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# The 𝛽-neurexin/neuroligin-1 interneuronal intrasynaptic adhesion is essential for quantum brain dynamics

## 1 Subneuronal macroscopic quantum coherence

There are a couple of models trying to resolve the enigmatic feature of consciousness. The most popular is the Hameroff-Penrose Orch OR model (Hameroff and Penrose, 1998) supposing that microtubule network within the neurons and glial cells acts like a quantum computer. The tubulins are in superposition and the collapse of the wave function is driven by the quantum gravity. A string theory model is developed by Nanopoulos and Mavromatos (Nanopoulos, 1995; Nanopoulos and Mavromatos, 1995) that is further refined into QED-cavity model (Mavromatos, 2000; Mavromatos et al., 2002) suggesting dissipationless energy transfer and biological quantum teleportation.

The macroscopic quantum coherence is defined as a quantum state governed by a macroscopic wavefunction, which is shared by multiple particles. This typically involves the spaciotemporal organization of the multiparticle system and is closely related to Bose-Einstein condensation. Examples of quantum coherence in many particle macroscopic systems include superfluidity, superconductivity, and the laser. Of these three paradigm systems, the former two (superfluidity and superconductivity) are basically equilibrium systems, whereas the laser is our first example of an open system, which achieves coherence by energetic pumping - this latter idea is of the greatest importance for understanding the general implications of coherence. The laser functions at room temperature and is typical nonequilibrium possibility for coherence to exist and endure at macroscopic and thermally challenging scales.

It is expected that observable quantum effects in biological matter be strongly suppressed mainly due to the macroscopic nature of most biological entities, as well as the fact that such systems live at near room temperature. These conditions normally result in a very fast collapse of the pertinent wave functions to one of the allowed classical states. The brain operates at 310K and deviations in brain temperature in either direction are not well tolerated for consciousness. This temperature is quite toasty compared to the extreme cold needed for quantum technological devices which operate near absolute zero. In technology, the extreme cold serves to prevent thermal excitations, which could disrupt the quantum state. However proposals for biological quantum states suggest that biological heat is used to pump coherent excitations. In other words biomolecular systems may have evolved to utilize thermal energy to drive coherence. The assumption/prediction by quantum advocates is that biological systems (at least those with crystal lattice structures) have evolved techniques to funnel thermal energy to coherent vibrations conducive to quantum coherence, and/or to insulate quantum states through gelation or plasma phase screens (Hagan et al., 2002).

The neural cytoplasm exists in different phases of liquid sol and solid gel. Transition between sol and gel phases depends on actin polymerization. Triggered by changes in Ca2+ concentration, actin copolymerizes with different types of actin cross-linking proteins to form dense meshwork of microfilaments and various types of gels which encompass microtubules and organelles. The particular type of actin cross-linkers determines characteristics of the actin gels. Gels depolymerize back to liquid phase by Ca2+ activation of gelsolin protein, which severs actin. Actin repolymerizes into gel when Ca2+ concentration is reduced. Actin gel, ordered water jello phases alternate with phases of liquid cytosol. Exchange of Ca2+ between actin, microtubules and microtubule-bound calmodulin can mediate such cycles. The transition between the alternating phases of solution and gelation in cytosol depends on the polymerization of actin, and the particular character of the actin gel in turn depends on actin cross-linking. Of the various cross-linker related types of gels, some are viscoelastic, but others (e.g. those induced by the actin cross-linker avidin) can be deformed by an applied force without response. Cycles of actin gelation can be rapid, and in neurons, have been shown to correlate with the release of neurotransmitter vesicles from presynaptic axon terminals. In dendritic spines, whose synaptic efficacy mediates learning, rapid actin gelation and motility mediate synaptic function, and are sensitive to anesthetics. Therefore the actin gelation within neurons might favour water ordering and quantum coherence at body temperature.

Even in the liquid phase, water within cells is not truly liquid and random. Pioneering work by Clegg (1984) have shown that water within cells is to a large extent ordered, and plays the role of an active component rather than inert background solvent. Neutron diffraction studies indicate several layers of ordered water on such surfaces, with several additional layers of partially ordered water. Thus the actin meshwork that encompasses the microtubules orders the water molecules in the vicinity and might shield the quantum coherence/entanglement between microtubule tubulins.

## 2 On the dynamically ordered structure of water

Within the framework of quantum field theory Jibu and colleagues have described the dynamically ordered structure of water in the brain (Jibu et al., 1994; 1996; Jibu and Yasue, 1997). In the discussion following we briefly review their model. First, let us denote the spatial region immediately adjacent to the cytoskeletal proteins by $`𝕍`$ and introduce Cartesian system of coordinates $`𝒪(x,y,z)`$ so that any point of the region can be labelled by giving its coordinates $`r=(x,y,z)`$. This volume is filled with water molecules and ions (the number of ions is relatively small, less than $`1\%`$ of the total number). Potassium ions (K+) have radius equal to the radius of the water molecules, so potassium ions can be mixed with water in the dynamically ordered state. Sodium ions (Na+) and calcium ions (Ca2+) have radii smaller than the radius of the water molecules so they do not disturb the dynamically ordered structure of water. Chloride (Cl-) and hydrogencarbonate (HCO$`{}_{}{}^{}{}_{3}{}^{}`$) ions however have larger radii than the radius of water molecules. If there are chloride or hydrogencarbonate ions in the region, then the system of the radiation field and water molecules will suffer from dynamical disorder and so the dynamically ordered structure of water manifests defects. In normal physiological state of neurons the chloride ions have very low concentrations inside neurons (3 mM) compared to the extraneuronal space (110 mM). Intraneuronal Cl- concentration increases under GABA$`_\text{A}`$ receptor activation by general anesthetics, therefore interfering with the dynamical ordering of water molecules might explain loss of consciousness during general anesthesia.

Further, we fix the total number $`N`$ of water molecules in the region $`𝕍`$. If we look at the j$`^{\text{th}}`$ water molecule ($`j`$ running from $`1`$ to $`N`$ denotes fictitious number labeling the $`N`$ water molecules in question), its position will be given by coordinates $`r^j=(x^j,y^j,z^j)`$. From a physical point of view, a water molecule has a constant electric dipole moment. The average moment of inertia and electric dipole moment of a water molecule are respectively estimated to be $`I=2m_pd^2`$ with $`d=0.82\text{Å}`$ and $`\mu =2e_pP`$ with $`P=0.2\text{Å}`$. Here $`m_p`$ denotes the proton mass and $`e_p`$ the proton charge. Due to the electric dipole moment $`\mu `$ the water molecule interacts strongly with the radiation field in the spatial region $`𝕍`$. Although the water molecules have many energy eigenstates and so can exchange energy with the radiation field in many different values, we restrict the discussion to the case in which only the two principle eigenstates can take part in the energy exchange. These are taken to be low lying states such that either the probability of transition between two other eigenstates is low relative to that between the two principal eigenstates or the equilibrium populations of the other levels become sufficiently small to allow them to be ignored. This coincides with the conventional two-level approximation in describing energy exchange between atoms and the radiation field in laser theory. Then one sees immediately that the quantum dynamics of the j$`^{\text{th}}`$ water molecule can be described by a fictitious spin variable $`s^j=\frac{1}{2}\sigma `$ in energy spin space, where $`\sigma =(\sigma _x,\sigma _y,\sigma _z)`$ and the $`\sigma _i`$’s are the Pauli spin matrices denoting the three components of the angular momentum for spin $`\frac{1}{2}`$.

Let $`ϵ`$ be the energy difference between the two principal energy eigenstates of the water molecule. Its actual value is $`ϵ24.8`$ meV. Then the Hamiltonian governing the quantum dynamics of the j$`^{\text{th}}`$ water molecule is given by $`ϵs_z^j`$ and the total Hamiltonian for $`N`$ water molecules becomes:

$$H_{WM}=ϵ\underset{j=1}{\overset{N}{}}s_z^j$$
(1)
The two eigenvalues of this Hamiltonian are $`\frac{1}{2}ϵ`$ and $`\frac{1}{2}ϵ`$ reflecting the fact that only the two principal energy eigenstates with energy difference $`ϵ`$ have been taken into account.

