text:
# PP-Waves and Holography

## 1 Introduction

Berenstein, Maldacena and Nastase have recently considered $`pp`$-wave backgrounds from the point of view of the AdS/CFT correspondence. Namely, the $`pp`$-wave is realized as a certain limit of $`AdS_5\times S^5`$, where one considers a large boost along one of the $`S^5`$ directions. The light cone string theory in this background contains eight massive bosons and superpartners; it is exactly solvable, with a spectrum

$$H=\underset{n=\mathrm{}}{\overset{\mathrm{}}{}}N_n\sqrt{\mu ^2+\frac{4n_{osc}^2}{(\alpha ^{}p_{})^2}}$$
(1)
BMN identified the oscillator modes of this string within the dual $`N=4`$ SYM.

In addition to providing another example of a holographic dual, the exciting new feature of  is a more or less direct connection between the boundary theory and the string theory in this background, including non-BPS massive string modes. Examining this duality can then provide a clue to the nature of holography in a more generic setting. Previous work on $`pp`$-waves include Refs. , and subsequent work includes .

Here we consider in more detail aspects of holography for the $`pp`$-wave. We would like to establish more clearly the holographic map. To do so, we will concentrate in this paper, on the supergravity modes (we are making an assumption that there is a decoupling here, $`\alpha ^{}\mu p_{}>>1`$). The map between normalizable supergravity modes and states, and non-normalizable modes and sources is well known in $`AdS/CFT`$. We explore this map in the present context. In a sense, we may expect that this is determined by the known $`AdS_5\times S^5`$ results, since the $`pp`$-wave geometry is obtained in a scaling limit. On the other hand, questions such as ”where does the SYM theory live” are somewhat confusing. The $`pp`$-wave background has an $`SO(4)\times SO(4)SO(8)`$ isometry; one might well wonder what this means from the SYM point of view.

In this paper we take the point of view that describing the holographic dual in terms of the original SYM theory amounts to making certain choices that are arbitrary from the bulk viewpoint. This seems to choose one of the two copies of $`R^4`$ in the geometry as the base space of the SYM theory, and retains the memory of the origin of the other copy from a compact space (the original $`S^5`$). Perhaps this is the most surprising aspect of our analysis- some aspects of the $`pp`$-wave background (namely non-normalizable modes in directions originating from the sphere) do not seem to be described by the original SYM theory.

Retaining features coming from the seemingly decoupled asymptotically $`AdS`$ region, we formulate the holographic relation between this background and $`SYM`$ theory. Up to some important differences we outline below, the correspondence is the familiar one, with the radial coordinate playing the role of the holographic one.

We discuss supergravity modes, normalizable and non-normalizable, in the next section. We find that the spectrum of $`p_{}`$ span the positive real axis, and there exist the two types of modes for all such values. We conclude by formulating the holographic calculation of correlation functions. We hope to return to this calculation in the near future.

There are several interesting questions not answered by the present work. The string theory in this background is simple, and one would hope to be able to calculate more general amplitudes directly on the worldsheet. However, presently the string theory involves a Green-Schwarz formulation of the worldsheet theory, which is more difficult to work with. It is also of interest to compare the gravity (or string) calculations to the corresponding SYM calculations. This would be a check of the holographic correspondence we suggest, and can perhaps serve to formulate a holographic dual that is more directly connected with the $`pp`$-wavebackground.

While this manuscript was in final stages of preparation, we became aware of the preprints . These papers discuss similar topics from a somewhat different viewpoint. In particular, we emphasize here that as long as one uses the original SYM as the boundary theory, the holographic coordinate which classifies gravity modes is the radial one. Indeed, we find that this classification simply descends from the corresponding classification in the original $`AdS`$ space.

## 2 Bulk Modes: Deformations and States

The metric of the $`pp`$-wave is obtained through a suitable scaling limit on $`AdS_5\times S^5`$ in global coordinates . In this coordinate system the initial background is dual to $`N=4`$ SYM theory on $`R\times S^3`$. The metric obtained in  is:

$$ds_{pp}^2=4dx^+dx^{}y_i^2\mu ^2(dx^+)^2+dy_i^2$$
(2)
where $`i=1,\mathrm{},8`$, while the $`RR`$ background is

$$F_{+1234}=F_{+5678}=\mu $$
(3)
This background is clearly $`SO(4)\times SO(4)`$ invariant; as such, let us rewrite the metric in a suggestive form, in spherical coordinates in each of the two $`R^4`$ factors.

$$ds_{pp}^2=4dx^+dx^{}+dr^2+r^2(d\mathrm{\Omega }_3^2\mu ^2(dx^+)^2)+d\stackrel{~}{r}^2+\stackrel{~}{r}^2(d\stackrel{~}{\mathrm{\Omega }}_3^2\mu ^2(dx^+)^2)$$
(4)
We note that at large $`r`$, we have an $`S^3\times R`$ coordinatized by $`\mathrm{\Omega }_3,x^+`$. Similarly, at large $`\stackrel{~}{r}`$, we also have an $`S^3\times R`$ coordinatized by $`\stackrel{~}{\mathrm{\Omega }}_3,x^+`$. In what follows, we will show that the holographic coordinate is indeed $`r`$. Equivalently, we could say that the holographic coordinate is $`\stackrel{~}{r}`$; thus there are apparently two distinct ”boundaries” in the $`pp`$-wave geometry. For the duality to SYM, we focus on one or the other.

Let us consider a scalar mode which is massless in ten dimensions111Such a mode is dual to an operator which is a descendant in the SYM theory, of dimension $`\mathrm{\Delta }=J+4`$.. In the coordinates given in (2), the Laplacian is clearly

$$\mathrm{\Delta }=_+_{}+\frac{1}{4}\mu ^2y^2_{}^2+\mathrm{\Delta }_8$$
(5)
Solutions are of the form

$$\varphi =e^{ip_+x^+}e^{ip_{}x^{}}\underset{j=1}{\overset{8}{}}e^{\alpha _jy_j^2/4}H_{n_j}\left(\sqrt{\frac{\alpha _j}{2}}y_j\right)$$
(6)
with $`p_+=_j\frac{\alpha _j}{p_{}}(n_j+1/2)`$, and $`\alpha _j=\pm \mu p_{}`$. For $`\alpha >0`$, the $`H_n`$’s are Hermite polynomials, and these solutions are clearly normalizable.

As is familiar from $`AdS/CFT`$, we should not be so quick to discard the non-normalizable solutions. Instead, we are faced with the task of finding a criterion for distinguishing allowed modes from forbidden ones222As this contradicts some statements in the literature, we demonstrate the existence of the non-normalizable modes in the appendix..

An analysis similar to the one leading to the Breitenlohner-Freedman bound suggests that we should take modes with $`p_{}`$ positive only. From the gauge theory side we have a variant of the familiar light-cone quantization; it is a familiar aspect of lightcone treatment that the spectrum of $`p_{}`$ is semi-infinite. We claim this should be the case both for (normalizable) states, and for (non-normalizable) operators, or sources.

The bulk treatment clarifies the need for positivity of $`p_{}`$. In the familiar $`AdS`$ story, there are two modes for each value of all quantum numbers, one normalizable, and one non-normalizable333There is a small window where both modes can be normalizable. This subtlety is well-understood, and will play no role in our discussion.. Those modes have different values of the Hamiltonian (scaling dimension). They are associated with each other since they carry the same quantum numbers; thus turning on the non-normalizable mode will inevitably excite the normalizable mode.

Now, for the normalizable modes the situation is clear- one should not allow a normalizable state with a negative value of the Hamiltonian; this would correspond to a runaway behavior of the vacuum. This is the origin of the Breitenlohner-Freedman bound in $`AdS`$ space . Excluding the normalizable state with a negative scaling dimension also eliminates the corresponding source with the same quantum numbers.

In the present case, the Hamiltonian is $`p_+`$, and one should not allow normalizable modes with negative eigenvalues. This excludes all normalizable modes with negative $`p_{}`$. The non-normalizable mode with the same quantum numbers is also required to be absent. The quantum numbers in question correspond to oscillator numbers in all eight transverse directions, and to the light-cone momentum $`p_{}`$.

To more fully appreciate the significance of (6), let us consider the coordinatization given in (4). The scalar Laplacian is

$$\mathrm{\Delta }=_+_{}+\left[\frac{1}{4}\mu ^2r^2_{}^2+\mathrm{\Delta }_{r,\mathrm{\Omega }_3}\right]+\left[\frac{1}{4}\mu ^2\stackrel{~}{r}^2_{}^2+\mathrm{\Delta }_{\stackrel{~}{r},\stackrel{~}{\mathrm{\Omega }}_3}\right]$$
(7)
Solutions can be written as

$$\varphi =e^{ip_+x^+}e^{ip_{}x^{}}f(r,\mathrm{\Omega }_3)\stackrel{~}{f}(\stackrel{~}{r},\stackrel{~}{\mathrm{\Omega }}_3)$$
(8)
Acting on such modes, the Laplacian reduces to

$$\mathrm{\Delta }=p_+p_{}+\left[\frac{1}{4}\mu ^2p_{}^2r^2+\mathrm{\Delta }_{r,\mathrm{\Omega }_3}\right]+\left[\frac{1}{4}\mu ^2p_{}^2\stackrel{~}{r}^2+\mathrm{\Delta }_{\stackrel{~}{r},\stackrel{~}{\mathrm{\Omega }}_3}\right]$$
(9)
Any given solution will satisfy

$`\mathrm{\Delta }_{\stackrel{~}{r},\stackrel{~}{\mathrm{\Omega }}_3}\stackrel{~}{f}{\displaystyle \frac{1}{4}}\mu ^2p_{}^2\stackrel{~}{r}^2\stackrel{~}{f}=\stackrel{~}{E}\stackrel{~}{f}`$ (10)
$`\mathrm{\Delta }_{r,\mathrm{\Omega }_3}f{\displaystyle \frac{1}{4}}\mu ^2p_{}^2r^2f=Ef`$ (11)
with

$$p_+=\frac{E+\stackrel{~}{E}}{p_{}}$$
(12)
This form is consistent with the $`n_{osc}=0`$ part of eq. (1).

