformation” we mean one that can be built up of many transformations which are themselves only infinitesimally different from the identity transformation. The motivation for the continuity axiom is simply that we would like physics to be continuous. There is no way, in finite dimensional classical probability theory, of going in a continuous way from one pure state to another. It is classical probability theory that has the “jumps”.

The motivation for $`N=N_AN_B`$ is fairly clear. For example, if we have two dice then $`N_A=N_B=6`$ and $`N=36`$. However, the motivation for $`K=K_AK_B`$ is not so clear. It follows from two intuitions. Intuition A: Pure states represent definite states. This motivates Assumption $`\alpha `$: If one of the two subsystems is in a pure state then any joint probabilities factorize (since a system in a definite state should not be correlated with any other system). From this we can show that the number of degrees of freedom associated with the separable states (those states that can be regarded as a mixture of states whose joint probabilities factorize) is

$$K_{\mathrm{separable}}=K_AK_B.$$
(17)
Intuition B: There should not be more entanglement than necessary. This motivates Assumption $`\beta `$: $`K=K_{\mathrm{separable}}`$. Hence, $`K=K_AK_B`$ follows.

The simplicity axiom has a slightly awkward status. It is perhaps better regarded as a meta-axiom (applied to a set of axioms). As a guiding principle in physics, simplicity is perfectly valid. However, it would more satisfactory to either show that theories with $`K=N^r`$ for $`r>2`$ do not exist or that they can be ruled out by adding some additional reasonable axiom. On the other hand, if such theories do exist, then it would be very interesting to actually construct them and investigate their properties. It may turn out that they have even better information processing capacity than quantum theory. Furthermore, there may be a downward compatibility. Thus, classical probability theory can be embedded in quantum theory (by only taking orthogonal states). It may be that quantum theory can be embedded in a higher power theory. If this turned out to be the case then such a theory may be consistent with all the empirical data collected to date and could therefore be a true theory of the world.

## 6 Derivation of quantum theory from the axioms

The proof that these axioms give quantum theory is rather complicated and so we will content ourselves here with simply indicating how the various steps of the proof work. The reader is referred to  for details of the proofs.

### 6.1 Linearity

It follows from Axiom 1 that measured probabilities do not depend on the particular ensemble being used. Thus, we can associate a state, $`𝐩`$, with a preparation as discussed in Section 2. The probability associated with a general measurement will be given by some function of the state:

$$\mathrm{prob}_{\mathrm{meas}}=f(𝐩).$$
(18)
This function will, in general, be different for each measurement. Let $`𝐩_C`$ be the mixed state prepared when state $`𝐩_A`$ is prepared with probability $`\lambda `$ and state $`𝐩_B`$ is prepared with probability $`1\lambda `$. Then we have

$$f(𝐩_C)=\lambda f(𝐩_A)+(1\lambda )f(𝐩_B).$$
(19)
We can apply this equation to the fiducial measurements themselves. This gives

$$𝐩_C=\lambda 𝐩_A+(1\lambda )𝐩_B$$
(20)
since this equation is true for each component by (19). Hence,

$$f(\lambda 𝐩_A+(1\lambda )𝐩_B)=\lambda f(𝐩_A)+(1\lambda )f(𝐩_B)$$
(21)
This can be used to prove that the function $`f`$ is linear in $`𝐩`$. Hence, we can write

$$\mathrm{prob}_{\mathrm{meas}}=𝐫𝐩$$
(22)
where $`𝐫`$ is a vector associated with the measurement. It follows from (20) that the set of allowed states $`S`$ must be convex. The extremal states (except the null state) are the pure states. They cannot be written as a mixture of any other states.

### 6.2 Proof that $`K=N^r`$

Axiom 2 says that any system of dimension $`N`$ has the same properties. This implies that $`K=K(N)`$. From Axiom 3 we can write

$$K(N_AN_B)=K(N_A)K(N_B).$$
(23)
Such functions are known in number theory as completely multiplicative. It follows from the subspace axiom that

$$K(N+1)>K(N).$$
(24)
From (23, 24) it can be proven that

$$K=N^\alpha $$
(25)
where $`\alpha >0`$. Since $`K`$ is an integer we must have $`K=N^r`$ where $`r=1,2,\mathrm{}`$. Wootters, employing related reasoning, has also come to the equation $`K=N^r`$ as a possible relationship between $`K`$ and $`N`$ .

The simplicity axiom requires that we take the smallest value of $`r`$ consistent with axioms 1 to 4. If we drop the word “continuous” from Axiom 4 then this gives $`K=N`$ and it can be shown that we obtain classical probability theory. However, it can be shown that the $`K=N`$ case cannot give rise to a continuous set of pure states. Hence, if Axiom 4 is left as it is then we must, by the simplicity axiom, have $`K=N^2`$.