Now let us consider the radiation in the spatial region $`𝕍`$ from the point of view of quantum field theory. It is convenient to describe the radiation field in terms of its effect on an electric field operator $`E=E(r,t)`$. We assume for simplicity that electric field is linearly polarized, obtaining $`E=eE`$, where $`e`$ is a constant vector of unit length pointing in the direction of linear polarization. Then, the radiation field in question comes to be described by a scalar electric field $`E=E(r,t)`$ governed by the usual Hamiltonian:

$$H_{EM}=\frac{1}{2}_VE^2d^3r$$
(2)
Next, we introduce the interaction between the radiation field and the totality of water molecules by which they can exchange energy in terms of the creation and annihilation of photons, that is energy quanta, of the radiation field. The electric field operator can be divided into positive and negative frequency parts $`E=E^++E^{}`$. Then the interaction Hamiltonian of the radiation field and the totality of water molecules becomes:

$$H_I=\mu \underset{j=1}{\overset{N}{}}\left[E^{}(r^j,t)s_{}^j+s_+^jE^+(r^j,t)\right]$$
(3)
where $`s_\pm ^j=s_x^j\pm s_y^j`$ are ladder operators in energy spin space. The total Hamiltonian governing the quantum dynamics of the radiation field, the electric dipoles of the water molecules, and their interaction is given by

$$H=H_{WM}+H_{EM}+H_I$$
(4)
Since the region $`𝕍`$ maybe considered as a cavity for the electromagnetic wave, it is convenient to introduce the normal mode expansion of the electric field operator $`E=E^++E^{}`$, obtaining

$$E^\pm (r,t)=\underset{k}{}E_k^\pm (t)\mathrm{exp}\left[\pm ı(\kappa r\omega _kt)\right]$$
(5)
Here, $`\omega _k`$ denotes the proper angular frequency of the normal mode with wave vector $`\kappa `$. We are mainly interested in the ordered collective behaviour among the water molecules and the radiation field in the region $`𝕍`$, i.e. the vicinity of the cytoskeletal proteins. Let us introduce therefore collective dynamical variables $`S_k^\pm (t)`$ for the quantized electromagnetic field given by

$$S_k^\pm (t)\underset{j=1}{\overset{N}{}}s_\pm ^j(t)\mathrm{exp}\left[\pm ı(\kappa r^j\omega _kt)\right]$$
(6)
and the collective dynamical variable for the water molecules given by

$$S\underset{j=1}{\overset{N}{}}s_z^j$$
(7)
Then, the total Hamiltonian $`H`$ becomes

$$H=H_{EM}+ϵS\mu \underset{k}{}\left[E_k^{}S_k^{}+E_k^+S_k^+\right]$$
(8)
This total Hamiltonian for the system of $`N`$ water molecules and the radiation field in the region $`𝕍`$ around the cytoskeletal protein network is essentially of the same form as Dicke’s Hamiltonian for the laser system. Therefore it might be expected that water should manifest laser-like coherent optical activity, that is, act as a water laser under certain biologically realizable conditions.

## 3 Synaptogenesis in the mammalian CNS

Information in the brain is transmitted at synapses, which are highly sophisticated contact zones between a sending and a receiving nerve cell. They have a typical asymmetric structure where the sending, presynaptic part is specialized for the secretion of neurotransmitters and other signaling molecules while the receiving, postsynaptic part is composed of complex signal transduction machinery.

In the developing human embryo, cell recognition mechanisms with high resolution generate an ordered network of some $`10^{15}`$ synapses, linking about $`10^{12}`$ nerve cells. The extraordinary specificity of synaptic connections in the adult brain is generated in several consecutive steps. Initially, immature nerve cells migrate to their final location in the brain. There, they form processes, so called axons. Axons grow, often over quite long distances, into the target region that the corresponding nerve cell is supposed to hook up with. Once arrived in the target area, an axon selects its target cell from a large number of possible candidates. Next, a synapse is formed at the initial site of contact between axon and target cell. For this purpose, specialized proteins are recruited to the synaptic contact zone. Newly formed synapses are then stabilized and modulated, depending on their use. These processes result in finely tuned networks of nerve cells that mediate all brain functions, ranging from simple movements to complex cognitive or emotional behaviour.

Song et al. (1999) have studied the biochemical characteristics and cellular localization of neuroligin-1, which is a member of a brain-specific family of cell adhesion proteins. They discovered that neuroligin-1 is specifically localized to synaptic junctions, making it the first known synaptic cell adhesion molecule. Using morphological methods with very high resolution Brose (1999) demonstrated that neuroligin-1 resides in postsynaptic membranes, its extracellular tail reaching into the cleft that separates postsynaptic nerve cells from the presynaptic axon terminal. Interestingly, the extracellular part of neuroligin-1 binds to another group of cell adhesion molecules, the $`\beta `$-neurexins. Based on their findings, Brose and colleagues suggest a novel molecular model of synapse formation in the brain. Postsynaptic neuroligin interacts with presynaptic $`\beta `$-neurexin to form a transsynaptic cell-adhesion complex at a developing synapse. Once the junction is formed, neuroligins and $`\beta `$-neurexins initiate well-characterized intracellular protein-protein-interaction cascades. These lead to the recruitment of proteins of the transmitter release machinery on the presynaptic side and of signal transduction proteins on the postsynaptic side. The resulting transsynaptic link could also function in retrograde and anterograde signalling of mature synapses.

## 4 Interneuronal entanglement

Ultrastructural studies of excitatory synapses have revealed an electron-dense thickening in the postsynaptic membrane known as the postsynaptic density (PSD). The PSD has been proposed to be a protein lattice that localizes and organizes the various receptors, ion channels, kinases, phosphatases and signaling molecules at the synapse (Fanning and Anderson, 1999). Studies from many laboratories over the past ten years have identified various novel proteins that make up the PSD. Many of these proteins contain PDZ domains, short sequences named after the proteins in which these sequence motifs were originally identified (PSD-95, Discs-large, Zona occludens-1). PDZ domains are protein-protein interaction motifs that bind to short aminoacid sequences at the C-termini of membrane proteins. These PDZ domain-containing proteins have been shown to bind many types of synaptic proteins, including all three classes of ionotropic glutamate receptors, and seem to link these proteins together to organize and regulate the complex lattice of proteins at the excitatory synapse.

CASK is a presynaptic protein that binds to the cell surface protein $`\beta `$-neurexin (Hata et al., 1996), while the third PDZ domain of the postsynaptic protein PSD-95 has been demonstrated to bind to the C-terminal tail of neuroligins (Irie et al., 1997). CASK and PSD-95 stabilize synaptic structure by mediating interactions with cell adhesion molecules $`\beta `$-neurexin (presynaptic) and neuroligin-1 (postsynaptic) or by indirectly linking synaptic proteins to the cytoskeleton through the actin binding protein 4.1 (presynaptic) or the microtubule-binding protein CRIPT (postsynaptic).

Direct binding of neurexins to neuroligins has been demonstrated to promote cell-cell interactions, leading to the suggestion that adhesive interactions mediated by PDZ proteins might promote assembly or stabilization of synaptic structure (Missler and Südhof, 1998). The CASK PDZ domain has also been shown to bind to syndecans, which are cell surface proteoglycans implicated in extracellular matrix attachment and growth factor signaling (Cohen et al., 1998; Hsueh et al., 1998). Both, neuroligins and $`\beta `$-neurexins are the cores of well-characterized intracellular protein-protein-interaction cascades. These link neuroligins to components of the postsynaptic signal transduction machinery and $`\beta `$-neurexins to the presynaptic transmitter secretion apparatus. The $`\beta `$-neurexin/neuroligin-1 junction provides an interesting and simple mechanism for retrograde signalling during learning-dependent changes in synaptic connectivity. Indeed, it allows for direct signalling between the postsynaptic nerve cell and the presynaptic transmitter secretion machinery. Neurophysiologists and cognitive neurobiologists have postulated such retrograde signalling as a functional prerequisite for learning processes in the brain.

The organization of membrane domains might also be mediated by the ability of many of these multidomain proteins to promote direct or indirect linkage to cytoskeleton. CASK is tethered to the cortical cytoskeleton by the actin/spectrin-binding protein 4.1 (Cohen et al., 1998; Lue et al., 1995). Interestingly, this interaction is mediated by a conserved module in protein 4.1 know as a FERM domain, which is known to link other proteins to the plasma membrane (Chishti et al., 1998). The third PDZ domain of PSD-95 has been demonstrated to bind to the protein CRIPT, which can recruit PSD-95 to cellular microtubules in a heterologous cell assay (Niethammer et al., 1998). Linkage of these scaffolding proteins to the cytoskeleton might help to stabilize their associated transmembrane proteins within discrete plasma membrane domains.

PDZ-domain-containing proteins create macromolecular signaling complexes at both the pre- and postsynaptic junctions, thus defining the active zone and the postsynaptic density (PSD). Cell-adhesion molecules such as $`\beta `$-neurexin and neuroligin seem to keep CASK and PSD-95, respectively, in register at the pre- and postsynaptic plasma membranes. CASK interacts with two PDZ-domain-containing proteins, Veli and Mint1. The latter binds to the cytoplasmic domain of N-type Ca2+ channels possibly ensuring close proximity between the calcium gates and the exocytotic machinery. Two novel PDZ-domain-containing components of the presynaptic cytoskeletal matrix are Piccolo and Rim, which might be involved in mobilization of synaptic vesicles (SVs) from the reserve to the release-ready pool and in the localization of components of the endo- and exocytotic machinery. At the postsynaptic plasma membrane, PDZ-domain-containing proteins from the PSD-95 family are thought to play a primary role in tethering different glutamate receptors to the postsynaptic cytoskeletal matrix. CRIPT provides a link to microtubules, and cortactin a link to actin. PDZ-domain-containing proteins such as SAP90/PSD-95 and GRIP are also likely to couple glutamate receptors to the Ras signalling at the postsynaptic site.

We have considered the molecular organization of the synapse to reveal the molecular connection between the two neuronal cytoskeletons. It is not surprise that the intrasynaptic $`\beta `$-neurexin/neuroligin-1 adhesion that is central for synapse formation, not only organizes the pre- and postsynaptic architecture but also could mediate interneuronal entanglement. The entangled cytoskeletons then could act as a whole.