Solutions are readily obtained as

$$f=e^{\alpha r^2/4}r^\beta Y_{\mathrm{},m_1,m_2}(\mathrm{\Omega }_3)$$
(13)
with a similar expression for $`\stackrel{~}{f}`$. If we want the solutions to be singularity-free in the interior, $`r0`$, then $`\beta =\mathrm{}`$. The differential equation then reduces to

$$E=\alpha (\mathrm{}+2)$$
(14)
For each $`\mathrm{}`$, there is a certain degeneracy, which is accounted for in the analysis in Cartesian coordinates (see the appendix for details).

So the analysis of the gravity modes suggests that it is sensible to formulate question in the SYM theory regarding modes with positive $`p_{}`$, and to answer those questions holographically. The gravity modes are divided in the familiar way: normalizable modes are states in the Hilbert space of the theory, and non-normalizable modes are sources (deformations) of the theory. We proceed next to outline the procedure to calculate the correlation functions of arbitrary modes of positive $`p_{}`$.

The picture is less clear regarding the other $`R^4`$ contained in the $`pp`$-wave geometry. A priori, in considering propagation on the $`pp`$-wave background, one should consider both normalizable and non-normalizable modes in that $`R^4`$ as well. It is not clear to us, though, that the SYM formulation knows about both types of modes.

To clarify this statement, let us derive the modes in this background as limits of modes in the original $`AdS_5\times S^5`$ background. Let us consider the scalar field $`\varphi `$ on $`AdS_5`$ with metric

$$ds_{AdS_5}^2=R^2(\mathrm{cosh}^2\rho dt^2+d\rho ^2+\mathrm{sinh}^2\rho d\mathrm{\Omega }_3^2).$$
(15)
The Laplacian is

$$\mathrm{\Delta }=\frac{1}{R^2}\left(\frac{1}{\mathrm{cosh}^2\rho }_t^2\frac{\mathrm{}(\mathrm{}+2)}{\mathrm{sinh}^2\rho }+\frac{1}{\mathrm{cosh}\rho \mathrm{sinh}^3\rho }_\rho (\mathrm{cosh}\rho \mathrm{sinh}^3\rho _\rho )\right).$$
(16)
The simplest solution of $`(\mathrm{\Delta }m^2)\varphi =0`$ is given by (see review , eq. (2.34))444Note that $`\mathrm{sin}\theta =\mathrm{tanh}\rho ,\mathrm{cos}\theta =1/\mathrm{cosh}\rho `$ . This solution corresponds to the case $`n=0`$ in eq.(2.41) of , i.e., $`{}_{2}{}^{}F_{1}^{}(a,b,c;\mathrm{tanh}\rho )=1`$. In the general case $`n0`$, we have a factor $`{}_{2}{}^{}F_{1}^{}(a,b,c;\mathrm{tanh}\rho )`$. However, this factor can be neglected in the limit $`R\mathrm{}`$ since $`{}_{2}{}^{}F_{1}^{}(a,b,c;\mathrm{tanh}(r/R))1`$.

$$\varphi =e^{i\omega t}(\mathrm{cosh}\rho )^\lambda (\mathrm{tanh}\rho )^{\mathrm{}}Y_{\mathrm{},m_1,m_2}(\mathrm{\Omega }_3),(\omega R)^2=(\lambda +\mathrm{})^2.$$
(17)
In the $`AdS_5`$ case, $`\lambda `$ is given by

$$\lambda =\mathrm{\Delta }_\pm =2\pm \sqrt{4+m^2R^2}.$$
(18)
In the limit $`\mathrm{\Delta }\mathrm{\Delta }_+R^2\sqrt{N}>>1`$, the normalizable mode $`\mathrm{\Delta }_+`$ corresponds to $`\lambda =\mathrm{\Delta }`$ and the non-normalizable mode $`\mathrm{\Delta }_{}=4\mathrm{\Delta }_+\mathrm{\Delta }`$ corresponds to $`\lambda =\mathrm{\Delta }`$.

In the scaling limit

$$\rho =\frac{r}{R},\lambda =\pm \mathrm{\Delta }=\pm \frac{1}{2}(p_++p_{}R^2),R\mathrm{},$$
(19)
with $`r,p_+=\mathrm{\Delta }J,p_{}=(\mathrm{\Delta }+J)/R^2>0`$ fixed, this $`AdS`$ solution reduces to

$`\varphi `$ $``$ $`e^{i\omega t}\left(1+{\displaystyle \frac{r^2}{2R^2}}\right)^{\frac{1}{2}p_{}R^2}\left({\displaystyle \frac{r}{R}}\right)^{\mathrm{}}Y_{\mathrm{},m_1,m_2}(\mathrm{\Omega }_3)`$ (20)
$``$ $`e^{i\omega t}e^{\frac{1}{4}p_{}r^2}r^{\mathrm{}}Y_{\mathrm{},m_1,m_2}(\mathrm{\Omega }_3).`$
One can introduce the parameter $`\mu `$ by the redefinition $`x^\pm \mu ^\pm x^\pm `$ as usual. Then $`p_\pm `$ goes to $`\mu ^{}p_\pm `$. Therefore, these solutions agree with those we obtained in the $`pp`$-wave background. Moreover, the normalizability in the $`pp`$-wave limit, i.e., the sign of the Gaussian factor descends from the choice of $`\mathrm{\Delta }_+`$ or $`\mathrm{\Delta }_{}`$.

Therefore we see that by scaling of the modes on $`AdS_5\times S^5`$ we obtain both types of modes in the $`AdS`$ directions. However, we started with normalizable modes only in the sphere directions. The non-normalizable modes in directions originating form the sphere are then not expected to be included in the original SYM description.

The situation is analogous to the original derivation of $`AdS/CFT`$ from the near horizon geometry of the 3-brane. One obtains $`AdS_5\times S^5`$ in Poincaré coordinates. In the decoupling limit a lot of the original structure of the asymptotically flat space is eliminated, of course. In our case the analogous statement is that most of the structure of the SYM theory will be irrelevant in the limit taken. This is apparent, for example, in the statement that most of the virtual processes appearing in SYM diagrams will have vanishing contributions to the amplitudes we are interested in.

However, in the $`AdS`$ case, there were also additional structures in the theory which are only visible in global coordinates. This is visible only when one truly eliminates even the possibility of appending an asymptotically flat region to the geometry.

Therefore, it seems to us that insisting on describing the system by the original holographic dual retains some features of the original asymptotic region. It may well be the case that this eliminates the possibility of discussing non-normalizable modes in the other directions. Such discussion naively requires a higher dimesnional holographic dual. Since a putative dual is absent, we proceed by assuming that the modes are normalizable in the directions originating from the sphere.

## 3 Conclusions-Correlation Functions

The next step in discussing the radial holography is a computation of the correlation functions. We sketch here the procedure for such a calculation.

The holographic calculation of the partition function with arbitrary sources is performed by fixing a surface near the boundary, and solving the Dirichlet problem, finding the fields with fixed sources on the surface. The partition function is then, in the supergravity approximation, the value of the action on shell.

A primary role in this calculation is played by the bulk to boundary propagator. The solution to the Dirichlet problem is the propagator convoluted with the given boundary source. In $`AdS_5\times S^5`$ the bulk to boundary operator $`K_{m^2}(x,r;y)`$ is defined for each mode of mass $`m`$, where $`x,y`$ are boundary points, and $`r`$ is the holographic coordinate (so that $`x,r`$ specifies a bulk position). It is required to satisfy the Laplace equation:

$$(^2m^2)K_{m^2}=0$$
(21)
with the boundary conditions

$$K(x,r;y)r^\mathrm{\Delta }\delta (xy)\mathrm{as}r\mathrm{approaches}\mathrm{the}\mathrm{boundary}$$
(22)
where $`\mathrm{\Delta }`$ is determined by the behavior of the non-normalizable mode at the boundary- it depends only on $`m^2`$.

One way of solving the equation is as follows. Consider a complete set of functions on the boundary, $`\psi _n(x)`$, and modes of the bulk Laplacian that satisfy

$$\mathrm{\Phi }_n(r,x)r^\mathrm{\Delta }\psi _n(x)\mathrm{as}r\mathrm{approaches}\mathrm{the}\mathrm{boundary}$$
(23)
We note that the constant $`\mathrm{\Delta }`$ is required to be identical for all modes, independent of $`n`$. It is uniquely specified by the mass $`m`$. In this case it is easy to check that

$$K(x,r;y)=\underset{n}{}\mathrm{\Phi }_n(r,x)\psi _n(y)$$
(24)
This is the bulk to boundary propagator. Since the set of boundary sources $`\psi _n`$ is complete, one is able to turn on an arbitrary boundary source for any operator of a definite scaling dimension (which is related to $`m`$). The natural sources to consider then have definite values of the $`SO(6)`$ Casimir ($`m^2`$).

Similar procedure can be obtained in our case. A complete set of functions on the boundary, which is of the form $`R\times S^3`$, can be chosen to carry definite $`p_+`$ and $`SO(4)`$ quantum numbers. We have then $`\psi _n(x_+,\mathrm{\Omega }_3)=e^{ip_+X_+}Y_I(\mathrm{\Omega }_3)`$. Here the angles on the sphere are denoted by $`\mathrm{\Omega }_3`$, and $`Y_I(\mathrm{\Omega }_3)`$ are scalar spherical harmonics.