### 6.3 Qubits

We can consider the case where $`N=2`$. Since $`K=N^2`$ we then have $`K=4`$. One of these degrees of freedom is associated with normalization. If we consider normalized states we have only three degrees of freedom. Axiom 4 requires that there exist continuous reversible transformations between any two pure states. These reversible transformations will form a group. It can be shown that they generate a set of pure states which are on the surface of a ball corresponding exactly to the quantum case (discussed in Section 4).

### 6.4 General $`N`$

Having obtained quantum theory for the special case $`N=2`$ we can use this in conjunction with the subspace axiom to recover quantum theory for general $`N`$. We do this by considering two dimensional subspaces. We require that, if the state is restricted to any given two dimensional subspace, then it behaves like a qubit. With this constraint we can obtain the trace formula for predicting probabilities and the constraints that $`𝐫`$ and $`𝐩`$ correspond to the positive operators $`A`$ and $`\rho `$ respectively.

### 6.5 Transformations

It can be shown from linearity that transformations are of the form $`𝐩Z𝐩`$ where $`Z\mathrm{\Gamma }`$ is a $`K\times K`$ real matrix. By considering composite systems we can find the most general class of transformations consistent with the axioms. These turn out to correspond to the completely positive linear trace non-increasing maps of standard quantum theory .

### 6.6 State update rule

One of the more mysterious features of quantum theory is the state update rule. If the system emerges from the measurement apparatus its state will, in general, have changed. In text books the von Neumann projection principle is usually given. However, this is by no means the most general state change that can happen after a measurement. In general, we expect each outcome $`l`$ to be associated with a particular transformation $`Z_l\mathrm{\Gamma }`$ of the state. The normalization associated with the state after a particular measurement result will be consistent with the probability for that outcome. These transformations can all be taken together. Hence we require $`_lZ_l\mathrm{\Gamma }`$. These constraints are sufficient to give the most general state update rule of quantum theory. It is interesting to note that exactly the same constraints apply in classical probability theory. Thus, the strangeness associated with the state update rule in quantum theory is not so much due the way in which the state is updated as it is due to the nature of the sets $`S`$ and $`R`$ in quantum theory.

## 7 Discussion

The basic property from which quantum theory follow is that there should be continuous transformations between pure states. In classical probability theory for discrete systems it is necessary to jump between pure states. We might ask what would have happened had a nineteenth century physicist complained about “dammed classical jumps”. It is possible that he would have gone on to develop quantum theory. There is a sense in which quantum theory is more reasonable than classical theory exactly because there do exist these continuous transformations.

There are various reasons for developing reasonable axioms. Firstly, physics is primarily about explanation and we can be said to have explained quantum theory more deeply if we give reasonable axioms. Secondly, by having a deeper understanding of the origin of quantum theory we are more likely to be able to extend or adapt the theory to new domains of applicability (such as quantum gravity). Thirdly, the fact that we put quantum theory and classical probability theory on such a similar footing may point the way to a deeper appreciation of the relationship between classical and quantum information. And finally, these new axioms may shed some light on the interpretation of quantum theory.

Acknowledgements

This work is funded by a Royal Society University Research Fellowship.


text:
# Symmetry Breaking in Stock Demand

## Abstract

Scale-free distributions and correlation functions found in financial data are reminiscent of the scale invariance of physical observables in the vicinity of a critical point. Here, we present empirical evidence for a transition phenomenon, accompanied by a symmetry breaking, in the investors’ demand for stocks. We study the volume imbalance $`\mathrm{\Omega }`$ — difference between the number of shares traded in buyer-initiated and seller-initiated trades in a time interval $`\mathrm{\Delta }t`$ — conditioned on $`\mathrm{\Sigma }`$ which is defined as the local first moment of $`\mathrm{\Omega }`$ in $`\mathrm{\Delta }t`$. We find that the conditional distribution $`P(\mathrm{\Omega }|\mathrm{\Sigma })`$ undergoes a qualitative change in behavior as $`\mathrm{\Sigma }`$ increases beyond a critical threshold $`\mathrm{\Sigma }_c`$. For $`\mathrm{\Sigma }<\mathrm{\Sigma }_c`$, $`P(\mathrm{\Omega }|\mathrm{\Sigma })`$ displays a maximum at $`\mathrm{\Omega }=0`$, i.e., trades in $`\mathrm{\Delta }t`$ are equally likely to be buyer initiated or seller initiated. For $`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$, $`\mathrm{\Omega }=0`$ becomes a local minimum and two new maxima $`\mathrm{\Omega }_+`$ and $`\mathrm{\Omega }_{}`$ appear at non-zero values of $`\mathrm{\Omega }`$, i.e., trades in $`\mathrm{\Delta }t`$ are either predominantly buyer initiated or predominantly seller initiated. We interpret these results using a Langevin equation with multiplicative noise.