## 5 The $`\beta `$-neurexin/neuroligin-1 junction and environmental decoherence

The intraneuronal proteins can be shielded by the actin meshwork that order the intraneuronal water molecules, but what about the synaptic $`\beta `$-neurexin/neuroligin-1 link? Can it be shielded against environmental interfering? After all the living cells extract negentropy from their microenvironment so it is supposed that the order inside the cell is overcompensated with chaos outside it. Indeed the synaptic $`\beta `$-neurexin/neuroligin-1 adhesion could mediate interneuronal entanglement because it is surrounded by synaptic cleft matrix molecules and could be permanently shielded. Such possible mechanism is shielding by glycosaminoglycans (GAGs), which interconnect the two neural membranes, or polysaccharides and intrasynaptic proteoglycans molecules. The chemical synapses are relatively young devices developed in the evolution of the neural system, so they should not be considered as extracellular space, rather be considered as insulated compartment via glial muff, whose function is to ensure interneuronal communication. Thus the synapse is not as extracellular microenvironment, but a specialized intercellular device.

### 5.1 Fucose-galactose bridging of pre- and postsynaptic glycoproteins

Hsieh-Wilson (2001) has provided experimental data confirming the special role of fucose in the brain. Fucose is a simple sugar that is attached to proteins at the synapse and is frequently associated with other sugar molecules. There is some evidence that fucose is important for modulating the transmission of signals between two or more nerve cells. For example, fucose is highly concentrated at the synapse, and repeated nerve-cell firing increases the levels still further. Thus fucose may be involved in learning and memory because disrupting a critical fucose-containing linkage causes amnesia in lab rats. Fucose is often linked to another sugar called galactose. The linkage is created when hydroxyl groups on the two sugars combine and expel a water molecule. Rats given 2-deoxygalactose (which is identical to galactose in all respects except that it lacks the critical hydroxyl group) cannot form this linkage, and develop amnesia because they cannot form the essential fucose-galactose linkage. In another study, rats treated with 2-deoxygalactose were unable to maintain long-term potentiation (LTP), which is a widely used model for learning and memory. Taken together, these experiments strongly suggest that fucose-containing molecules at the synapse may play an important role in learning and memory.

Hsieh-Wilson and colleagues have developed a model that may explain the role of fucose at the synapse. The fucose attached to a protein on the presynaptic membrane can bind to another protein located at the postsynaptic membrane. This stimulates the postsynaptic neuron to make more of the fucose-binding protein, enhancing the cell’s sensitivity to fucose and strengthening the connection. In the quantum brain model proposed here the polysaccharides interconnecting the pre- and postsynaptic glycoproteins can order the water molecules in the vicinity of the $`\beta `$-neurexin/neuroligin-1 complexes, so that interneuronal polysaccharide bridges can create ordered microenvironment necessary for $`\beta `$-neurexin/neuroligin-1 function to entangle the two pre- and postsynaptic cytoskeletons.

### 5.2 Synaptic dystrophin glycoprotein complexes

Localization studies have determined a neuronal distribution of the dystrophin isoform Dp427, being associated with the postsynaptic density. Three full-length dystrophin isoforms have been established, resulting from different promoters, differing only in their N-terminal makeup and their cellular location (Culligan and Ohlendieck, 2002). The backbone of the brain dystrophin-glycoprotein complex (DGC) is the transmembrane link generated by the presence of $`\alpha `$\- and $`\beta `$-dystroglycan (Culligan et al., 2001). These proteins act to form an integral plasmalemmal linkage, localizing dystrophin to the subplasmalemmal region. A proline-rich region at the extreme C-terminus of $`\beta `$-dystroglycan mediates this interaction with dystrophin and cross-linking of brain $`\beta `$-dystroglycan results in the stabilization of a high-molecular mass complex (Culligan et al., 1998). The extracellular matrix component $`\alpha `$-dystroglycan, a 156 kD heavily glycosylated protein interacts with the N-terminal region of $`\beta `$-dystroglycan. The polymorphic cell-surface proteins, $`\alpha `$\- and $`\beta `$-neurexins, have been demonstrated as binding partners for neuronally expressed dystrophin through an interaction with $`\alpha `$-dystroglycan. The interaction links the neuronal postsynaptic membrane through $`\alpha `$-dystroglycan with the presynaptic membrane through the neurexins, mediating cell aggregation (Sugita et al., 2001). So the neurexin/DGC interneuronal connections can suffice to dynamically order water molecules in the vicinity forming a shield for $`\beta `$-neurexin/neuroligin-1 adhesions.

The role of the DGC in synaptic function is further supported by the observation that in $`\frac{1}{3}`$ of the patients affected by Duchenne muscular dystrophy (DMD) there are brain abnormalities, presented in the form of a moderate to severe, nonprogressive mental retardation, are manifest (Mehler, 2000). The abnormality is evident as developmental cognitive and behavioral abnormalities, including deficits in overall and verbal IQ, as well as attention deficits and impaired short-term memory processing (Mehler, 2000; Bresolin et al., 1994).

### 5.3 Synaptic sulfated glycosaminoglycans

Sulfated glycosaminoglycans (GAGs) are linear heteropolysaccharides, which interconnect the pre- and postsynaptic membranes projecting negative charged groups, which can help order the positively charged sodium and potassium ions and repell the chloride ions thus shielding the $`\beta `$-neurexin/neuroligin-1 adhesion. GAGs like fucose are found at the synapse, and are important for proper brain development, and play a critical role in learning and memory (Hsieh-Wilson, 2001). It is believed that, like fucose, GAGs are also involved in establishing connections between nerve cells.

Whereas fucose is a relatively simple sugar, GAGs are complex polymers, having a repeating A-B-A-B-A- structure composed of alternating sugar units. There are several different kinds of GAGs found in nature, and each GAG is characterized by different sugar units. For example, chondroitin sulfate is composed of alternating D-glucuronic acid and N-acetylgalactosamine units.

In the brain D-glucuronic acid may be chemically modified with sulfate (OSO$`{}_{}{}^{}{}_{3}{}^{}`$) groups at either or both of the 2- and 3- positions. Every sugar monomer in the GAG molecule is supposed to be slight axially rotated in respect with the previous one. The sulfate groups itself could project in different directions thus contributing a bulk of negative charges in the vicinity ordering water molecules and positive ions. If the GAGs connecting the two neuronal membranes have proper space localization they can permanently insulate the $`\beta `$-neurexin/neuroligin-1 adhesion.

### 5.4 Synaptic proteoglycans

The chondroitin/keratan sulphate proteoglycans of the nervous tissue may direct the axonal migration. On the other hand, heparan sulphate chains enhance neurite outgrowth, and they also affect the polarity. Extracellular chondroitin sulfate proteoglycans seem to decrease cell-cell and cell-matrix interactions, allowing the cells to round-up, divide, differentiate and migrate in the tissue. The ability of heparan sulphates to bind growth factors are possibly important during the growth of differentiation of nervous cells. Except for their crucial involvement in the development of the neural system architecture the proteoglycans stabilize the synaptic structure and fill the synaptic cleft. Here will be paid attention to two neural proteoglycans: CAT-301 and phosphacan.

The CAT-301 proteoglycan is a developmentally regulated, high molecular chondroitin sulphate proteoglycan found on the extracellular surface of mammalian neurons. It is expressed late in development and although no definitive role has been identified for CAT-301, it is believed to have a role in the stabilisation of synaptic structure. The name derives from the name of the monoclonal antibody originally used to identify it. Disruption of the normal patterns of neuronal activity during the critical early postnatal period by physical or biochemical means results in a large and irreversible reduction in levels of CAT-301. Similar intervention in mature animals has no effect.

Phosphacan (previously designated 3F8 or 6B4) is a chondroitin sulphate proteoglycan that binds to neurons and neural cell-adhesion molecules (Maurel et al., 1994; Maeda et al., 1995; Garwood et al., 1999). Cloning of this proteoglycan showed that it has a high homology with receptor-type protein tyrosine phosphatase, formed by alternative splicing (Maurel et al., 1994; Sakurai et al., 1996). It binds with a high affinity to nervous tissue adhesion molecules Ng-CAM and N-CAM, but not laminin, fibronectin, or collagens. Tyrosine phosphatases function together with tyrosine kinases regulating protein phosphorylation, and they can mediate their actions through signal transduction system of the cell.

## 6 Quantum teleportation between neurons

In the QED-Cavity model of microtubules Mavromatos et al. (2002) show that intraneuronal dissipationless energy transfer and quantum teleportation of coherent quantum states are in principle possible. In the neuron this is achieved between microtubules entangled through MAPs. The $`\beta `$-neurexin/neuroligin-1 entanglement could allow such teleportation to occur between cortical neurons. The entanglement can be used for quantum transfer of tubulin states between neurons; the state of the recipient microtubule then could affect specific intraneuronal processes.