The source function on the boundary determines the behavior of the corresponding non-normalizable modes. The internal quantum numbers in our case are $`p_{}`$, and the angular and radial quantum numbers in the additional copy of $`R^4`$. The behavior of the non-normalizable mode only depends on $`p_{}`$, so one has to work in a definite $`p_{}`$ basis. The quantum number $`p_{}`$ plays a role similar to the Casimir $`m^2`$ in the $`AdS_5\times S^5`$ case.

A slight complication here is the absence of coordinate system in which the consequences of conformal invariance are transparent. In $`AdS`$ one usually works in Poincare coordinates, where a surface near the boundary corresponds to an ultraviolet cutoff which manifests cleanly the consequences of conformal invariance. Here we are restricted to work in global coordinates, where the $`pp`$-wavelimit is done, so we are led to a more complicated procedure. We hope to report on progress in this direction in the near future.

Acknowledgments: We thank David Berenstein and Gordon Semenoff for useful conversations. RGL and KO thank the University of British Columbia for hospitality. Work supported in part by US DOE grant DE-FG02-91ER40677.

## Appendix: Four Dimensional Harmonic Oscillator

We work out a simple quantum mechanics problem, considering the eigenmodes of a four dimensional harmonic oscillator. The questions we are interested in are naturally different from the conventional ones, for example the existence of non-normalizable modes and their behavior at radial infinity.

In Cartezian coordinates the problem is readily seperable to four identical harmonic oscillators, satisfying

$$f^{^{\prime \prime }}\mu ^2p_{}^{}{}_{}{}^{2}x^2f(x)=Ef(x)$$
(25)
We can then write $`f=e^{\frac{1}{2}\alpha x^2}g(x)`$. One gets:

$$g^{^{\prime \prime }}2\alpha xg^{^{}}+(E\alpha )g=0$$
(26)
where we choose $`\alpha =\pm \mu p_{}`$. We note that we reserve the choice of $`\alpha `$ being positive or negative, corresponding to normalizable or non-normalizable modes.

The equation for $`g(x)`$ is almost identical to the familiar Hermite equation. We need to rescale the coordinate $`x=ay`$ to get to the form:

$$g^{^{\prime \prime }}2yg^{^{}}+2ng=0$$
(27)
For this to be correct one has to choose $`a^2=\alpha `$, so $`\alpha `$ has to be positive. In that case one obtains the equation for the Hermite polynomials, provided:

$$E_n=\alpha (n+\frac{1}{2})$$
(28)
This yields normalizable solution for any sign of $`p_{}`$. One simply has to choose $`\alpha =\mu |p_{}|`$.

A different solution is obtained by choosing $`\alpha =\mu |p_{}|`$, which yields an exponentially growing mode. One can still do the above change of variables for $`a^2=\alpha `$. One gets a slightly different equation for $`g`$

$$g^{^{\prime \prime }}2yg^{^{}}+(\frac{E}{\alpha }1)g=0$$
(29)
The solutions of this equation are polynomials of the form $`P_n=i^nH_n(iy)`$. These are real polynomials in y (the imaginary normalization factors for $`n`$ odd do not matter for a linear equation). They modes we obtain are simply polynomials multiplied by an exponentially growing Gaussian. In particular they do not blow up at the origin.

The spectrum of $`E`$ is the same for those non-normalizable modes. Note however that $`\alpha `$ is negative here, so the spectrum is negative definite.


format: text

text:
# hep-ph/0204207NIKHEF/2002-001 Exploring the QED vacuum with laser interferometers

## ACKNOWLEDGMENTS

D.B. would like to thank Jens O. Andersen for a very helpful discussion. The research of D.B. has been made possible by financial support from the Royal Netherlands Academy of Arts and Sciences.


text:
# Volatility Fingerprints of Large Shocks: Endogeneous Versus Exogeneous 11footnote 1We acknowledge helpful discussions and exchanges with E. Bacry and V. Pisarenko. This work was partially supported by the James S. Mc Donnell Foundation 21st century scientist award/studying complex system.

## 1 Introduction

A market crash occurring simultaneously on most of the stock markets of the world as witnessed in Oct. 1987 would amount to the quasi-instantaneous evaporation of trillions of dollars. Market crashes are the extreme end members of a hierarchy of market shocks, which shake stock markets repeatedly. Among recent events still fresh in memories are the Hong-Kong crash and the turmoil on US markets on oct. 1997, the Russian default in Aug. 1998 and the ensuing market turbulence in western stock markets and the collapse of the “new economy” bubble with the crash of the Nasdaq index in March 2000.

In each case, a lot of work has been carried out to unravel the origin(s) of the crash, so as to understand its causes and develop possible remedies. However, no clear cause can usually be singled out. A case in point is the Oct. 1987 crash, for which many explanations have been proposed but none has been widely accepted unambiguously. These proposed causes include computer trading, derivative securities, illiquidity, trade and budget deficits, over-inflated prices generated by speculative bubble during the earlier period, the auction system itself, the presence or absence of limits on price movements, regulated margin requirements, off-market and off-hours trading, the presence or absence of floor brokers, the extent of trading in the cash market versus the forward market, the identity of traders (i.e. institutions such as banks or specialized trading firms), the significance of transaction taxes, etc. More rigorous and systematic analyses on univariate associations and multiple regressions of these various factors conclude that it is not at all clear what caused the crash \[Barro et al. (1989)\]. The most precise statement, albeit somewhat self-referencial, is that the most statistically significant explanatory variable in the October crash can be ascribed to the normal response of each country’s stock market to a worldwide market motion \[Barro et al. (1989)\].

In view of the stalemate reached by the approaches attempting to find a proximal cause of a market shock, several researchers have looked for more fundamental origins and have proposed that a crash may be the climax of an endogeneous instability associated with the (rational or irrational) imitative behavior of agents (see for instance \[Orléan (1989), Orléan (1995), Johansen and Sornette (1999), Shiller (2000)\]). Are there qualifying signatures of such a mechanism? According to \[Johansen and Sornette (1999), Sornette and Johansen (2001)\] for which a crash is a stochastic event associated with the end of a bubble, the detection of such bubble would provide a fingerprint. A large literature has emerged on the empirical detectability of bubbles in financial data and in particular on rational expectation bubbles (see \[Camerer (1989), Adam and Szafarz (1992)\] for a survey). Unfortunately, the present evidence for speculative bubbles is fuzzy and unresolved at best, according to the standard economic and econometric literature. Other than the still controversial \[Feigenbaum (2001)\] suggestion that super-exponential price acceleration \[Sornette and Andersen (2002)\] and log-periodicity may qualify a speculative bubble \[Johansen and Sornette (1999), Sornette and Johansen (2001)\], there are no unambiguous signatures that would allow one to qualify a market shock or a crash as specifically endogeneous.

On the other end, standard economic theory holds that the complex trajectory of stock market prices is the faithful reflection of the continuous flow of news that are interpreted and digested by an army of analysts and traders \[Cutler et al. (1989)\]. Accordingly, large shocks should result from really bad surprises. It is a fact that exogeneous shocks exist, as epitomized by the recent events of Sept. 11, 2001 and the coup against Gorbachev on Aug., 19, 1991, and there is no doubt about the existence of utterly exogeneous bad news that move stock market prices and create strong bursts of volatility. However, some could argue that precursory fingerprints of these events were known to some elites, suggesting the possibility the action of these informed agents may have been reflected in part in stock markets prices. Even more difficult is the classification (endogeneous versus exogeneous) of the hierarchy of volatility bursts that continuously shake stock markets. While it is a common practice to associate the large market moves and strong bursts of volatility with external economic, political or natural events \[White (1996)\], there is not convincing evidence supporting it.

Here, we provide a clear and novel signature allowing us to distinguish between an endogeneous and an exogeneous origin to a volatility shock. Tests on the Oct. 1987 crash, on a hierarchy of volatility shocks and on a few of the obvious exogeneous shocks validate the concept. Our theoretical framework combines a rather novel but really powerful and parsimonious so-called multifractal random walk with conditional probability calculations.

## 2 Long-range memory and distinction between endogeneous and exogeneous shocks

While returns do not exhibit discernable correlations beyond a time scale of a few minutes in liquid arbitraged markets, the historical volatility (measured as the standard deviation of price returns or more generally as a positive power of the absolute value of centered price returns) exhibits a long-range dependence characterized by a power law decaying two-point correlation function \[Ding et al. (1993), Ding and Granger (1996), Arneodo et al. (1998)\] approximately following a $`(t/T)^\nu `$ decay rate with an exponent $`\nu 0.2`$. A variety of models have been proposed to account for these long-range correlations \[Granger and Ding (1996), Baillie (1996), Müller et al. (1997), Muzy et al. (2000), Muzy et al. (2001), Müller et al. (1997)\].

In addition, not only are returns clustered in bursts of volatility exhibiting long-range dependence, but they also exhibit the property of multifractal scale invariance (or multifractality), according to which moments $`m_q|r_\tau |^q`$ of the returns at time scale $`\tau `$ are found to scale as $`m_q\tau ^{\zeta _q}`$, with the exponent $`\zeta _q`$ being a non-linear function of the moment order $`q`$ \[Mandelbrot (1997), Muzy et al. (2000)\].

To make quantitative predictions, we use a flexible and parsimonious model, the so-called multifractal random walk (MRW) (see Appendix A and \[Muzy et al. (2000), Bacry et al. (2001)\]), which unifies these two empirical observations by deriving naturally the multifractal scale invariance from the volatility long range dependence.