PACS numbers: 05.45.Tp, 89.90.+n, 05.40.-a, 05.40.Fb

Phase transitions of systems from an ‘ordered’ phase into a ‘disordered’ phase are closely linked to symmetry breaking. For example, in an Ising ferromagnet above its critical temperature, the most probable state (zero net magnetization) possesses the symmetry that leaves it invariant under the flipping of each spin. For temperatures below the critical value, this symmetry is broken, and there is a preferred direction.

Here, we present evidence for an analogous transition phenomenon in a financial context . Specifically, we study the statistical properties of investors’ demand for stocks — quantified as the imbalance in the number of shares transacted by buyers and sellers over a time interval $`\mathrm{\Delta }t`$. We analyze the probability distribution of demand, conditioned on its local “noise” intensity (a variance-like parameter $`\mathrm{\Sigma }`$ defined below). We find that for intensities smaller than a critical value $`\mathrm{\Sigma }_c`$, the most probable value of demand is approximately zero — neither buying nor selling behavior dominates. For intensities larger than that critical value ($`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$), two most probable values emerge that are symmetric around zero demand, corresponding to two distinct “phases” — excess demand and excess supply . Under such conditions, the market behavior is either mainly-buying or mainly-selling, spending almost equal amount of time in each state. In other words, exchanging every “buy” with a “sell” gives the same state below the critical noise intensity, whereas above this threshold, the symmetry of this exchange is broken.

In classic critical phenomena, the qualitative change in behavior accompanying a phase transition can be formalized in terms of the extrema of a phenomenological potential, or equivalently in terms of the extrema of the corresponding probability distributions . We first follow the latter approach and study the behavior of the probability distribution of demand. Using transactions and quotes data for the 116 most-actively traded stocks , we quantify the demand for a stock by calculating the “volume imbalance” over a time interval $`\mathrm{\Delta }t`$, defined to be the difference between $`Q_\mathrm{B}`$, the number of shares traded in buyer-initiated trades, and $`Q_\mathrm{S}`$, the number of shares traded in seller-initiated trades in $`\mathrm{\Delta }t`$ ,

$$\mathrm{\Omega }(t)Q_\mathrm{B}Q_\mathrm{S}=\underset{i=1}{\overset{N}{}}q_ia_i.$$
(1)
Here, the indicator $`a_i=1`$ for buyer-initiated trades (buy trades) and $`a_i=1`$ for seller-initiated trades (sell trades) , $`q_i`$ is the number of shares traded in transaction $`i`$, and $`NN_{\mathrm{\Delta }t}`$ denotes the number of trades in $`\mathrm{\Delta }t`$ .

Our analysis of the (unconditional) probability distribution $`P(\mathrm{\Omega })`$ for each stock shows a single peak around $`\mathrm{\Omega }=0`$. Since previous work shows that the distribution of $`q_i`$ has divergent variance , we quantify the noise intensity by computing the ‘local deviation’ , defined as the centered first moment,

$$\mathrm{\Sigma }(t)|q_ia_iq_ia_i|,$$
(2)
where $`\mathrm{}`$ denotes ‘local’ expectation values computed from all trades in the time interval $`\mathrm{\Delta }t`$. Next, we examine the behavior of the conditional distribution $`P(\mathrm{\Omega }|\mathrm{\Sigma })`$ of $`\mathrm{\Omega }`$ for a given value of the local deviation $`\mathrm{\Sigma }`$ for $`\mathrm{\Delta }t=15`$ min, \[Fig. 1(a)\]. For small $`\mathrm{\Sigma }`$, we find that $`P(\mathrm{\Omega }|\mathrm{\Sigma })`$ is single peaked displaying a maximum at $`\mathrm{\Omega }=0`$. When $`\mathrm{\Sigma }`$ exceeds a critical threshold $`\mathrm{\Sigma }_c`$, the behavior of $`P(\mathrm{\Omega }|\mathrm{\Sigma })`$ undergoes a qualitative change, and is double peaked with two new maxima appearing at non-zero values, $`\mathrm{\Omega }_+`$ and $`\mathrm{\Omega }_{}`$, symmetric around zero. Figure 1(a) also shows that the separation between the two maxima increases with $`\mathrm{\Sigma }`$.