The consciousness is known to be product of the cerebral cortex activity. We can realize or experience something only if there is proper stimulation of certain areas within the brain cortex. In the $`\beta `$-neurexin/neuroligin-1 quantum model of consciousness the interneuronal entanglement is supposed to occur only between cortical neurons. However arises the question why quantum coherence cannot be achieved between subcortical or spinal neurons considering that $`\beta `$-neurexin/neuroligin-1 link is widely presented in the CNS? I suppose that the answer should come from studying the unique molecular synapse structure between the cortical neurons.

## 7 The hands of consciousness

If our conscious mind is in the quantum coherent cytoskeleton then it should have some power to influence the synaptic activity using its free will in a uniform way. This is so because everyone can immediately move his arm, leg etc. or say something. However because nobody can commit to memory at once a poem this means that the conscious thought acts much slower on synaptic plasticity. Such kind of arguments can show us, which brain activities are immediately connected with our free will, or with the possibility of our mind to collapse the wave function (motion) and which brain activities are only influenced by our internal thoughts (memory storage, motor protein dynamics and synaptic plasticity etc.). Of course, we are not consciously aware how exactly both types of activities are acted upon by the cytoskeleton \- our consciousness just does it, it influences directly some of the intracellular processes and has diverse effects in the cortical neurons.

Following our own experience we can say that our consciousness is causally effective and its actions depend on our will. If microtubules just do quantum computing how this could affect the immediate neuromediator release. Stuart Hameroff supposes that microtubules control the axonal hillock potential but do not provide any concrete mechanism for that. It is quite dubious that such exists, because the axonal hillock potential depends on voltage gated ion channels that do open by changes in the membrane potential.

Somehow surprisingly the model including the $`\beta `$-neurexin/neuroligin-1 entanglement not also answers how interneuronal quantum coherence can be achieved, but also gives answer how the synaptic vesicle release can be acted upon. The $`\beta `$-neurexins are essential ligands for synaptotagmin-1, a protein that docks the synaptic vesicles to the presynaptic membrane and acts as a Ca2+-sensor. Thus the conformational states of $`\beta `$-neurexin either directly via synaptotagmin-1 or indirectly via CASK and Mint-1 could control the exocytosis.

The basis of our new understanding of consciousness is that it is a fundamental feature of reality and is something dynamic describable by complex quantum wave born into existence by a conglomerate of entangled proteins: tubulins, MAP-2, $`\beta `$-neurexin, neuroligin, CASK, CRIPT, PSD-95, protein 4.1 etc. In this new model every protein species has its unique intraneuronal function. Thus a fully functional body for the mind is built up.

All intraneuronal processes (synaptic plasticity, memory) are influenced by the protein body of the consciousness: the motor proteins are moving over the microtubules, the $`\beta `$-neurexin/neuroligin-1 adhesion is the core of a new formed synapse, the neuromediator receptors are anchored to and organized by the cytoskeleton, the synapsins are docking the synaptic vesicles to the cytoskeleton, the scaffold proteins drive exocytosis etc. Some of this molecules (kinesin, dynein, neuromediator receptors), different types of vesicles, actin filaments, enzymes etc. are possibly not in coherence with our conscious quantum state, so our consciousness is influencing them not so easy, not so fast, and not by will.

## 8 Quantum tunnelling and neuromediator release

The model proposed by Friedrich Beck and Sir John Eccles (1992) introduces a quantum element into the functioning of the brain through the mechanism of exocytosis, the process by which neurotransmitter molecules contained in synaptic vesicles are expelled into the synaptic cleft from the presynaptic terminal. The arrival of a nerve impulse at an axon terminus does not invariably induce the waiting vesicles to spill their neurotransmitter content into the synapse, as was once thought. Beck argues that empirical work suggests a quantum explanation for the observed probabilistic release, and offers supporting evidence for a trigger model of synaptic action. The proposed model is realized in terms of electron transfer processes mediating conformational change in the presynaptic membrane via tunneling.

Frederick Beck cites the “non-causal logic of quantum mechanics, characterized by the famous von Neumann state reduction” as the reason a quantum mechanism might be relevant to the explanation of consciousness and suggests that probabilistic release at the synaptic cleft may be the point at which quantum logic enters into the determination of brain function in an explanatorily non-trivial manner. He postulates that global activation patterns resulting from non-linear feedback within the neural net might enhance weak signals through stochastic resonance, a process by which inherently weak signals can be discerned even when their amplitudes lie below the level of the ambient background noise. This might allow sufficient leverage to amplify the role of the quantum processes governing synaptic transmission to a level that could be causally efficacious in determining consciousness.

According to Beck the synaptic exocytosis of neurotransmitters is the key regulator in the neuronal network of the neocortex. This is achieved by filtering incoming nerve impulses according to the excitatory or inhibitory status of the synapses. Findings by Jack et al. (1981) inevitably imply an activation barrier, which hinders vesicular docking, opening, and releasing of transmitter molecules at the presynaptic membrane upon excitation by an incoming nerve impulse. Redman (1990) demonstrated in single hippocampal pyramidal cells that the process of exocytosis occurs only with probability generally much smaller than one upon each incoming impulse.

There are principally two ways by which the barrier can be surpassed after excitation of the presynaptic neuron: the classical over-the-barrier thermal activation and quantum through-the-barrier tunneling. The characteristic difference between the two mechanisms is the strong temperature dependence of the former, while the latter is independent of temperature, and only depends on the energies and barrier characteristics involved.

### 8.1 Thermal activation

This leads, according to Arrhenius’ law, to a transfer rate, $`k`$, of

$$kV_C\mathrm{exp}\left[\frac{E_A}{k_BT}\right]$$
(9)
where $`V_C`$ stands for the coupling across the barrier, and $`E_A`$ denotes the activation barrier.

### 8.2 Pure quantum tunnelling

In this case the transfer rate, $`k`$, is determined in a semiclassical approximation by

$$k\omega _0\mathrm{exp}\left[2_a^b\frac{\sqrt{2m(V(q)E)}}{\mathrm{}}𝑑q\right]$$
(10)
where $`m`$ is the mass of the tunneled quantum particle, $`E`$ is the energy of the quantum particle, $`V(q)`$ is the collective potential for the motion of the quasiparticle that triggers exocytosis, $`\omega _0=\frac{E_0}{\mathrm{}}`$ is the number of attempts that the particle undertakes to reach the barrier, and $`E_0`$ is the energy of the quasi-bound tunneling state that is the quantum mechanical zero-point energy of a particle of mass $`m`$ localized over a distance of $`\mathrm{\Delta }q`$. The quantum trigger model for exocytosis developed by Beck and Eccles (1992) is based on the idea of pure quantum tunneling. The reason for this choice lies in the fact that thermal activation is a broadly uncontrolled process, depending mainly on the temperature of the surroundings, while quantum tunneling can be fine-tuned in a rather stable manner by adjusting the energy $`E_0`$ of the quasi-bound state or, equivalently, by regulating the barrier height (the role of the action potential).

A careful study of the energies involved showed that quantum tunneling remains safe from thermal interference only if the tunneling process is of the type of a molecular transition, and not a quantum motion in the macromolecular exocytosis mechanism as a whole. In further work Beck attributed the molecular tunneling to the electron transfer mechanism in biomolecules (Beck, 1996; Beck and Eccles, 2003). The current experimental data however seem to support an exocytosis model in which the transmission rate is dependent on temperature. However if the tunnelling in exocytosis is multidimensional as shown in certain enzymes then it could use the thermal fluctuations - so called vibrationally assisted tunneling.

### 8.3 Mixed quantum tunneling

One of the most outstanding differences between one-dimensional and multidimensional tunnelling is the possibility for mixed tunnelling in the multidimensional case. The mixed tunnelling is such a tunnelling that classical motion is allowed in one or more directions in the multidimensional space. In contrast in the pure tunnelling classical motion is not allowed in any direction. The vibrationally assisted tunnelling in enzymatic action described further in the text is a kind of mixed tunnelling.

It was found that there are three kinds of vibrational modes with respect to the effects of the excitation on tunnelling; 1) those which do not affect the tunnelling, 2) those which promote the tunnelling, and 3) those which suppress the tunnelling. If there is no coupling between the tunnelling coordinate and the coordinate transversal to it, the vibrational excitation in the latter does not affect energy splitting. This corresponds to the first type. When there is a coupling between the two coordinates, it is natural to expect from the analogy with the one-dimensional case that the vibrational excitations promote the tunnelling. However, the experimental findings in tropolone molecules clearly show that the real proton tunnelling is not so simple. This fact nicely exemplifies the complexity of multidimensional tunnelling.

Takada and Nakamura (1995) show that depending on the topography of potential energy surface (PES) vibrational excitation either promote or suppress the tunnelling and that the mixed tunnelling plays an essential role in suppression and oscillation of energy splitting against vibrational excitation. The general Wentzel-Kramers-Brillouin (WKB) theory of multi-dimensional tunnelling developed by Takada and Nakamura (1994, 1995) provides us with a clear conceptual understanding of the multidimensionality. The theory was formulated by solving the following basic problems: (i) construction of the semiclassical eigenfunction in classically allowed region according to the Maslov theory, (ii) its connection to the wave function in the classically inaccessible region, and (iii) propagation of the latter into the deep tunnelling region.