The long-range nature of the volatility correlation function can be seen as the direct consequence of a slow power law decay of the response function $`K_\mathrm{\Delta }(t)`$ of the market volatility measured a time $`t`$ after the occurrence of an external perturbation of the volatility at scale $`\mathrm{\Delta }t`$. We find that the distinct difference between exogeneous and endogeneous shocks is found in the way the volatility relaxes to its unconditional average value.

The prediction of the MRW model (see Appendix B for the technical derivation) is that the excess volatility $`\mathrm{E}_{\mathrm{exo}}[\sigma ^2(t)|\omega _0]\overline{\sigma ^2(t)}`$, at scale $`\mathrm{\Delta }t`$, due to an external shock of amplitude $`\omega _0`$ relaxes to zero according to the universal response

$$\mathrm{E}_{\mathrm{exo}}[\sigma ^2(t)|\omega _0]\overline{\sigma ^2(t)}e^{2K_0t^{1/2}}1\frac{2K_0}{\sqrt{t}},$$
(1)
for not too small times, where $`\overline{\sigma ^2(t)}=\sigma ^2\mathrm{\Delta }t`$ is the unconditional average volatility. This prediction is nothing but the response function $`K_{\mathrm{\Delta }t}(t)`$ of the MRW model to a single piece of very bad news that is sufficient by itself to move the market significantly. This prediction is well-verified by the empirical data shown in figure 1.

On the other hand, an “endogeneous” shock is the result of the cumulative effect of many small bad news, each one looking relatively benign taken alone, but when taken all together collectively along the full path of news can add up coherently due to the long-range memory of the volatility dynamics to create a large “endogeneous” shock. This term “endogeneous” is thus not exactly adequate since prices and volatilities are always moved by external news. The difference is that an endogeneous shock in the present sense is the sum of the contribution of many “small” news adding up according to a specific most probable trajectory. It is this set of small bad news prior to the large shock that not only led to it but also continues to influence the dynamics of the volatility time series and creates an anomalously slow relaxation. Appendix C gives the derivation of the specific relaxation (21) associated with endogeneous shocks.

Figure 2 reports empirical estimates of the conditional volatility relaxation after local maxima of the S&P100 intradaily series made of 5 minute close prices during the period from 04/08/1997 to 12/24/2001 (figure 1(a)). The original intraday squared returns have been preprocessed in order to remove the U-shaped volatility modulation associated with the intraday variations of market activity. Figure 2(b) shows that the MRW model provides a very good fit of the empirical volatility covariance in a range of time scales from $`5`$ minutes to one month. Fig. 2(c) plots in a double logarithmic representation, for the time scale $`\mathrm{\Delta }t=40`$ minutes, the estimated conditional volatility responses for $`s=1,0,1`$, where the endogeneous shocks are parameterized by $`e^{2s}\overline{\sigma ^2(t)}`$. A value $`s>0`$ (resp. $`s<0`$) corresponds to a positive bump (resp. negative dip) of the volatility above (resp. below) the average level $`\overline{\sigma ^2(t)}`$. The straight lines are the predictions (Eqs. (24,22)) of the MRW model and qualify power law responses whose exponents $`\alpha (s)`$ are continuous function of the shock amplitude $`s`$. Figure 1(d) plots the conditional response exponent $`\alpha (s)`$ as a function of $`s`$ for the two time scales $`\mathrm{\Delta }t=40`$ minutes and $`\mathrm{\Delta }t=`$ 1 day (inset). For $`\mathrm{\Delta }t=40`$ minutes, we observe that $`\alpha `$ varies between $`0.2`$ for the largest positive shocks to $`+0.2`$ for the largest negative shocks, in excellent agreement with MRW estimates (dashed line) and, for $`\alpha 0`$, with Eq. (22) obtained without any adjustable parameters. 222The deviation of $`\alpha (s)`$ from expression (22) for negative $`s`$, originates from the error in the volatility estimation using a sum of squared returns. The smaller the sum of squared returns, the larger the error is. As $`\mathrm{\Delta }t`$ increases, this error becomes negligible The error bars represent the 95 % confidence intervals estimated using 500 trials of synthetic MRW with the same parameters as observed for the S&P 100 series. By comparing $`\alpha (s)`$ for different $`\mathrm{\Delta }t`$ (inset), we can see the the MRW model is thus able to recover not only the $`s`$-dependence of the exponent $`\alpha (s)`$ of the conditional response function to endogeneous shocks but also its time scale $`\mathrm{\Delta }t`$ variations: this exponent increases as one goes from fine to coarse scales. Similar results are obtained for other intradaily time series (Nasdaq, FX-rates, etc.). We also obtain the same results for 17 years of daily return times series of various indices (French, German, canada, Japan, etc.).

In summary, the most remarkable result is the qualitatively different functional dependence of the response (1) to an exogeneous compared to the response (24,22) to an endogeneous shock. The former gives a decay of the burst of volatility $`1/t^{1/2}`$ compared to $`1/t^{\alpha (s)}`$ for endogeneous shocks with amplitude $`e^{2s}\overline{\sigma ^2(t)}`$, with an exponent $`\alpha (s)`$ being a linear function of $`s`$.

## 3 Discussion

What is the source of endogeneous shocks characterized by the response function (21)? Appendix D and equation (29) predict that the expected path of the continuous information flow prior to the endogeneous shock grows proportionally to the response function $`K(t_ct)`$ measured in backward time to the shock occuring at $`t_c`$. In other words, conditioned on the observation of a large endogeneous shock, there is specific set of trajectories of the news flow that led to it. This specific flow has an expectation given by (29). This result allows us to understand the distinctive features of an endogeneous shock compared to an external shock. The later is a single piece of very bad news that is sufficient by itself to move the market significantly according to (1). In contrast, an “endogeneous” shock is the result of the cumulative effect of many small bad news, each one looking relatively benign taken alone, but when taken all together collectively along the full path of news can add up coherently due to the long-range memory of the log-volatility dynamics to create a large “endogeneous” shock. This term “endogeneous” is thus not exactly adequate since prices and volatilities are always moved by external news. The difference is that an endogeneous shock in the present sense is the sum of the contribution of many “small” news adding up according to a specific most probable trajectory. It is this set of small bad news prior to the large shock that not only led to it but also continues to influence the dynamics of the volatility time series and creates the anomalously slow relaxation (21).

In this respect, this result allows us to rationalize and unify the many explanations proposed to account for the Oct. 1987 crash: according to the present theory, each of the explanations is insufficient to explain the crash; however, our theory suggests that it is the cumulative effect of many such effects that led to the crash. In a sense, the different commentators and analysts were all right in attributing the origin of the Oct. 1987 crash to many different factors but they missed the main point that the crash was the extreme response of the system to the accumulation of many tiny bad news contributions. To test this idea, we note that the decay of the volatility response after the Oct. 1987 crash has been described by a power law $`1/t^{0.3}`$ \[Lillo and Mantegna (2001)\], which is in line with the prediction of our MRW theory with equation (22) for such a large shock (see also figure 2 panel d). This value of the exponent is still significantly smaller than $`0.5`$. Figure 1 demonstrates further the difference between the relaxation of the volatility after this event shown with circle and those following the exogenous coup against Gorbachev and the September 11 attack. There is clearly a strong constrast which qualifies the Oct. 1987 crash as endogeneous, in the sense of our theory of “conditional response.” This provides an independent confirmation of the concept advanced before in \[Johansen and Sornette (1999), Sornette and Johansen (2001)\].

It is also interesting to compare the prediction (21) with those obtained with a linear autoregressive model of the type (5), in which $`\omega (t)`$ is replaced by $`\sigma (t)`$. FIGARCH models fall in this general class. It is easy to show in this case that this linear (in volatility) model predicts the same exponent for the response of the volatility to endogeneous shocks, independently of their magnitude. This prediction is in stark constrast with the prediction (21) of the log-volatility MRW model. The later model is thus strongly validated by our empirical tests.

## Appendix A: The Multifractal Randow Walk (MRW) model

The multifractal random walk model is the continuous time limit of a stochastic volatility model where log-volatility333The log-volatilty is the natural quantity used in canonical stochatic volatility models (see \[Kim et al. (1998), and references therein\]). correlations decay logarithmically. It possesses a nice “stability” property related to its scale invariance property: For each time scale $`\mathrm{\Delta }tT`$, the returns at scale $`\mathrm{\Delta }t`$, $`r_{\mathrm{\Delta }t}(t)\mathrm{ln}[p(t)/p(t\mathrm{\Delta }t)]`$, can be described as a stochastic volatility model:

$$r_{\mathrm{\Delta }t}(t)=ϵ(t)\sigma _{\mathrm{\Delta }t}(t)=ϵ(t)e^{\omega _{\mathrm{\Delta }t}(t)},$$
(2)
where $`ϵ(t)`$ is a standardized Gaussian white noise independent of $`\omega _{\mathrm{\Delta }t}(t)`$ and $`\omega _{\mathrm{\Delta }t}(t)`$ is a nearly Gaussian process with mean and covariance:

$`\mu _{\mathrm{\Delta }t}`$ $`=`$ $`{\displaystyle \frac{1}{2}}\mathrm{ln}(\sigma ^2\mathrm{\Delta }t)C_{\mathrm{\Delta }t}(0)`$ (3)
$`C_{\mathrm{\Delta }t}(\tau )`$ $`=`$ $`\mathrm{Cov}[\omega _{\mathrm{\Delta }t}(t),\omega _{\mathrm{\Delta }t}(t+\tau )]=\lambda ^2\mathrm{ln}\left({\displaystyle \frac{T}{|\tau |+e^{3/2}\mathrm{\Delta }t}}\right).`$ (4)
$`\sigma ^2\mathrm{\Delta }t`$ is the return variance at scale $`\mathrm{\Delta }t`$ and $`T`$ represents an “integral” (correlation) time scale. Such logarithmic decay of log-volatility covariance at different time scales has been demonstrated empirically in \[Arneodo et al. (1998), Muzy et al. (2000)\]. Typical values for $`T`$ and $`\lambda ^2`$ are respectively $`1`$ year and $`0.02`$. According to the MRW model, the volatility correlation exponent $`\nu `$ is related to $`\lambda ^2`$ by $`\nu =4\lambda ^2`$.