This qualitative change in the behavior of $`P(\mathrm{\Omega })`$ implies that for $`\mathrm{\Sigma }<\mathrm{\Sigma }_c`$, the most-probable value of demand is approximately zero, and possesses the symmetry that leaves the most probable value invariant under the operation $`\mathrm{\Omega }\mathrm{\Omega }`$, or at the microscopic (trade) level, under the operation $`\mathrm{B}\mathrm{S}`$ of changing every buyer-initiated trade B, to a seller-initiated trade S. For $`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$, the two most probable values $`\mathrm{\Omega }_\pm `$ are non-zero, and the $`\mathrm{\Omega }\mathrm{\Omega }`$ ($`\mathrm{B}\mathrm{S}`$) symmetry is broken. In other words, while for $`\mathrm{\Sigma }<\mathrm{\Sigma }_c`$ buy and sell trades are equally probable in each time interval (zero demand), for $`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$, trades in each time interval are either mostly buy trades (excess demand) or mostly sell trades (excess supply) giving rise to non-zero values of $`\mathrm{\Omega }_\pm `$. Identical results can be obtained by conditioning $`P(\mathrm{\Omega })`$ on the total trade volume in $`\mathrm{\Delta }t`$, $`Q(t)Q_\mathrm{B}+Q_\mathrm{S}`$.

Our finding is analogous to phase transition phenomena in physical systems, where the behavior of the system undergoes a qualitative change at a critical threshold of a control parameter $`T`$. In such systems, the change in behavior can be quantified by an order parameter $`\mathrm{\Psi }`$ which is identically zero for values of $`T`$ below (or above as the case may be) a certain critical value $`T_\mathrm{c}`$, and becomes nonzero as $`T`$ crosses $`T_\mathrm{c}`$. In our problem, the “order parameter” $`\mathrm{\Psi }`$, can be identified by the location of the maxima $`\mathrm{\Omega }_\pm `$ of $`P(\mathrm{\Omega })`$. Figure 1(c) shows that the change in $`\mathrm{\Psi }`$ as a function of $`\mathrm{\Sigma }`$ is described by

$$\mathrm{\Psi }(\mathrm{\Sigma })=\{\begin{array}{cc}0\hfill & [\mathrm{\Sigma }<\mathrm{\Sigma }_c]\hfill \\ |\mathrm{\Sigma }\mathrm{\Sigma }_c|^\beta \hfill & [\mathrm{\Sigma }>\mathrm{\Sigma }_c]\hfill \end{array},$$
(3)
with $`\beta 1`$ .

In the mean-field theory of critical phenomena (Landau-Ginzburg theory), the qualitative change in behavior of the system is attributed to the changes in symmetry of the underlying potential . In the following, we pursue an analogous approach to understand our empirical results. Since the transition behavior that we find occurs with change in noise intensity, we follow an approach similar to those used to understand non-equilibrium phase transition phenomena . We start with expressing the dynamics of $`\mathrm{\Omega }`$ through a deterministic differential equation,

$$d\mathrm{\Omega }=h_\lambda (\mathrm{\Omega })dt,$$
(5)
where $`\lambda `$ is a parameter quantifying the coupling of the system to its environment. Letting $`\lambda `$ fluctuate randomly with noise intensity $`\sigma `$, Eq.(5) becomes, in general, a stochastic differential equation with multiplicative noise. Since the form of $`h_\lambda (\mathrm{\Omega })`$ is not known, and since it is not a priori clear if $`\lambda `$ is an observable, we describe the dynamics of $`\mathrm{\Omega }`$ through

$$d\mathrm{\Omega }=u(\mathrm{\Omega })dt+\sigma v(\mathrm{\Omega })dW_t,$$
(6)
where $`uu(\mathrm{\Omega })`$ is the drift term, $`vv(\mathrm{\Omega })`$ reflects the effects of multiplicative noise, $`dW_t`$ is the standard Wiener differential satisfying $`dW_tdW_t^{}=\delta (tt^{})dt`$, and the parameter $`\sigma `$ quantifies the intensity of the noise term . The functions $`u`$ and $`v`$ may estimated from the data as a “local” mean and standard deviation of $`d\mathrm{\Omega }`$ . The Fokker-Planck equation corresponding to Eq. (6) which describes the evolution of the transition probability density $`\mathrm{\Pi }P(\mathrm{\Omega },t|\mathrm{\Omega }(t=0))`$ is

$$\frac{\mathrm{\Pi }}{t}=\frac{}{\mathrm{\Omega }}[u\mathrm{\Pi }]+\frac{\sigma ^2}{2}\frac{^2}{\mathrm{\Omega }^2}[v^2\mathrm{\Pi }].$$
(7)
The stationary probability density $`P(\mathrm{\Omega })`$ from Eq. (7) is