It became clear that there exist two distinct tunnelling regions: $`C`$-region where action is complex and $`I`$-region where action is pure imaginary. Tunnelling in these regions is qualitatively quite different from each other; in the $`I`$-region the tunnelling path can be defined by a certain classical trajectory on the inverted potential, while in the $`C`$-region there is no unique path and the Huygens type wave propagation should be applied.

In the synaptic vesicle release there are involved a number of proteins (SNAP-25, synaptotagmin-1, synaptobrevin-1, $`\beta `$-neurexin, syntaxin-1) and because there is an energy barrier their function can be compared with the enzyme catalytic action. According to Hameroff (1998) the London quantum forces set the pattern for protein dynamics. A year later Basran et al. (1999) have found evidence for vibration driven extreme tunneling for enzymatic proton transfer.

At the beginning of 21$`^{\text{th}}`$ century the Haldane’s notion of “imperfect key” about the biological catalysis in classical over-the-barrier manner is questioned. Sutcliffe and Scrutton (2000a) underline that matter is usually treated as a particle. However it can also be treated as a wave (wave-particle duality). These wavelike properties, which move our conceptual framework into the realm of quantum mechanics, enable matter to pass through regions that would be inaccessible if it were as a particle. In the quantum world, the pathway from reactants to products might not need to pass over the barrier but pass through the barrier by quantum tunnelling. Quantum tunnelling is more pronounced for light particles (e.g. electrons), because the wavelength of a particle is inversely proportional to the square root of the mass of the particle. Electrons can be tunnelled for distance of about 3 nm. Protium can tunnel over a distance of 0.058 nm with the same probability as an electron tunnelling over 2.5 nm. The isotopes of hydrogen - deuterium and tritium have increased mass and tunnel with the same probability over 0.041 nm and 0.034 nm. Klinmann and coworkers were the first to obtain experimental evidence consistent with hydrogen tunnelling in an enzyme-catalyzed reaction on the basis of deviation in kinetic isotope effect from that expected for classical behaviour. Since their proposal of hydrogen tunnelling at physiological temperatures in yeast alcohol dehydrogenase (Cha et al., 1989), they have also demonstrated similar effects in bovine serum amine oxidase (Gant and Klinman, 1989), monoamine oxidase (Johnsson et al., 1994) and glucose oxidase (Kohen et al., 1997). Tunnelling in these systems was described in terms of static barrier depictions.

The pure quantum tunnelling reactions are temperature independent, because thermal activation of the substrate is not required to ascend the potential energy surface. However the rate of C-H and C-D cleavage by methylamine dehydrogenase was found to be strongly dependent on temperature, indicating that thermal activation or “breathing” of the protein molecule is required for catalysis. Moreover, the temperature dependence of the reaction is independent of isotope, reinforcing the idea that protein (and not substrate) dynamics drive the reaction and that tunnelling is from the ground state. Good evidence is now available for vibrationally-assisted (mixed) tunnelling (Bruno and Bialek, 1992; Basran et al., 1999) from studies of the effects of pressure on deuterium isotope effects in yeast alcohol dehydrogenase (Northrop and Cho, 2000). Combining the experimental evidence, the argument for vibrationally-assisted tunnelling is now compelling. The dynamic fluctuations in the protein molecule are likely to compress transiently the width of the potential energy barrier and equalize the vibrational energy levels on the reactant and product site of the barrier (Sutcliffe and Scrutton, 2000b; Scrutton et al., 1999; Kohen and Klinman, 1999). Compression of the barrier reduces the tunnelling distance (thus increasing the probability of the transfer), and equalization of vibrational energy states is a prerequisite for tunnelling to proceed. Following transfer to the product side of the barrier, relaxation from the geometry required for tunnelling traps the hydrogen nucleus by preventing quantum leakage to the reactant side of the barrier.

Catalysis is driven by quantum fluctuations that affect the protein conformations. We could therefore generalize that every protein driven process (transport, muscle contraction, exocytosis) could be referred to as a catalysed process and thus quantum in nature. The most important here is to note that the pure quantum tunnelling is temperature independent. In contrast it seems feasible that proteins have evolved mechanisms to utilize the thermal energy via vibrationally assisted tunnelling. Therefore one might expect exocytosis and neuromediator release to be driven by vibrationally-assisted quantum tunneling and not by pure tunneling as suggested by Beck and Eccles.


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# 1 Introduction

## 1 Introduction

Researches on afterglows from long gamma-ray bursts (GRBs) have shown that they are of cosmological origin. The standard fireball model, which incorporates internal shocks to explain the main bursts and external shocks to account for afterglows, becomes the most popular model (for recent reviews, see van Paradijs et al. 2000). Some GRBs localized by BeppoSAX satellite have implied isotropic energy release of more than $`10^{54}`$ ergs, leading many theorists to deduce that GRB radiation must be highly collimated (Castro-Tirado et al. 1999; Huang 2000; Halpern et al. 2000; Dai & Gou 2001; Dai & Cheng 2001; Gou et al. 2001; Ramirez-Ruiz & Lloyd-Ronning 2002; Zhang & Mészáros 2002).

To differentiate a jet from an isotropic fireball, we must resort to the afterglow light curves. When the bulk Lorentz factor of a jet drops to $`\gamma <1/\theta `$, with $`\theta `$ the half opening angle, the edge of the jet becomes visible, the light curve will steepen by $`t^{3/4}`$. This is called the edge effect (Mészáros & Rees 1999; Panaitescu & Mészáros 1999; Kulkarni et al. 1999). In addition, the lateral expansion of a relativistic jet will make the break even more precipitous. So it is generally believed that afterglows from jetted GRBs are characterized by an obvious break in the light curve at the relativistic stage.

In this talk, we use our refined dynamical model to study the jet effect on the afterglow light curves. The possible existence of cylindrical jets is also discussed.

## 2 Dynamics

The importance of the non-relativistic phase of fireball expansion has been stressed by Huang et al. (1998a, b). In the literature, it is generally believed that the following equation can depict the evolution of GRB remnants,

$$\frac{d\gamma }{dm}=\frac{\gamma ^21}{M},$$
(1)
where $`m`$ is the rest mass of the swept-up medium, $`M`$ is the total mass in the co-moving frame, including internal energy. However, Huang et al. (1999) pointed out that during the non-relativistic phase of an adiabatic expansion, Eq. (1) cannot reproduce the familiar Sedov solution. This is clearly shown in Fig. 1.

Huang et al. (1999) have proposed a refined equation,

$$\frac{d\gamma }{dm}=\frac{\gamma ^21}{M_{\mathrm{ej}}+ϵm+2(1ϵ)\gamma m},$$
(2)
where $`M_{\mathrm{ej}}`$ is the initial baryon mass ejected from the GRB central engine, and $`ϵ`$ is the radiative efficiency. For an adiabatic fireball, $`ϵ=0`$; and for a highly radiative one, $`ϵ=1`$. Huang et al. (1999) have shown that Eq. (2) is correct for both radiative and adiabatic fireballs, and in both ultra-relativistic and non-relativistic phases (c.f. Fig. 1).

Using the refined dynamical model, the evolution of the beamed ejecta can be described by (Huang et al. 2000a, b, c):

$$\frac{dR}{dt}=\beta c\gamma (\gamma +\sqrt{\gamma ^21}),$$
(3)
$$\frac{dm}{dR}=2\pi R^2(1\mathrm{cos}\theta )nm_\mathrm{p},$$
(4)
$$\frac{d\theta }{dt}=\frac{c_\mathrm{s}(\gamma +\sqrt{\gamma ^21})}{R},$$
(5)
$$\frac{d\gamma }{dm}=\frac{\gamma ^21}{M_{\mathrm{ej}}+ϵm+2(1ϵ)\gamma m},$$
(6)
$$c_\mathrm{s}^2=\widehat{\gamma }(\widehat{\gamma }1)(\gamma 1)\frac{1}{1+\widehat{\gamma }(\gamma 1)}c^2,$$
(7)
where $`m_\mathrm{p}`$ is the proton mass, $`c_\mathrm{s}`$ is the co-moving sound speed, $`\widehat{\gamma }(4\gamma +1)/(3\gamma )`$ is the adiabatic index, and $`c`$ is the speed of light. Below we will consider only adiabatic jets, for which $`ϵ0`$.

## 3 Beaming Effects

A strong blastwave will be generated due to the interaction of the jet and the ISM. Synchrotron radiation from the shock accelerated ISM electrons gives birth to afterglows. As usual we assume that the magnetic energy density in the co-moving frame is a fraction $`\xi _\mathrm{B}^2`$ of the total thermal energy density ($`B^2/8\pi =\xi _\mathrm{B}^2e^{}`$), and that electrons carry a fraction $`\xi _\mathrm{e}`$ of the proton energy. This means that the minimum Lorentz factor of the random motion of electrons in the co-moving frame is $`\gamma _{\mathrm{e},\mathrm{min}}=\xi _\mathrm{e}(\gamma 1)m_\mathrm{p}(p2)/[m_\mathrm{e}(p1)]+1`$, where $`p`$ is the index characterizing the power law energy distribution of electrons, and $`m_\mathrm{e}`$ is the electron mass.