The MRW model can be expressed in a more familiar form, in which the log-volatility $`\omega _{\mathrm{\Delta }t}(t)`$ obeys an auto-regressive equation whose solution reads

$$\omega _{\mathrm{\Delta }t}(t)=\mu _{\mathrm{\Delta }t}+_{\mathrm{}}^t𝑑\tau \eta (\tau )K_{\mathrm{\Delta }t}(t\tau ),$$
(5)
where $`\eta (t)`$ denotes a standardized Gaussian white noise and the memory kernel $`K_{\mathrm{\Delta }t}()`$ is a causal function, ensuring that the system is not anticipative. The process $`\eta (t)`$ can be seen as the information flow. Thus $`\omega (t)`$ represents the response of the market to incoming information up to the date $`t`$. At time $`t`$, the distribution of $`\omega _{\mathrm{\Delta }t}(t)`$ is Gaussian with mean $`\mu _{\mathrm{\Delta }t}`$ and variance $`V_{\mathrm{\Delta }t}=_0^{\mathrm{}}𝑑\tau K_{\mathrm{\Delta }t}^2(\tau )=\lambda ^2\mathrm{ln}\left(\frac{Te^{3/2}}{\mathrm{\Delta }t}\right)`$. Its covariance, which entirely specifies the random process, is given by

$$C_{\mathrm{\Delta }t}(\tau )=_0^{\mathrm{}}𝑑tK_{\mathrm{\Delta }t}(t)K_{\mathrm{\Delta }t}(t+|\tau |).$$
(6)
Performing a Fourier tranform, we obtain $`\widehat{K}_{\mathrm{\Delta }t}(f)^2=\widehat{C}_{\mathrm{\Delta }t}(f)=2\lambda ^2f^1\left[_0^{Tf}\frac{\mathrm{sin}(t)}{t}𝑑t+O\left(f\mathrm{\Delta }t\mathrm{ln}(f\mathrm{\Delta }t)\right)\right]`$, which shows that for $`\tau `$ small enough

$$K_{\mathrm{\Delta }t}(\tau )K_0\sqrt{\frac{\lambda ^2T}{\tau }}\text{for}\mathrm{\Delta }t<<\tau <<T.$$
(7)
This slow power law decay (7) of the memory kernel in (5) ensures the long-range dependence and multifractality of the stochastic volatility process (2). Note that equation (5) for the log-volatility $`\omega _{\mathrm{\Delta }t}(t)`$ takes a form similar to but simpler than the ARFIMA models usually defined on the (linear) volatility $`\sigma `$ \[Baillie (1996)\].

## Appendix B: Linear response to an external shock

Let us assume that new major piece of information $`\eta (t)=\omega _0\delta (t)`$ impinges on the market at some time (taken without loss of generality to be $`t=0`$, since the system is stationary). $`\omega _0`$ is the amplitude of the external shock. Then, using the formalism of Appendix A, the response of the log-volatility $`\omega (t)`$, $`t>0`$ to this shock is

$`\omega (t)`$ $`=`$ $`\mu +{\displaystyle _{\mathrm{}}^t}𝑑\tau [\omega _0\delta (\tau )+\eta (\tau )]K(t\tau )`$ (8)
$`=`$ $`\mu +\omega _0K(t)+{\displaystyle _{\mathrm{}}^t}𝑑\tau \eta (\tau )K(t\tau ).`$ (9)
where, for notation convenience, we have omitted the reference to the scale $`\mathrm{\Delta }t`$. The expected volatility conditional on this incoming major information is thus

$`\mathrm{E}_{\mathrm{exo}}[\sigma ^2(t)|\omega _0]`$ $`=`$ $`\mathrm{E}_{\mathrm{exo}}\left[e^{2w(t)}|\omega _0\right]=e^{2\omega _0K(t)}\mathrm{E}\left[e^{2_{\mathrm{}}^t𝑑\tau \eta (\tau )K(t\tau )}\right]=\overline{\sigma ^2(t)}e^{2\omega _0K(t)}`$ (10)
$``$ $`\overline{\sigma ^2(t)}e^{2K_0\sqrt{\frac{\lambda ^2T}{t}}}\text{for}\mathrm{\Delta }t<<t<<T.`$ (11)
For time $`t`$ large enough, the volatility relaxes to its unconditional average value $`\overline{\sigma ^2(t)}=\sigma ^2\mathrm{\Delta }t`$, so that the excess volatility $`\mathrm{E}_{\mathrm{exo}}[\sigma ^2(t)|\omega _0]\overline{\sigma ^2(t)}`$ due to the external shock decays to zero as

$$\mathrm{E}_{\mathrm{exo}}[\sigma ^2(t)|\omega _0]\overline{\sigma ^2(t)}\frac{1}{\sqrt{t}}.$$
(12)
This universal response of the volatility to an external shock (i.e., independent of the amplitude $`\omega _0`$ of the shock) is governed by the time-dependence (7) of the memory kernel $`K(t)`$. Note also that the exponent $`1/2`$ of this power law decay does not depend on the specific functional form choosen for the volatility. Indeed, we could have choosen to define the volatily by the expectation of any power of the absolute returns, the exponent $`1/2`$ of the power law would have remain the same.

## Appendix C: “Conditional response” to an endogeneous shock

Let us consider the natural evolution of the system, without any large external shock, which nevertheless exhibits a large volatility burst $`\omega (t=0)=\omega _0`$ at $`t=0`$. From the definition (2) with (5) and (6), it is clear that a large “endogeneous” shock requires a special set of realization of the “small news” $`\{\eta (t)\}`$. To quantifies the response in such case, we can evaluate $`\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]=\mathrm{E}_{\mathrm{endo}}[e^{2\omega (t)}|\omega _0]`$. Since $`\omega (t)`$ is a Gaussian process, the new process $`\omega (t)`$ conditional on $`\omega _0`$ remains Gaussian, so that

$`\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]`$ $`=`$ $`\mathrm{E}_{\mathrm{endo}}[e^{2\omega (t)}|\omega _0]`$ (13)
$`=`$ $`\mathrm{exp}\left(2\mathrm{E}[w(t)|\omega _0]+2\mathrm{V}\mathrm{a}\mathrm{r}[\omega (t)|\omega _0]\right).`$ (14)
Due to the still Gaussian nature of the condition log-volatility $`\omega (t)`$, we easily obtain using (3) and (4),

$`\mathrm{E}_{\mathrm{endo}}[\omega (t)|\omega _0]`$ $`=`$ $`\mathrm{E}[\omega (t)]+{\displaystyle \frac{\mathrm{Cov}[\omega (t),\omega _0]}{\mathrm{Var}[\omega _0]}}\left(\omega _0\mathrm{E}[\omega _0]\right),`$ (15)
$`=`$ $`(\omega _0\mu ){\displaystyle \frac{C(t)}{C(0)}}+\mu ,`$ (16)
and

$`\mathrm{Var}_{\mathrm{endo}}[\omega (t)|\omega _0]`$ $`=`$ $`\mathrm{Var}[\omega (t)]{\displaystyle \frac{\mathrm{Cov}[\omega (t),\omega _0]^2}{\mathrm{Var}[\omega _0]}},`$ (17)
$`=`$ $`C(0)\left(1{\displaystyle \frac{C^2(t)}{C^2(0)}}\right).`$ (18)
Let us set:

$$e^{2\omega _0}=e^{2s}\overline{\sigma ^2(t)}\omega _0\mu =s+C(0)$$
(19)
By subsitution in (14), we obtain thanks to (3) and (4),

$`\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]`$ $`=`$ $`\overline{\sigma ^2(t)}\mathrm{exp}\left[2(\omega _0\mu ){\displaystyle \frac{C(t)}{C(0)}}2{\displaystyle \frac{C^2(t)}{C(0)}}\right],`$ (20)
$`=`$ $`\overline{\sigma ^2(t)}\left({\displaystyle \frac{T}{t}}\right)^{\alpha (s)+\beta (t)}`$ (21)
where

$`\alpha (s)`$ $`=`$ $`{\displaystyle \frac{2s}{\mathrm{ln}(\frac{Te^{3/2}}{\mathrm{\Delta }t})}},`$ (22)
$`\beta (t)`$ $`=`$ $`2\lambda ^2{\displaystyle \frac{\mathrm{ln}(t/\mathrm{\Delta }t)}{\mathrm{ln}(Te^{3/2}/\mathrm{\Delta }t)}}.`$ (23)
Within the range $`\mathrm{\Delta }t<t<<\mathrm{\Delta }te^{\frac{|s|}{\lambda ^2}}`$, $`\beta (t)<<\alpha (s)`$ and Eq. (21) leads to a power-law behavior:

$$\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]t^{\alpha (s)}$$
(24)
Notice that $`|s|\lambda ^2`$ provides directly the logarithmic scaling range over which the power-law can be observed. Since $`\lambda ^220`$, this range can quickly extend over the whole time domain $`[\mathrm{ln}(\mathrm{\Delta }t),\mathrm{ln}(T)]`$.