$$P(\mathrm{\Omega })=\frac{A}{v^2}\mathrm{exp}\left(\frac{2}{\sigma ^2}^\mathrm{\Omega }\frac{u}{v^2}𝑑x\right),$$
(8)
where $`A`$ is the normalization constant, and $`P`$ is assumed to be normalizable. Equation (8) can be rewritten as

$$P(\mathrm{\Omega })=A\mathrm{exp}\left(\frac{V(\mathrm{\Omega })}{\sigma ^2}\right),$$
(9)
where the function $`V(\mathrm{\Omega })`$ takes the meaning of a effective “stochastic” potential given by

$$V(\mathrm{\Omega })\left[^\mathrm{\Omega }\frac{u}{v^2}𝑑x\sigma ^2\mathrm{ln}v\right].$$
(10)
Thus, the extrema of the probability density can be translated into the extrema of the underlying stochastic potential.

As the noise intensity of the environment ($`\sigma `$) changes, the potential could change shape, acquire new minima, and consequently the system could undergo drastic changes in behavior . Can the transition behavior we find empirically for $`P(\mathrm{\Omega }|\mathrm{\Sigma })`$ be understood in this framework? To address this question, we must examine the shape of the potential $`V(\mathrm{\Omega })`$ for different values of $`\mathrm{\Sigma }`$, which monotonically depends on $`\sigma `$ .

In order to study $`V(\mathrm{\Omega })`$ for different $`\sigma `$ empirically, we first extract the functions $`u(\mathrm{\Omega })`$ and $`v(\mathrm{\Omega })`$ and analyze their behavior for different values of $`\mathrm{\Sigma }`$. From Eq. (6), $`u`$ is the drift term, which for a given $`\mathrm{\Sigma }`$, can be estimated by computing the equal-time expectation value of the change $`\mathrm{\Delta }\mathrm{\Omega }\mathrm{\Omega }(t+\mathrm{\Delta }t)\mathrm{\Omega }(t)`$ for a given $`\mathrm{\Omega }`$,

$$u\mathrm{\Delta }\mathrm{\Omega }_{(\mathrm{\Omega },\mathrm{\Sigma })}.$$
(11)
Similarly, the product $`\sigma v`$ can be estimated from the “local” deviation

$$\sigma v|\mathrm{\Delta }\mathrm{\Omega }\mathrm{\Delta }\mathrm{\Omega }_{(\mathrm{\Omega },\mathrm{\Sigma })}|_{(\mathrm{\Omega },\mathrm{\Sigma })}.$$
(12)
Figures 2(a) and (b) show $`u(\mathrm{\Omega })`$ and $`v(\mathrm{\Omega })`$ for three different values of $`\mathrm{\Sigma }`$. Clearly, the functional form $`u(\mathrm{\Omega })`$ does not vary with $`\mathrm{\Sigma }`$ and is consistent with a linear behavior for all $`\mathrm{\Sigma }`$. Figure 2(b) shows that, for small $`\mathrm{\Sigma }`$, $`\sigma v(\mathrm{\Omega })`$ is approximately flat, whereas for large $`\mathrm{\Sigma }`$, $`\sigma v`$ acquires a marked ‘peak’ around $`\mathrm{\Omega }=0`$. Except for the smallest $`\mathrm{\Sigma }`$, the functional forms $`\sigma v(\mathrm{\Omega })`$ for different $`\mathrm{\Sigma }`$ seem to be consistent within a multiplicative factor (related to $`\sigma `$.

Next, we shall analyze the extrema of the stochastic potential $`V(\mathrm{\Omega })`$ for different values of $`\mathrm{\Sigma }`$. From Eqs. (9) and (10), the extrema of $`P(\mathrm{\Omega })`$ correspond to the roots of the function

$$F(\mathrm{\Omega })\frac{dV(\mathrm{\Omega })}{d\mathrm{\Omega }}=u\sigma ^2v\frac{dv}{d\mathrm{\Omega }}.$$
(13)
Figure 3(a) shows $`F(\mathrm{\Omega })`$ for three different $`\mathrm{\Sigma }`$. For $`\mathrm{\Sigma }<\mathrm{\Sigma }_c`$, the function $`F(\mathrm{\Omega })`$ displays only one root at $`\mathrm{\Omega }=0`$. Near $`\mathrm{\Sigma }=\mathrm{\Sigma }_c`$, $`F(\mathrm{\Omega })`$ displays an inflexion point at $`\mathrm{\Omega }=0`$. For $`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$, the one root branches into three: $`\mathrm{\Omega }=0`$, $`\mathrm{\Omega }_+`$, and $`\mathrm{\Omega }_{}`$.