For convenience, let us define the following initial values or parameters as a set of “standard” parameters: initial energy per solid angle $`E_0/\mathrm{\Omega }_0=10^{54}`$ ergs/$`4\pi `$, $`\gamma _0=300`$, $`n=1`$ cm-3, $`\xi _\mathrm{B}^2=0.01`$, $`p=2.5`$, $`\xi _\mathrm{e}=0.1`$, $`\theta _0=0.2,\theta _{\mathrm{obs}}=0`$, $`D_\mathrm{L}=10^6`$ kpc, where $`\theta _{\mathrm{obs}}`$ is the angle between the line of sight and the jet axis, and $`D_\mathrm{L}`$ is the luminosity distance.

We have followed the evolution of jetted GRB remnants numerically and calculated their afterglows (Huang et al. 2000a, c). Fig. 2 shows the evolution of $`\gamma `$ for some exemplary jets. We see that the ejecta will cease to be highly relativistic at time $`t10^5`$$`10^6`$ s. This gives strong support to our previous argument that we should be careful in discussing the fireball evolution under the simple assumption of ultra-relativistic limit (Huang et al. 1998a, b, 1999, 2000a, b, c).

Fig. 3 illustrates the effect of $`\xi _\mathrm{e}`$ on the optical (R-band) light curves. In no case could we observe the theoretically predicted light curve steepening (with the break point determined by $`\gamma 1/\theta `$) during the relativistic stage itself. The reason is: at time of $`\gamma 1/\theta `$, the jet is already in its mildly relativistic phase and it will become non-relativistic soon after that, so the break due to the edge effect and the lateral expansion effect does not have time to emerge during the relativistic phase (Huang et al. 2000a, c). Further more, since $`\gamma `$ is no longer much larger than 1, conventional theoretical analyses (under the assumption of $`\gamma 1`$) are not proper. However, when $`\xi _\mathrm{e}`$ is small, an obvious break does appear in the light curve, but it is clearly due to the relativistic-Newtonian transition. The simulations by many other authors do not reveal such breaks, because their models are not appropriate for Newtonian expansion. When $`\xi _\mathrm{e}`$ is large, the break disappears. This is not difficult to understand. According to the analysis in the ultra-relativistic limit, the time that the light curve peaks scales as $`t_\mathrm{m}\xi _\mathrm{e}^{4/3}(\xi _\mathrm{B}^2)^{1/3}`$. Fig. 3 shows this trend qualitatively. In the case of $`\xi _\mathrm{e}=1.0`$, $`t_\mathrm{m}`$ is as large as $`10^5`$ s, then we can not see the initial power law decay (with timing index $`\alpha 1.1`$) in the relativistic phase, it is hidden by the peak. So the break disappears. We should also note that in all cases, light curves during the non-relativistic phase are characterized by quick decays, with $`\alpha 2.1`$. This is quite different from isotropic fireballs, whose light curves steepen only slightly after entering the Newtonian phase (i.e., $`\alpha 1.3`$).

Fig. 4 illustrates the effect of $`\xi _\mathrm{B}^2`$ on the optical light curves. Interestingly but not surprisingly, we see that $`\xi _\mathrm{B}^2`$ has an effect similar to $`\xi _\mathrm{e}`$: for small $`\xi _\mathrm{B}^2`$ values, there are obvious breaks at the relativistic-Newtonian transition points; but for large $`\xi _\mathrm{B}^2`$ values, the break disappears, we could only observe a single steep line with $`\alpha 2.1`$. This is also due to the dependence of $`t_\mathrm{m}`$ on $`\xi _\mathrm{B}^2`$ (Huang et al. 2000c).

We have also investigated the effects of other parameters such as $`\theta _0,n,p`$ on the optical light curves (Huang et al. 2000c). When $`\theta _00.4`$, the light curve becomes very similar to that of an isotropic fireball and no steep break exists. In the case of a dense medium ($`n10^3`$ cm-3), the expansion becomes non-relativistic quickly, so that the break also disappears and we could only observe a quick decay with $`\alpha 2.1`$. But generally speaking, $`p`$ does not affect the break notably.

Optical afterglows from GRB 990123, 990510 are characterized by an obvious break in the light curve, and afterglows from GRB 970228, 980326, 980519, 991208 faded rapidly. We suggest that these phenomena are due to beaming effects. We have fitted these afterglows based on our refined jet model and find that the observations can be reproduced easily with a universal initial half opening angle $`\theta _00.1`$ (Fig. 5). The obvious light curve break in GRB 990123 is due to the relativistic-Newtonian transition of the beamed ejecta, and the rapidly fading afterglows come from synchrotron emissions during the mildly relativistic and non-relativistic phases. We thus strongly suggest that the rapid fading of afterglows currently observed in some GRBs is evidence for beaming in these cases.

## 4 Orphan Afterglows

The concept of orphan afterglows was first clearly proposed by Rhoads (1997), who pointed out that due to relativistic beaming effects, $`\gamma `$-ray radiation from the vast majority of jetted GRBs cannot be observed, but the corresponding late time afterglow emission is less beamed and can safely reach us. These afterglows are called orphan afterglows, which means they are not associated with any detectable GRBs. The ratio of the orphan afterglow rate to the GRB rate might allow measurement of the GRB collimation angle (Totani & Panaitescu 2002). Great expectations have been put on this method (Nakar et al. 2002; Vanden Berk et al. 2002). In fact, the absence of large numbers of orphan afterglows in many surveys has been regarded as evidence that the collimation cannot be extreme (Rhoads 1997; Greiner et al. 1999).

However, there is a difficulty associated with the method (Huang et al. 2002a): there should be many “failed gamma-ray bursts (FGRBs)”, i.e., baryon-contaminated fireballs with initial Lorentz factor $`\gamma _0100`$. BeppoSAX team has reported the discovery of several anomalous events named as fast X-ray transients, X-ray rich GRBs, or even X-ray-GRBs. They resemble usual GRBs except that they are extremely X-ray rich (Frontera et al. 2000). Observational data on this kind of events are being accumulated rapidly. We propose that these events are probably just FGRBs (Huang et al. 2002a). FGRBs cannot be observed in gamma-rays, but their long-lasting afterglows are detectable, thus they will also manifest themselves as orphan afterglows. In short, we cannot omit an important fact: if GRBs are really due to isotropic fireballs, then there should be much more failed GRBs. So, the simple discovery of orphan afterglows does not necessarily indicate that GRBs are beamed (Huang et al. 2002a).

Theoretically, when orphan afterglows are really discovered observationally, it is still risky to conclude that GRBs are beamed. We should study these orphans carefully to determine whether they come from FGRBs or Jetted GRBs. Unfortunately, this is not an easy task. The major problem is that for orphan afterglow observations, the derivation of a $`\mathrm{log}S_\nu `$$`\mathrm{log}t`$ light curve is not direct: we do not know the trigger time so that the exact value of $`t`$ for each observed data point cannot be determined (Huang et al. 2002a).

In Figure 6, we compare the theoretical $`\mathrm{log}S_\nu `$$`\mathrm{log}t`$ light curves of optical afterglows from FGRBs and jetted but off-axis GRBs directly. To investigate the influence of the uncertainty in trigger time, we also shift the light curve of FGRBs by $`t\pm 3`$ d, $`t\pm 10`$ d and $`t\pm 30`$ d intentionally. From the dashed curves, we can see that the shape of the FGRB afterglow light curve is seriously affected by the uncertainty of the trigger time. But fortunately, these dashed curves still differ from the theoretical light curve of the jetted GRB orphan markedly, i.e., they are much flatter at very late stages. This means it is still possible for us to discriminate them. In Figure 7, similar results to Figure 6 are given, but this time the light curve of the jetted GRB orphan is shifted. Again we see that the two kinds of orphans can be discriminated by their late time behaviour.

Figures 6 and 7 explain what we should do when an orphan afterglow is discovered. First, we have to assume a trigger time for it arbitrarily, so that the logarithmic light curve can be plotted. We then need to change the trigger time to many other values to see how the light curve is affected. In all our plots, we should pay special attention to the late time behaviour, which will be less affected by the uncertainty in the trigger time. If the slope tends to be $`1.0`$$`1.3`$, then the orphan afterglow may come from an FGRB event. But if the slope tends to be steeper than $`2.0`$, then it is very likely from a jetted but off-axis GRB (Huang et al. 2002a).

However, we must bear in mind that it is in fact not an easy task. First, to take the process we need to follow the orphan as long as possible, and the simple discovery of an orphan is obviously insufficient. Note that currently optical afterglows from most well-localized GRBs can be observed for only less than 100 days. It is quite unlikely that we can follow an orphan for a period longer than that. Second, since the orphan is usually very faint, errors in the measured magnitudes will seriously prevent us from deriving the slope. Due to all these difficulties, a satisfactory light curve is usually hard to get for most orphans (Huang et al. 2002a). We see that measurement of the GRB beaming angle using orphan searches is not as simple as we originally expected. In fact, it is impractical to some extent (Huang et al. 2002a).