Along the same line, we can also compute the conditional variance $`\mathrm{Var}\left[\sigma ^2(t)|\omega _0\right]`$. After a little algebra, we get:

$$\mathrm{Var}_{\mathrm{endo}}\left[\sigma ^2(t)|\omega _0\right]=\overline{\sigma ^2(t)}^2\left(\frac{T}{t}\right)^{2\alpha (s)+2\beta (t)}\left((\frac{Te^{3/2}}{\mathrm{\Delta }t})^{4\lambda ^2}(\frac{T}{t})^{2\beta ^{}(t)}1\right)$$
(25)
where

$$\beta ^{}(t)=2\lambda ^2\frac{\mathrm{ln}(T/t)}{\mathrm{ln}(Te^{3/2}/\mathrm{\Delta }t)}$$
(26)
It is thus easy to obtain the estimate:

$$\sqrt{\mathrm{Var}_{\mathrm{endo}}\left[\sigma ^2(t)|\omega _0\right]}\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]\left((\frac{T}{\mathrm{\Delta }t})^{2\beta (t)}1\right)^{1/2}\sqrt{6\lambda ^2\mathrm{ln}(te^{3/2}/\mathrm{\Delta }t)}\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]$$
(27)
We thus conclude, that, for $`s`$ large enough (i.e., $`\alpha (s)`$ large enough):

$$\frac{\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]\overline{\sigma ^2(t)}}{\sqrt{\mathrm{Var}_{\mathrm{endo}}\left[\sigma ^2(t)|\omega _0\right]}}\frac{1}{\sqrt{6\lambda ^2\mathrm{ln}(te^{3/2}/\mathrm{\Delta }t)}}$$
(28)
Over the first decade $`\mathrm{\Delta }tt10\mathrm{\Delta }t`$, the deviation of the conditional mean volatility from the unconditional volatility $`\overline{\sigma ^2(t)}`$ is greater than the conditional variance, which ensures the existence of a strong deterministic component of the conditional response above the stochastic components.

Expressions (24,22) are our two main predictions. These equations predict that the conditional response function $`\mathrm{E}_{\mathrm{endo}}[\sigma ^2(t)|\omega _0]`$ of the volatility decays as a power law $`1/t^\alpha `$ of the time since the endogeneous shock, with an exponent $`\alpha \left(2\omega _0\mathrm{ln}(\overline{\sigma ^2(t)})\right)\frac{\lambda ^2}{C(0)}`$ which depends linearly upon the amplitude $`\omega _0`$ of the shock. Note in particular, that $`\alpha `$ changes sign: it is positive for $`w_0>\frac{1}{2}\mathrm{ln}(\overline{\sigma ^2(t)})`$ and negative otherwise.

## Appendix D: Determination of the sources of endogeneous shocks

What is the source of endogeneous shocks characterized by the response function (21)? To answer, let us consider the process $`W(t)_{\mathrm{}}^t𝑑\tau \eta (\tau )`$, where $`\eta (t)`$ is a standardized Gaussian white noise which captures the information flow impacting on the volatility, as defined in (5). Extending the property (16), we find that

$$\mathrm{E}_{\mathrm{endo}}[W(t)|\omega _0]=\frac{\mathrm{Cov}[W(t),\omega _0]}{\mathrm{Var}[\omega _0]}\left(\omega _0\mathrm{E}[\omega _0]\right)\left(\omega _0\mathrm{E}[\omega _0]\right)_{\mathrm{}}^t𝑑\tau K(\tau ).$$
(29)
Expression (29) predicts that the expected path of the continuous information flow prior to the endogeneous shock (i.e., for $`t<0`$) grows like $`\mathrm{\Delta }W(t)=\eta (t)\mathrm{\Delta }tK(t)\mathrm{\Delta }t\mathrm{\Delta }t/\sqrt{t}`$ for $`t<0`$ upon the approach to the time $`t=0`$ of the large endogeneous shock. In other words, conditioned on the observation of a large endogeneous shock, there is specific set of trajectories of the news flow $`\eta (t)`$ that led to it. These conditional news flows have an expectation given by (29).


text:
# Constraining the Rotation Rate of Transiting Extrasolar Planets by Oblateness Measurements

## 1. Introduction

Extrasolar transiting planets are suitable for a variety of followup measurements while they transit their parent star. Many of the followup measurements would aim to detect additional planet components that block light from the parent star, such as moons, rings, or the planet’s atmosphere. Recently, the atmosphere of the transiting planet HD 209458 b was detected in transmission in the neutral sodium resonance line (Charbonneau et al. 2002). A followup measurement of a transiting planet’s albedo and phase curve would also be very useful in constraining atmosphere properties since both the radius and orbital inclination ($`i`$) are known (Seager, Whitney, & Sasselov 2000). Here we describe an additional planet property that can be derived from followup measurements of transiting extrasolar planets: the planet’s projected oblateness. The oblateness is defined as $`(R_eR_p)/R_p`$ where $`R_e`$ is the planet’s equatorial radius and $`R_p`$ the planet’s polar radius. The solar system gas giants all have a significant oblateness, ranging from 0.02 to 0.1, due to their rapid rotation. Saturn’s oblateness is so large it is obvious from whole-planet images. An oblateness detection would immediately tell us that a planet is a rapid rotator.

A planet’s oblateness signature on a transit light curve was first described in Hui & Seager (2002). The oblateness signature is expected to be small. However, recent observations by HST/STIS (Brown et al. 2001) reached an unprecedented photometric precision of $`10^4`$, and space telescopes MOST (Canadian Space Agency; launch date December 2002), MONS (Danish Space Agency; launch date $``$ 2004), Corot (French Space Agency, European Space Agency, launch date 2004), and Kepler (NASA; launch date 2006) are designed to reach photometric precision of a few$`\times 10^6`$ by averaging measurements over several orbital periods. Kepler, a wide-field transit search with the main goal of detecting Earth-sized planets orbiting solar type stars, expects to find 30–40 transiting extrasolar giant planets. With the prospect of high photometric precision, we investigate the transit signature of an oblate giant planet and the constraints on an oblate extrasolar planet’s rotational period and tidal $`Q`$ value.

## 2. Oblateness and Rotational Period

Here we review the relation between oblateness and rotational period (see e.g. Collins 1963; van Belle et al. 2001), making the simplest assumptions about the structure of the planets in question. The potential for a uniformly rotating body has two terms, gravitational and rotational. The gravitational potential for a rotating, not too aspherical, figure of equilibrium can be expanded using the Legendre polynomials (see e.g. Danby 1962; Chandrasekhar 1969),

$$\varphi _g=\frac{GM_P}{R}(1\frac{J_2}{R^2}\frac{1}{2}(3\mathrm{cos}^2\theta 1)\mathrm{}),$$
(1)
where $`G`$ is the Universal gravitational constant, $`M_P`$ is the planet mass, $`R`$ is the planet surface radius, $`J_2`$ is a constant coefficient, and $`\theta `$ is the angle measured from the planet’s rotation axis. The gravitational moments, of which $`J_2`$ is an example, describe the structure and shape of a rotating fluid and are measured for the solar system planets by precession rates of satellite and ring orbits and by spacecraft trajectories. The gravitational moments are not known for extrasolar planets, but they generally contribute small corrections to the gravitational potential. Here, we keep only the first term of equation (1), the gravitational potential of a point mass.

The rotational potential $`\varphi _r`$ arises from the force of centripetal acceleration. For a rigid body333The gas giant planets have differential rotation. The slight deviation from rigid body rotation is due to convective redistribution of angular momentum. rotating at angular velocity $`w`$ about the $`z`$ axis,

$$\varphi _r=\frac{1}{2}w^2(x^2+y^2)=\frac{1}{2}w^2R(\theta )^2\mathrm{sin}^2\theta ,$$
(2)
where the right hand side term is in spherical polar coordinates, and for axisymmetric rotation $`R=R(\theta )`$. Hence the total potential $`\varphi =\varphi _g(\theta )+\varphi _r(\theta )`$ for a rigid rotator with a gravitational point mass potential is

$$\varphi =\frac{GM_P}{R(\theta )}\frac{1}{2}w^2R(\theta )^2\mathrm{sin}^2\theta .$$
(3)
We can use the fact that the total potential $`\varphi `$ is constant on the surface (Eddington 1926) to consider that $`\varphi `$ at the pole ($`\theta =0`$) and at the equator ($`\theta =\pi /2`$) are the same. Then equation (3) can be written as,

$$\frac{GM_P}{R_p}=\frac{GM_P}{R_e}+\frac{1}{2}w^2R_e^2,$$
(4)
where the polar radius $`R_p`$ corresponds to the rotation axis $`z`$, and $`R_e`$ is the equatorial radius.

Then considering the definition of oblateness, $`\eta (R_eR_p)/R_p`$,

$$\omega ^2=\frac{2GM_P}{R_e^3}\eta ,$$
(5)
and the rotational period $`P=2\pi /\omega `$ is

$$P=2\pi \sqrt{\frac{R_e^3}{2GM_P}\frac{1}{\eta }}.$$
(6)
Note that with $`e`$ as the eccentricity (hereafter called ellipticity to avoid confusion with eccentricity of the planet’s orbit) of an ellipse, $`R_p=R_e\sqrt{1e^2}`$, and so

$$\eta \frac{(R_eR_p)}{R_p}=\frac{1}{\sqrt{1e^2}}1.$$
(7)
The maximum oblateness can be estimated by considering the centripetal acceleration for a given planet mass and radius that can prevent the body from flying apart, (again, ignoring higher order terms in the gravitational potential). Considering a particle at $`r=R_e`$ and $`\theta =\pi /2`$, $`GM_Pm/R_e^2=m\omega ^2R_e`$, and considering the relation between the angular velocity $`\omega `$ and the oblateness $`\eta `$ (equation (5)), the maximum possible oblateness is $`\eta =0.5`$, which corresponds to an ellipticity of $`e=0.745`$.