Integrating the stochastic “force” $`F(\mathrm{\Omega })`$, we next find the potential $`V(\mathrm{\Omega })`$. Figure 4 shows the behavior of $`V(\mathrm{\Omega })`$ with different $`\mathrm{\Sigma }`$. For $`\mathrm{\Sigma }<\mathrm{\Sigma }_c`$, the potential has only one minimum at $`\mathrm{\Omega }=0`$, which is consistent with one maximum for $`P(\mathrm{\Omega })`$ which we find. For $`\mathrm{\Sigma }\mathrm{\Sigma }_c`$, the potential appears almost flat: the existing minimum begins to change into a (unstable) local maximum and displays an inflexion point at $`\mathrm{\Sigma }=0`$. For $`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$, the potential displays two clear minima at $`\mathrm{\Omega }_\pm `$ and a local maximum at $`\mathrm{\Omega }=0`$, consistent with the bimodal nature of the distribution $`P(\mathrm{\Omega })`$ for $`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$.

In summary, we investigate the dynamics of the demand $`\mathrm{\Omega }`$ by examining the distribution of volume imbalance $`\mathrm{\Omega }`$ for changing market conditions quantified by the local deviation $`\mathrm{\Sigma }`$. We find that the distribution $`P(\mathrm{\Omega })`$ is single peaked for $`\mathrm{\Sigma }`$ smaller than a critical threshold $`\mathrm{\Sigma }_c`$. For $`\mathrm{\Sigma }`$ larger than $`\mathrm{\Sigma }_c`$, the distribution $`P(\mathrm{\Omega })`$ changes to a double-peaked distribution. The analog of the order parameter $`\mathrm{\Psi }`$ which describes the above qualitative change in behavior is zero for $`\mathrm{\Sigma }<\mathrm{\Sigma }_c`$ and behaves as $`|\mathrm{\Sigma }\mathrm{\Sigma }_c|^\beta `$ for $`\mathrm{\Sigma }>\mathrm{\Sigma }_c`$, where $`\beta 1`$. We have also seen that the dynamics of demand can be understood in terms of a ‘stochastic’ potential which changes its behavior with $`\mathrm{\Sigma }`$. As $`\mathrm{\Sigma }`$ crosses the critical threshold $`\mathrm{\Sigma }_c`$, the system undergoes a transition from a ‘disordered’ state with most probable demand equal to zero to an ‘ordered’ state with two phases, excess demand and excess supply.

We thank the National Science Foundation for support.


text:
# Numerical study of the magnetorotational instability in weakly magnetised accretion disks

## 1 Introduction

The biggest problem in the theory of accretion disks has been the lack of knowledge of a widely applicable physical process which could reproduce the observed effective angular momentum transport. A decade ago, the magnetorotational instability was realised to have signifigance in the context of accretion disks (Balbus & Hawley balhaw1 (1991)). The MRI was seen to excite and sustain turbulence giving rise to turbulent viscosity and outward angular momentum transport in local MHD calculations (e.g. Hawley et al. hgbI (1995), hgbII (1996); Brandenburg et al. bnstI (1995), bnstII (1996); Stone et al. stone (1996)).

The efficiency of this process can be measured in terms of the Shakura & Sunyaev $`\alpha `$–parameter which parametrises the turbulent viscosity as $`\nu _t=\alpha c_\mathrm{s}H`$, where $`c_\mathrm{s}`$ is the sound speed, and $`H`$ the height of the disk. The above parametrisation was made assuming the motion of the gas to be subsonic and that the turbulent eddies are smaller than the disk height, resulting in $`\alpha `$ as a dimensionless number whose values vary between zero and one. The interpretation of the lightcurves of some dwarf novae indicates that the value of $`\alpha `$ should be of the order $`10^21`$ (e.g. Cannizzo canniz (1993)).

However, in the aforementioned numerical studies the values of $`\alpha `$ have been at least an order of magnitude too low to account for the observational results. On the other hand, the numerical resolution was seen to affect the values of $`\alpha `$ (e.g. Brandenburg et al. bnstII (1996); Miller & Stone millstone (2000)). Doubling the resolution increased the value of $`\alpha `$ by a factor of $`1.5`$ in these studies. This possible dependence has not been studied systematically yet, casting some doubt that high enough $`\alpha `$s can be obtained from local MRI calculations. Therefore, the purpose of this paper is to perform the previously missing survey on the resolution dependence of the $`\alpha `$–parameter.