Anyway, there are still some other possible solutions that may help to determine the onset of an orphan afterglow (Huang et al. 2002a). Firstly, of course we should improve our detection limit so that the orphan afterglow could be followed as long as possible. The longer we observe, the more likely that we can get the true late-time light curve slope. Secondly, we know that FGRBs usually manifest themselves as fast X-ray transients or X-ray-GRBs. If an orphan can be identified to associate with such a transient, then it is most likely an FGRB one. In this case, the trigger time can be well determined. Thirdly, maybe in some rare cases we are so lucky that the rising phase of the orphan could be observed. For a jetted GRB orphan the maximum optical flux is usually reached within one or two days and for an FGRB orphan it is even within hours. Then the uncertainty in trigger time is greatly reduced. Additionally, a jetted GRB orphan differs markedly from an FGRB one during the rising phase. The former can be brightened by more than one magnitude in several hours (see Figures 6 — 7), while the brightening of the latter can hardly be observed. So, if an orphan afterglow with a short period of brightening is observed, then it is most likely a jetted GRB orphan. Of course, we should first be certain that it is not a supernova.

Fourthly, valuable clues may come from radio observations. In radio bands, the light curve should be highly variable at early stages due to interstellar medium scintillation, and it will become much smoother at late times. So the variability in radio light curves provides useful information on the trigger time. And fifthly, in the future maybe gravitational wave radiation or neutrino radiation associated with GRBs could be detected due to progresses in technology, then the trigger time of an orphan could be determined directly and accurately. Sixthly, the microlensing effect may be of some help. Since the size of the radiation zone of a jetted GRB orphan is much smaller than that of an FGRB one, they should behave differently when microlensed (Huang et al. 2002a).

Finally, although a successful detection of some orphan afterglows does not directly mean that GRBs be collimated, the negative detection of any orphans can always place both a stringent lower limit on the beaming angle for GRBs and a reasonable upper limit for the rate of FGRBs (Huang et al. 2002a).

## 5 Cylindrical Jets

Nearly all previous discussions on beaming effects in gamma-ray bursts have assumed a conical geometry. However, more and more observations on relativistic jets in radio galaxies, active galactic nuclei, and “microquasars” in the Galaxy have shown that many of these outflows are not conical, but cylindrical, i.e., they maintain constant cross sections at large scales. Thus it is necessary to discuss the possibility that gamma-ray bursts may be due to highly collimated cylindrical jets, not conical ones. In fact, this idea has already been suggested as GRB trigger mechanism by Dar (1998).

Dynamical evolution of cylindrical jets and their afterglows have been discussed in great detail by Cheng et al. (2001). Both analytical and numerical results are presented. It is shown that when the lateral expansion is not taken into account, a cylindrical jet typically remains to be highly relativistic for $`10^8`$$`10^9`$ s. During this relativistic phase, the optical afterglow decays as $`S_\nu t^{p/2}`$ at first. Then the light curve steepens to be $`S_\nu t^{(p+1)/2}`$ due to cooling of electrons. After entering the non-relativistic phase (i.e., $`t10^{11}`$ s), the afterglow is $`S_\nu t^{(5p4)/6}`$. But if the cylindrical jet expands laterally at co-moving sound speed, then the decay becomes $`S_\nu t^p`$ and $`S_\nu t^{(15p21)/10}`$$`t^{(15p20)/10}`$ in the ultra-relativistic and non-relativistic phase respectively. Note that in both cases, the light curve turns flatter after the relativistic-Newtonian transition point, which differs markedly from the behaviour of a conical jet.

It is suggested that some gamma-ray bursts with afterglows decaying as $`t^{1.1}`$$`t^{1.3}`$ may be due to cylindrical jets, not necessarily isotropic fireballs (Huang et al. 2002b).

## 6 Concluding Remarks

We investigate beaming effects in GRBs numerically. It is found that the light curve break of optical afterglows is not obvious within the relativistic phase. But an obvious break can truly be found at the relativistic-Newtonian transition point. Further investigations show that the break is parameter dependent, but afterglows from a jet in the non-relativistic phase are uniformly characterized by a quick decay (such as $`t^2`$). It is also shown that measure of GRB beaming by using orphan afterglow surveys is not as easy as original expectancy.

As for the geometry of GRB beaming, we suggest that the jet could also be cylindrical. Afterglows from cylindrical jets with or without lateral expansion have been discussed. It is shown that those GRBs with a flat afterglow light curve could be well accounted for by a cylindrical jet without lateral expansion.

The most difficult enigma in GRBs is the progenitor. Beaming effects can provide important clues. Other helpful hints may come from X-ray observations (Antonelli et al. 2000).

This work was supported by The Foundation for the Author of National Excellent Doctoral Dissertation of P. R. China (Project No: 200125), the Special Funds for Major State Basic Research Projects, the National Natural Science Foundation of China, and the National 973 Project (NKBRSF G19990754).

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# Dissecting financial markets: Sectors and states

## I Introduction

Thanks to the availability of massive flows of financial data, theoretical insights on financial markets can nowadays be tested to an unprecedented precision in socio-economic systems. This poses a challenge which has attracted natural scientists who have pioneered an empirical approach to financial fluctuations  independent of the econometric approach and often in contrast with the axiomatic approach of theoretical finance .

The empirical evidence depicts financial markets as complex self-organizing critical systems: The statistics of real market returns deviate considerably from the Olympic Gaussian world described by Louis Bachelier at the turn of last century. Rather Mandelbrot  observed that fractal (Levy) statistics gives a closer approximation, even though that is not a satisfactory model. Market returns display scaling, long range volatility correlations and evidence of multiscaling  have also been discussed. Such features evoke the theory of critical phenomena in physics, which explains how quite similar features may emerge from the interaction of many microscopic degrees of freedom and statistical laws. Indeed financial markets are systems of many interacting degrees of freedom (the traders) and there are very good theoretical reasons to expect that they operate rather close to criticality . These expectations have been substantiated by microscopic agent based market models: The picture offered by these synthetic markets is one where speculation drives market to information efficiency – i.e. to a point where market returns are unpredictable. But the point where markets become exactly efficient is the locus of a phase transition. Close to the phase transition the behavior of synthetic markets is characterized by the observed stylized facts – fat tails and long range correlations – whereas far from the critical region the market is well described in terms of random walks (see Ref.  for a non technical discussion).

Work has however been mostly confined on single assets or indices. Recently ensembles of assets and their correlations have become the focus of quite intense interest. On one side the role of random matrix theory has been realized as a tool for understanding how noise dresses financial correlations  how one can undress them , how clustering techniques can help understanding the structure of correlation , and the impact of such consideration on portfolio optimization .

Here we report findings that strongly support the view of a self-organized critical market. We show that long range correlations and scale invariance extends both across assets and, in the behavior of the ensemble of assets, across frequencies. More precisely, we apply a novel parameter free data clustering method  to a large financial data set  in order to uncover the internal structure of correlations both across different assets and across different days. We identify statistically significant classifications of assets in correlated sectors and of daily profiles of market-wide activity in market states. Both the statistics of sector sizes and of state sizes shows scale free properties.

Determining market’s states is an important achievement both theoretically and practically: The concept of a state which codifies all relevant economic informations is the basis of many theoretical models of financial markets. But practically every day traders experience a quite different reality: The market place is flooded with massive flows of information of which it may be hard to say what is relevant and what is irrelevant. It is by no means obvious that something like market states exists at all and even if they exist the problem becomes that of identifying them. Our aim is to give a practical answer to these questions. We shall keep our discussion as simple as possible, relegating technical details in notes and in the appendix.

## II The method and the data set

The data clustering method that we use has been recently proposed in Ref. . In brief, it is based on the simple statistical hypothesis that similar objects have something in common. It is possible to compute the likelihood that a given data set satisfies this hypothesis and hence to look for the most likely cluster structure. A precise definition is given in the appendix and for more details we refer the interested reader to Refs. . Let us only mention that this method overcomes several limitation of traditional data clustering approaches, such as the needs of pre-defining a metric, fixing a priori the number of clusters or tuning the value of other parameters.

The data set covers a period from 1st January 1990 to 30th of April 1999 and it reports daily prices (open, hi, low, close) for $`7679`$ assets traded in the New York Stock Exchange . The number of assets actually traded varies with time. Hence we mainly focus on a subset of the $`2000`$ most actively traded assets (see http://www.sissa.it/dataclustering/fin/ for the detailed list of assets considered, as well as for further informations).

Our goal is to investigate the internal structure of correlations hence we first normalize the raw data  in order to eliminate common trends and patterns both across assets and across different days. This procedure eliminates for example the so-called “market mode”, i.e. the constant correlation of individual asset’s returns with the so-called “market’s return”.

## III Market sectors: Scale free market structure

We first apply data clustering to group assets with a similar economic dynamics in sectors of correlated assets (see appendix). This classification reveals a rich structure. The clusters giving the largest contributions to the log-likelihood clearly emerge from the noisy background in Fig. 1. We find a large overlap with the sectors of economic activity defined by the Standard Industrial Classification (SIC) codes (see caption of Fig. 1). But we also find significant correlations between assets with widely different SIC. This has practical relevance for risk management of large portfolios which cannot be handled all at once. Indeed rather than splitting the problem according to economic sectors (defined by the SIC) it is preferable to use our classification in correlated sectors. The difference of the two classifications is also revealed by a Zipf’s plot of the size of sector against its rank (see inset of Fig. 1). The distribution of correlated sector sizes follows Zipf’s law to a high accuracy, i.e. the number $`𝒩(n)`$ of sectors with more than $`n`$ firms (i.e. of size larger than $`n`$) is inversely proportional to $`n`$. Note that the scale free distribution of sector sizes is not due to an analogous property of fundamentals. Indeed the rank plot of economic sector sizes bends in log-log scale. This suggests that Zipf’s law arises as a dynamical consequence of market interaction.