It is clear, considering equation (6), that a measurement of the oblateness $`\eta `$, together with the measurement of $`M_P`$ and $`R_P`$ (here defined as $`R_P=\sqrt{R_eR_p}`$) from the transit photometry and radial velocity data, will yield the planet’s rotational period, subject to two considerations. The first is that the $`\varphi _g`$ is expected to deviate from a point mass potential, since the solar system gas giant planets have non-zero $`J_2`$ and higher order moments. Secondly only the projected oblateness can be measured and hence only an upper limit on the rotational period can be obtained. To be precise, suppose the three-dimensional ellipticity is $`e`$, the projected ellipticity equals $`e(1\mathrm{cos}^2\alpha )`$ where $`\alpha `$ is the angle between the axis of planet rotation and the line of sight to the planet (see Appendix A of Hui & Seager 2002). To the extent the angle $`\alpha `$ is random, one expects on average that the projected ellipticity is half the actual value. The projected oblateness can be obtained from the projected ellipticity using the relation between $`\eta `$ and $`e`$ in equation (7). Hereafter, whenever we refer to ellipticity $`e`$ or oblateness $`\eta `$, we mean its projected version, unless otherwise stated.

## 3. Timescale for Tidal Synchronization of Rotation

Planetary oblateness is caused by rapid rotation. Planets that rotate synchronously with their orbital period will generally be rotating too slowly to be significantly oblate. Therefore, the tidal evolution timescale for synchronous rotation will limit the parameter space—mainly the orbital semi-major axis $`D`$—where oblate planets are expected to be found. Conversely, a detection of oblateness for a planet together with an estimation of the system’s age could help to constrain the planet’s tidal dissipation factor $`Q`$ (we will refer to it as $`Q_P`$ here). The synchronous rotation timescale is (e.g. Goldreich & Soter 1966; Zahn 1977; Hubbard 1984; Guillot et al. 1996)

$$t_{sync}Q_P\left(\frac{R_P^3}{GM_P}\right)\omega \left(\frac{M_P}{M_{}}\right)^2\left(\frac{D}{R_P}\right)^6,$$
(8)
where $`\omega =|\omega _I\omega _{orb}|\omega _I`$, where $`\omega _I`$ is the planet’s primordial rotational angular velocity and $`\omega _{orb}`$ its orbital angular velocity, $`R_{}`$ and $`M_{}`$ are the star’s radius and mass, and $`G`$ is the universal gravitational constant. $`Q_P`$ is inversely related to the tidal dissipation energy. For a Jupiter-like planet (with Jupiter’s tidal $`Q_P=10^5`$ (Ioannou & Lindzen 1993) and Jupiter’s current rotation rate $`\omega _I=\omega _{Jupiter}=2\pi /9.92`$h) orbiting at 0.05 AU around a solar twin, $`t_{sync}=2\times 10^6`$ years. For HD 209458 b, with $`R_{}=1.18R_{}`$, $`M_{}=1.06M_{}`$, $`R_P=1.42R_J`$, (Cody & Sasselov 2001; Brown et al. 2001), $`M_P=0.69M_J`$ (Mazeh et al. 2000), $`t_{sync}=4\times Q_P`$ years. Because HD 209458 b has $`t_{sync}t_{}`$ (where $`t_{}`$ is the age of the parent star), synchronous rotation is expected to have been reached. Note that planets of Jupiter’s mass, $`Q_P`$, and $`\omega _I`$ orbiting a sun-mass star with $`D0.2`$ AU will be synchronous rotators.

The tidal synchronization timescale has as its main uncertainty $`Q_P`$ and $`\omega _I`$. It is interesting to compare $`t_{sync}`$ with the typical ages of stars ($`t_{}`$) with known extrasolar planets: one to a few billion years. Figure 2a shows $`t_{sync}`$ as a function of $`D`$ and $`Q_PM_P/M_{}^2`$ to illustrate that planets with $`D0.15`$ to $`0.4`$ AU have $`t_{sync}`$ similar to these typical ages of stars with known planets. Of the parameters in equation (8), $`D,M_P,R_P`$ can be measured for a transiting planet and $`M_{}`$ can be well estimated. Therefore $`Q_P`$ can be constrained with: an oblateness measurement as evidence for non-synchronous rotation; an assumption for $`\omega _I`$; a planet with $`D`$ such that $`t_{sync}t_{}`$. (Note that $`Q_P`$ can also be constrained by considering the tidal evolution time for tidal circularization, but in this case the values for $`M_P`$ and $`R_P`$ in specific cases are not known.)

In addition to the planet’s rotation rate, other orbital parameters will evolve as a consequence of tides raised on the planet by the star. The orbital circularization timescale (Goldreich & Soter 1966) and the timescale for co-planarity (defined as the coincidence of the planet orbital plane and the stellar equatorial plane) are both longer than the synchronous rotation timescale (Rasio et al. 1966; Hut 1981). The planet’s projected obliquity, $`\beta `$ (defined here as the projected angle of inclination of the planet’s rotation axis to the planet’s orbit normal) is measurable for a transiting oblate planet (see §4) that has an orbital inclination different from 90. The planet’s obliquity is also affected by tidal evolution. The timescale for tidal evolution to zero obliquity is the same as the tidal synchronous rotation timescale for a planet in a circular orbit (Peale 1999). For eccentric orbits the obliquity evolution is complex and coupled to other orbital evolution timescales (Peale 1999). However, a detection of obliquity together with other measured orbital and physical parameters for a planet in the tidal evolution regime will be useful to constrain the planet’s evolutionary history. Note that a planet may escape evolving to synchronous rotation (or to a circular orbit and zero obliquity) in the presence of other nearby planets. HD 83443 (Mayor et al. 2002) is an interesting example described in Wu & Goldreich (2002).

## 4. Results and Discussion

### 4.1. Transit Computation

We want to determine the shape and magnitude of the transit light curve due to an oblate planet with different values of projected obliquity. Because the effect is small compared to a spherical planet transit, the transit light curve must be computed to high accuracy, $`10^7`$, in order to accurately calculate effects at the $`10^5`$ level. We use planetocentric coordinates and consider the projected oblate planet to be an ellipse. The planet’s surface is described by the ellipse equation in polar coordinates,

$$r^2=R_e^2\frac{1e^2}{(1e^2\mathrm{cos}^2(\mathrm{\Theta }+\beta \pi /2))},$$
(9)
where $`r`$ is the distance from planet center and $`\mathrm{\Theta }`$ is measured from the projected orbit normal. In this coordinate system, the star’s surface is represented by

$$R_{}^2=(r\mathrm{cos}\mathrm{\Theta }\pm D\mathrm{cos}i\mathrm{cos}\omega _{orb}(tt_0))^2+(r\mathrm{sin}\mathrm{\Theta }+D\mathrm{sin}\omega _{orb}(tt_0))^2,$$
(10)
where $`\omega _{orb}`$ is the orbital angular velocity, $`t`$ is time, and $`t_0`$ is the time of transit center. We consider the intersection of the equations for the planet and star in order to determine (1) start and end of ingress and egress and (2) integration limits for the star area blocked by the planet.

### 4.2. The Shape and Amplitude of the Oblateness Signature

The oblateness signature on a transit light curve will be small. In order to quantify the shape and magnitude of the oblate planet’s transit signature we compare an oblate planet transit light curve ($`T_{ellipse}`$) to a spherical planet transit light curve ($`T_{sphere}`$) for planets of the same projected area transiting the same sized star. We define $`F=[T_{sphere}(t)T_{ellipse}(t)]`$ where $`F`$ is the flux difference444Note that this definition of $`F`$ is different from that in Hui & Seager (2002). between a spherical planet (projected to a disk) and an oblate planet (projected to an ellipse) transit light curve. The ellipse and projected sphere are always chosen to have the same total area i.e. the minimum of $`T_{sphere}`$ and the minimum of $`T_{ellipse}`$ are the same in the absence of limb darkening. Each transit light curve is normalized to the stellar flux. Figure 2b shows the maximum value of $`F`$ for different $`e`$ and $`R_P/R_{}`$. The parameters $`i=90^{}`$ and $`\beta =0^{}`$ are chosen for this figure—as we will see, this gives the weakest oblateness signature, and so the contours in Figure 2b give conservative estimates of the required photometric precision to detect oblateness.

The transit light curve of a Jupiter-sized planet transiting a sun-sized star with orbital inclination $`i=90^{}`$ is shown in Figure 3a. The round-bottomed transit is due to limb darkening, in this case the solar limb-darkening value at 450 nm is used (Cox 2000). At this blue wavelength the sun is strongly limb darkened. The flat-bottomed transit was computed neglecting limb darkening, or in a very non-limb-darkened color (e.g. at IR wavelengths, although solar limb darkening is minor at $`I`$ band) chosen to illustrate the range of possibilities. On the scale in Figure 3a, transits due to oblate and spherical planets are difficult to tell apart; we show their difference in subsequent panels. In Figure 3 and in this subsection we consider planets with the same area as Jupiter. Because Jupiter is oblate (with $`R_e=7.1492\times 10^7\mathrm{m}`$ and $`R_p=6.7137\times 10^7\mathrm{m}`$), Jupiter’s area corresponds to a sphere with effective radius $`6.9280\times 10^7\mathrm{m}`$. Figure 3b shows the flux difference $`F=[T_{sphere}(t)T_{ellipse}(t)]`$ between the non-limb-darkened transit light curve of a spherical planet and an oblate planet with ellipticity $`e`$ varying from 0.1 to 0.4. These transit light curves were computed for an orbital distance $`D=0.2`$, but for the case of $`i=90^{}`$ the transit time scales as $`D^{1/2}`$. The flux difference $`F`$ in Figure 3b is as high as 1.5$`\times 10^4`$ for an planet with ellipticity $`e=0.4`$, corresponding to the oblateness of Saturn.