## 2 The MHD model

The computational domain in our calculations is a rectangular box with dimensions $`L_i`$, $`i=x,y,z`$, at a radius $`R_0`$ from the centre of rotation. The distance to the centre of force is large in comparison to the box dimensions (i.e. $`R_0L_i`$), under which assumption new locally cartesian coordinates can be taken into use and the equations of motion can be linearised (e.g. Spitzer & Schwarzschild spischwa (1953)). This simplification is usually referred to as the shearing box approximation, in which we solve a set of non–ideal MHD–equations in cartesian coordinates (see Caunt & Korpi CauKo (2001)).

We apply small molecular viscosities everywhere and additionally artificial shock- and hyperviscosities in order to resolve shocks and (unphysical) small scale oscillations, respectively. The artificial viscosities also serve the purpose of stabilising the numerics.

We adopt periodic boundary conditions in the radial and azimuthal directions, and closed insulating stress free boundaries in the vertical direction. The radial boundary takes into account the basic shear flow. Numerical implementation of the model described above is presented in the paper by Caunt & Korpi (CauKo (2001)).

## 3 Physical setup

We adopt the same dimensionless quantities as Brandenburg et al. (bnstI (1995)), i.e. length is measured in units of the initial density scale height $`[x]=H_0`$, time in units of $`[t]=(GM/H_0^3)^{1/2}`$, and the density in units of $`[\rho ]=\rho _0`$, the initial density at the midplane of the disk. The unit of magnetic field will then be $`[B]=[u](\mu _0\rho _0)^{1/2}`$, where $`[u]=[x]/[t]`$. Dimensionless quantities are obtained by prescribing

$`H_0=GM=\rho _0=\mu _0=1.`$ (1)
Initially the disk is in hydrostatic equilibrium which yields a Gaussian density stratification

$`\mathrm{ln}\rho =\mathrm{ln}\rho _0{\displaystyle \frac{z^2}{H_0^2}}.`$ (2)
The initial magnetic field configuration is a sinusoidally distributed vertical field in the radial direction giving a zero net field. In terms of the vector potential this configuration can be represented as

$`𝐀={\displaystyle \frac{L_x}{2\pi }}B_0\mathrm{cos}\left({\displaystyle \frac{2\pi x}{L_x}}\right)\widehat{𝐲},`$ (3)
where $`B_0`$ is calculated from the plasma beta, $`\beta =2\mu _0p/B_0^2`$, which has an initial value of 100 in the midplane of the disk. Random velocity perturbations of the order $`10^3c_\mathrm{s}`$ were added in the velocity field to start up the instability.

## 4 Calculations

Two sets of calculations were made, differing in the box size. The numerical resolution was varied systematically, see Table 1 for complete details. In the R–set the used box size was the standard $`1\times 2\pi \times 4`$ in units of the initial density scale height $`H_0`$, as used by e.g. Hawley et al. (hgbI (1995)) and Brandenburg et al. (bnstI (1995)) to be able to compare the results with previous studies and thereby validate the code. In the T–set the smallest box size in which the MRI was still seen to be active and where the effects of the boundaries were not yet significant, namely $`1\times 1\times 2`$, was chosen in order to achieve the best possible spatial resolution. The lowest resolution runs were advanced up to $`150`$ orbits, whereas the largest calculation could only be continued until 13 orbits in a reasonable amount of time. The duration of the largest calculation determined the length of the time average for the energies and the $`\alpha `$–parameter. In the calculations we systematically increase the resolution keeping the box size and other parameters fixed, and calculate the resulting Shakura–Sunyaev $`\alpha `$–parameter in the following two ways. Firstly, we calculate $`\alpha `$ using the Maxwell and Reynolds stresses (see e.g. Brandenburg et al. bnstI (1995))

$$\alpha _{\mathrm{stress}}=\frac{<\rho u_xu_y>\mu _0^1<B_xB_y>}{\frac{3}{2}\mathrm{\Omega }_0c_{\mathrm{s0}}H_0<\rho _0>}.$$
(4)
Secondly, we use the rate of dissipation

$$\alpha _{\mathrm{diss}}=\frac{(\frac{d}{dt}<\rho e>)_{\mathrm{diss}}}{(\frac{3}{2}\mathrm{\Omega }_0)^2c_{\mathrm{s0}}H_0<\rho _0>}.$$
(5)
In Eqs. (4) and (5) the square brackets denote volume averages, and we use the initial values of density, sound speed and density scale height as the normalisation factor. As the values of $`\alpha `$ from both methods coincide rather well, in the following we give only results from the first method. It is worth noting that the values of $`\alpha `$ calculated in this way are smaller than the values of e.g. Hawley et al. (hgbI (1995), hgbII (1996)) by a factor of $`3/\sqrt{2}`$ due to different normalisation factors.