The oblate planet transit signature can be explained as follows. At the start of ingress, when just a small fraction of the planet has crossed the stellar limb, an oblate planet (projected to an ellipse) covers less area on the stellar disk than a sphere (projected to a disk). Hence $`F`$ (which is actually the flux difference of the light deficit of a disk and ellipse) is higher. As ingress progresses, the area of the star blocked by an oblate planet decreases compared to the sphere, until the ingress midpoint. At the midpoint of ingress, when the planet center coincides with the stellar limb, the area of the stellar disk that is blocked is roughly the same for an ellipse and a sphere (except for the deviation of the star limb from a straight line); hence the fractional difference at mid-ingress is close to zero. ($`F0`$ at mid-ingress or mid-egress only for $`i=90^{}`$ and $`R_PR_{}`$). The difference $`F`$ also eventually reaches around $`0`$ towards the middle of the transit between ingress and egress. Another way to consider the oblate transit signature is that for an oblate planet (with larger $`R_e`$ than a spherical one of the same area), the “first contact” will occur earlier, and the “second contact” will occur later, thus explaining the sign of the difference signal $`F`$.

Figure 3c shows the same flux differences ($`F`$s) as in Figure 3b, but at the highly-limb-darkened color of 450 nm. In the presence of strong limb darkening, the maximum value of the oblateness signature at ingress/egress is lower than in the case of no limb darkening (Figure 3b). This is because ingress and egress occur at the stellar limb where a given area takes out less luminosity than from closer to star center. Because of limb darkening the planet transit light curve is asymmetric around mid-ingress. While this is also true for a spherical planet, the effect is exaggerated for an ellipse. Limb darkening also causes a flux difference between an oblate and spherical planet when the planet is fully superimposed on the parent star; however this difference is negligible compared to the oblateness signature at ingress and egress.

In all of the above cases, Figure 3a-c, $`i=90^{}`$ and $`\beta =0`$ is assumed. An oblate planet with $`i<90^{}`$ and non-zero projected obliquity $`\beta `$ has an interesting transit light curve. Figure 3d shows the transit light curve for different orbital inclinations (neglecting limb darkening). The dot-dashed line at $`i=88.73^{}`$ shows an almost grazing planet transit. The transit light curves of an oblate planet and of a spherical planet are indistinguishable on the scale of Figure 3d. Figure 3e and Figure 3f show $`F`$, the flux difference in the transit light curve between a spherical planet and an oblate planet with $`\beta =45^{}`$ for various orbital inclinations. Note that ingress and egress last longer for transits with larger $`\mathrm{cos}i`$, making the oblateness signature easier to measure.

The ingress and egress oblateness signatures are completely symmetric about mid-transit (i.e. $`F(t)=F(t)`$) for projected obliquity $`\beta =0^{}`$ (cases shown in Figure 3c). The oblateness signature will be more easily measured from a transit light curve that is asymmetric about mid-transit in its ingress and egress. Such an asymmetry will occur in the case of an oblate planet with a non-zero obliquity and with orbital inclination different from 90. The asymmetry is apparent in comparing Figures 3b and 3e. Figures 4a and b show the asymmetric flux difference $`F_{asym}=[T_{ellipse}(t)T_{ellipse}(t)]`$ for different cases of $`i`$ and $`\beta `$. The oblate planet considered in Figure 4 has $`e=0.4`$ and the same area as Jupiter. Reaching amplitudes of $`2\times 10^4`$ these are close to the current best precision photometry (from HST). The signatures in Figure 4 can be considered maximum signatures using solar system values.

In summary, there are two oblateness signatures one can look for: 1) a detailed difference in light curves between a transit by a sphere and a transit by an ellipse, around ingress and around egress; and 2) an asymmetry of the light curve between ingress and egress in the case of non-zero projected obliquity $`\beta `$ and $`i90^{}`$. $`\beta `$ and $`e`$ are not degenerate and can both be extracted from a fit to the light curve. When both signatures can be detected, one can obtain constraints on obliquity as well as oblateness.

We expect to be able to distinguish the oblateness transit signature from other similar magnitude effects during transits. Planetary moons could affect the planet transit light curve but, due to their size, shape, and projected separation from the planet, would not mimic planet oblateness (although they could still cause a transit light curve asymmetry). Planetary rings will be projected into an ellipse unless the inclination of the planet’s ring plane to the line of sight is either $`0^{}`$ or $`90^{}`$. With a few parts-per-million photometric precision, most cases of planetary rings should not be confused with the oblateness signature because the rings have a relatively large radius and a slightly different transit signature than an oblate planet. A planet mass measurement (by radial velocity observations and by the transit to give $`i`$) would likely alleviate any confusion due to transiting rings (which would make the planet look much larger) due to the giant planet mass-radius relationship (Guillot et al. 1996). Atmospheric lensing (Hui & Seager 2002) due to a spherical planet may be confused with the oblateness signature. However at wavelengths where the planet’s atmosphere is strongly absorbing atmospheric lensing is not present. In addition the transit asymmetry due to a non-zero $`\beta `$ is not reproducible by atmospheric lensing. Confusion at the $`10^5`$ level from other signals such as star spots, large planetary features, etc. are unlikely and are discussed in Hui & Seager (2002).

### 4.3. HD 209458 b: The Only Known Transiting Extrasolar Planet

Recently Brown et al. (2001) used HST/STIS to measure the transit light curve of HD 209458 b, the only currently known transiting extrasolar planet (Charbonneau et al. 2000; Henry et al. 2000). The resulting photometric precision is at a level of $`10^4`$. This level of precision is not high enough to measure the expected oblateness of HD 209458 b. The close-in extrasolar giant planets like HD 209458 b are not expected to be significantly oblate due to slow rotational periods resulting from tidal locking to their orbital revolution. Assuming synchronous rotation an orbital period of 3.5 days corresponds to an oblateness of 0.0018 ($`e=0.05`$), considering HD 209458 b to be a rigid rotator with $`M_P=0.69M_J`$ (Mazeh et al. 2000) and $`R_P=1.42`$ (the most recent derivation from Cody & Sasselov 2001). At an orbital inclination of 86.1 the flux difference from a transit light curve of a sphere has a maximum amplitude of only a few $`\times 10^6`$. If HD 209458 b has a non-zero projected obliquity ($`\beta `$), the asymmetry of ingress to egress could be as high as 8$`\times 10^6`$. Such an obliquity is not expected, however, due to tidal evolution. Obtaining an upper limit for $`e`$ and $`\beta `$ for HD 209458 b by a fit to a high-precision transit light curve would observationally confirm the expected slow rotational period for HD 209458 b.

### 4.4. Constraining the EGP Rotation Rate

The four solar system gas giant planets have significant oblateness, with values listed in Table 1 (note that oblateness here is the actual oblateness in three dimensions, i.e. not a projected value). With the exception of Jupiter, they all have substantial obliquity with values that are consistent with random $`\beta `$. The solar system gas giant planets have measured rotational periods from 9.92 h to 17.24 h (see Table 1). The rotational periods as calculated from equation (6) using the measured oblateness values are within 20% or less of the actual rotational periods. The estimated rotational periods are consistently low, due to the neglect of the higher order gravitational moments in the gravitational potential (equation (1)).

For extrasolar planet transit measurements only the projected oblateness can be measured, and hence only an upper limit on the rotational period can be obtained. With a measurement of the rotation rate together with the projected oblateness $`\beta `$ could be constrained. The rotational period could be directly measurable with the next generation of radio telescopes for Jupiter-like planets with high synchrotron emission (like Jupiter) (Bastian, Dulk, & Leblanc 2000). Note that spectral line measurements may give information on winds in the planet atmosphere rather than the planet’s rotation rate.

## 5. Summary

An oblate planet and a spherical planet of Jupiter’s area orbiting a sun-like star will have different ingress and egress transit light curves by as much as a few to 15 $`\times 10^5`$. A planet’s oblateness is most easily detectable in the case where the planet’s orbital inclination is different from edge-on, and the planet’s projected obliquity is substantially different from zero. In this case the transit light curve is asymmetric between the ingress and egress (see Figure 1 and Figure 4), a signature that can be detected by folding the light curve around mid-transit. The oblateness signature due to a planet with zero projected obliquity is symmetric in ingress and egress; the oblateness can then be measured using a model fit to the data (by exploiting the detailed differences in the light curves produced by a sphere and an ellipse; see Figure 2). The Kepler mission is expected to find 30 to 40 transiting giant planets with orbital semi-major axes $`<1`$ AU, about 20 of which will be at $`D>0.2`$ AU, and Kepler and three other space telescopes will reach part-per-million photometric precision. The future is promising for the oblateness measurement of extrasolar planets.

We thank Scott Gaudi for reading the manuscript, and Jordi Miralda-Escude, Scott Gaudi, Gabriela Mallen-Ornelas, and Eliot Quataert for useful discussions. We thank the referee Bob Noyes for a careful reading of the manuscript. S.S. thanks John Bahcall for valuable advice and support. S.S. is supported by the W.M. Keck Foundation. L.H. is supported by an Outstanding Junior Investigator Award from the DOE and grant AST-0098437 from the NSF.