## 5 Results

The overall behaviour of the system is clearly visible from Fig. 1 where we plot the kinetic and magnetic energies for the run R1. The behaviour of the energies in the higher resolution simulations is very similar to the run R1, except that the energies are growing with resolution, see Fig. 2. After the initial exponential growth, the energies saturate into a self–sustained turbulent state. Although large fluctuations are seen, no persistent decay or growth is seen after about five orbits. The initially weak magnetic field is amplified considerably due to dynamo action which leads into a configuration where the field is strongly dominated by the azimuthal component, followed by significantly weaker radial and vertical components. The behaviour of the magnetic energy is very similar to the earlier studies (e.g. Brandenburg et al. bnstI (1995)). The kinetic energy, however, is slightly dominated by the radial component in our simulations, whereas in some earlier works the azimuthal component has also dominated the kinetic energy. Even though the magnetic energy is at all times larger than the kinetic energy, the system is dominated by thermal energy which is usually of the order of $`100`$ times larger than the magnetic energy. This causes the ratio of thermal to magnetic pressure to be such that the MRI is active at all times in the simulations.

Other characteristic numbers describing the system include the ratio of the Maxwell and Reynolds stresses, which are the main transport terms extracting energy from the Keplerian flow and transforming it into turbulent energy. In previous studies this ratio has been between 3 and 6. The value found in our simulations is close to 3, being in satisfactory agreement with the previous results. Although the results are not exactly identical to the earlier ones, the differences are not huge, and the basic characteristics can be well described by our model, indicating that it is valid.

The maximum and time averaged energies as functions of the mesh size, $`\mathrm{\Delta }_i=L_i/ni`$, for the T–set are shown in Fig. 2. The maximum and time averaged kinetic energies both seem to continue almost linear growth beyond the resolutions investigated here, whereas the magnetic energies seem to saturate at the highest resolutions. A very similar trend was also found in the R–set (not shown), which indicates that the small box calculations are a valid tool in the study of resolution dependencies.

In Fig. 3 the maximum and time averaged $`\alpha `$–parameters as functions of mesh size are shown for the T–set of runs. The actual numerical values of $`\alpha `$ are given in Table 1. As can be seen from this table for the R–set, doubling the resolution (from R1 to R3), the value of $`\alpha `$ increases by a factor of $`3`$, which is even more dramatic than in previous studies (e.g. Brandenburg et al. bnstII (1996)). In the T–set, the strong growth seen in the lowest resolutions seems to stop when resolution is increased further from the run T4. For the largest calculations, $`\alpha `$ is almost constant. The largest values of time averaged $`\alpha `$ we obtained were of the order of $`0.004`$ which are roughly two orders of magnitude too low to account for the aforementioned observational results of dwarf novae.

## 6 Conclusions

In this letter, we have numerically investigated the resolution dependence of the Shakura & Sunyaev $`\alpha `$–parameter from a local MHD model of a weakly magnetised accretion disk where the MRI is acting. We find that the numerical resolution affects the energies and the values of $`\alpha `$ significantly at lower resolutions. However, the strong growth of magnetic energy stops at the highest resolutions indicating that the Maxwell stress cannot extract more energy from the Keplerian shear flow when the resolution is increased which is also reflected in saturating trend seen in the values of $`\alpha `$. As the largest values of $`\alpha `$ obtained in this study were only of the order $`10^3`$, the obvious conclusion is that it is not possible to obtain high enough $`\alpha `$s due to the MRI, at least not from local restricted models as the one studied here. There are, however, recent global studies of the MRI (e.g. Hawley Hawley (2001)), which models exhibit large scale wave phenomena producing significantly higher values of $`\alpha `$ (of the order $`0.1`$).

Another hydromagnetic instability, namely the accretion ejection instability (AEI), investigated by Caunt & Tagger (Suti01 (2001)) has recently been identified as a source of angular momentum transport, producing similar physical characteristics (spiral waves and comparable values of $`\alpha `$) as the global MRI simulations, but which instability cannot operate without a fairly strong magnetic field. The AEI cannot generate this field by itself so it has to originate either from an external source or be generated by some intrinsic dynamo process, such as the one caused by the MRI. This suggests that the MRI is still a viable candidate to be responsible for the angular momentum transport (possibly indirectly via the AEI) in accretion disks and that it is the restricted geometry of the local models behind the too small values of $`\alpha `$.

###### Acknowledgements.

The calculations were carried out using the supercomputers hosted by *CSC–Scientific Computing Ltd.*, Espoo, Finland. The authors wish to thank Prof. Axel Brandenburg for his valuable comments.