The scale invariant behavior is robust with respect to the subset of assets taken: The same behavior is found considering the $`1000,2000`$ or $`4000`$ most actively traded assets, in that period or $`443`$ assets in the S&P500 index (see Ref. ). In addition we find, as in Ref. , that the correlation $`c_s`$ inside sector $`s`$ (see appendix) scales with its size $`n_s`$ with a law $`c_sn_s^\gamma `$ with $`\gamma 1.66`$.

We finally remark that this property is not an artifact of the method. Indeed the distribution of eigenvalues of the correlation matrix shows a similar broad distribution, even though that is affected by considerable noise dressing . A factor model which takes into account a large enough number of principal components (corresponding to the largest eigenvalues) reproduces the same features***In our case $`30`$ eigenvalues of the correlation matrix are significantly outside the noise band predicted by Random Matrix Theory . With a correlation matrix which retains the structure of the first $`20`$ principal components (considering the remaining components as uncorrelated noise) we found a quite similar cluster structure..

## IV Market states

Are there well defined patterns of daily market-wide economic performance? In order to answer this question, rather than classifying assets according to their temporal evolution, we can classify days according to the performance of different assets. Fig. 2 implies that, above a noisy background, a meaningful classification of the daily profiles of market activity exists. Clusters of days can be identified with different patterns of market wide activity – or market states. Quite remarkably, the maximum likelihood classification in market states shows scale free features, for large clusters (frequent patterns of market activity). The number of patterns which occur more than $`d`$ days behaves as $`𝒩(d)d^{1.5}`$ for the most frequent patterns (inset top). There is a clear crossover in the plot of cluster’s correlation versus cluster size which distinguishes the meaningful clusters (patterns) from a random noise background (inset bottom).

From a sample of $`2000`$ assets over $`T=2358`$ days we identify $`5`$ different states – characterized by similar profiles of market activity – plus a sixth random state (see Fig. 2). We assign an integer $`\omega (t)`$ between $`1`$ and $`6`$ to each day $`t`$, which is the state which occurred in that day.

We are then in a position to analyze market performance in different states. Fig. 3 shows the (non normalized) average daily returns of different asset in different states. We find that market’s behavior in states 1 and 2 are anti-correlated: Those assets which go up in state 1 go down in state 2, on average. Fig. 3 also shows that assets in the same sector as defined above have a similar behavior. So, for example, while most of the assets go up in state 1 and down in state 2, the cluster of assets of Gold and Silver mining has an opposite behavior. State 3 is clearly characterized by a fall of High-tech companies and a mild rise in the electric sector. An opposite behavior takes place in state 4, whereas state 5 is dominated by the a marked rise of Oil & Gas, and Petroleum refining companies .

These results are remarkably stable with respect to the definition of the time window where the analysis is performed .

### A Predictability and market efficiency

Clustering the market’s dynamics leaves us with the sequence $`\omega (t)`$ of the states of the market in different days $`t=1,\mathrm{},T`$. This allows us to pose interesting questions on predictability and market’s information efficiency.

Let us first ask: Is it possible to predict the state $`\omega ^{}`$ of the market tomorrow, given the state $`\omega `$ of the market today? In order to answer this question we estimate the probability

$`P_1(\omega ^{}|\omega )={\displaystyle \underset{t=1}{\overset{T1}{}}}\delta _{\omega (t),\omega }\delta _{\omega (t+1),\omega ^{}}/{\displaystyle \underset{t=1}{\overset{T1}{}}}\delta _{\omega (t),\omega }`$

of transition from state $`\omega `$ to state $`\omega ^{}`$. It turns out that both the classification in states and the transition matrix $`P_1(\omega ^{}|\omega )`$ are very stable with respect to the definition of the time window . This means that they both vary very slowly in time. Hence we shall neglect their variation in time henceforth.

If the process $`\omega (t)`$ were Markovian, its predictability could be quantified by the characteristic time $`\tau `$ of convergence to the stationary state. This is related to the second largest (in absolute value) eigenvalue $`\lambda `$ of the matrix $`P_1(\omega ^{}|\omega )`$ by $`\tau =1/\mathrm{log}|\lambda |`$. We find $`\tau 0.54`$ days – a value which would occur by chance, if there were no correlations, in one out of $`10^7`$ casesThis conclusion was reached considering the characteristic times $`\tau `$ for symbolic sequences $`\stackrel{~}{\omega }(t)`$ generated by randomly reshuffling days. These times are distributed around $`\tau 0.33`$ with a spread $`\delta \tau 0.04`$. The analysis of the tail of the distribution allows to estimate the likelihood of $`\tau 0.54`$ for the real sequence.. Statistical prediction is possible.

Can we predict market’s returns on the basis of these results? Fig. 3 shows that average returns $`r_i(t)|\omega (t)`$ conditional on the state $`\omega (t)`$ of the market contain non-trivial information. However this information is not available for trading in day $`t`$. But if we know the transition matrix $`P_1(\omega ^{}|\omega )`$ we can estimate the expected return of asset $`i`$ tomorrow given the state $`\omega `$ today:

$`r_i(t+1)|\omega (t)={\displaystyle \underset{\omega ^{}}{}}r_i(t+1)|\omega (t+1)=\omega ^{}P_1(\omega ^{}|\omega (t)).`$

A natural measure of predictability, inspired by works on theoretical models , is the averaged signal-to-noise ratio defined as:

$`H_i(t^{}|t)=\sqrt{{\displaystyle \underset{\omega }{}}\rho _\omega {\displaystyle \frac{\delta r_i(t^{})|\omega (t)=\omega ^2}{\delta r_i^2|\omega }}}`$

where $`\delta r_i(t)=r_i(t)r_i`$ and $`\rho _\omega `$ is the frequency with which state $`\omega `$ occurs. The distribution of $`H_i`$ across assets is shown in Fig. 4 for $`t^{}=t`$, $`t^{}=t+1`$ and $`t^{}=t+\mathrm{}`$. The latter gives a benchmark of the background noise level. We find $`H_i(t|t)H_i(t+\mathrm{}|t)`$ for several assets $`i`$: the knowledge of $`\omega (t)`$ before day $`t`$ provides significant predictive power on excess returns. That same information is much less useful the day after, since $`H(t+1|t)`$ is only slightly above the noise level. This is a further indication that the financial market is close to information efficiency, but not quite unpredictable. In reality the transition matrix $`P_1(\omega ^{}|\omega )`$ changes slowly in time. Hence this conclusion provides an “upper bound” for the market’s predictability (when measured out-of-sample): Real markets are therefore even closer to efficiency.

If $`\omega (t)`$ were a Markov process, the characteristic time $`\tau _k`$ for transitions $`\omega (t)\omega (t+k)`$ over $`k`$ days$`\tau _k`$ is computed in the same way as $`\tau =\tau _1`$ above, from the matrix $`P_k(\omega ^{}|\omega )`$ of transition probabilities $`\omega (t)=\omega \omega (t+k)=\omega ^{}`$ in $`k`$ days. For a Markov process this matrix is the $`k^{\mathrm{th}}`$ power of the matrix $`P_1(\omega ^{}|\omega )`$ and its eigenvalues are given by $`\lambda _k=\lambda _1^k`$. should decrease with $`k`$ as $`\tau _k=\tau _1/k`$. A prediction of the future state of the market, which is significantly better than a random draw, would only be possible on a time horizon of one day, if the process were Markovian. The inset of Fig. 4 shows that $`\tau _k`$ remains significantly above the noise level almost up to $`k100`$ days! This means that $`\omega (t)`$ carries significant information about the future state $`\omega (t+k)`$ of the market, even after $`k50`$ days. The slow decay of $`\tau _k`$ is a further signature of the presence of long range correlations.

During the period we have studied, two major extreme events occurs: the 27 October 1997 and the 31 August 1998 crashes. The state process $`\omega (t)`$ is different before the crash, but is quite similar after it. The strings of states, starting from the day of the crash, read $`2136613611\mathrm{}`$ and $`2126614633\mathrm{}`$ in the two cases. This is a significant similarity§§§Only two other string of the type $`21x661`$ occurred in the process but the starting days were Fridays (90/04/27 and 90/05/25) and not Mondays. Note furthermore that normalization  removes the collective component of the dynamics and it ensures that crash days appear with the same weight as normal days in the analysis.. This suggests the existence of a particular dynamical pattern with which markets respond to extreme events (see also Ref.  on this).

## V Conclusion and outlook

In conclusion we show that both the horizontal clustering of assets in correlated sectors and the vertical classification of market-wide economic performance in market states, reveal a scale free structure (see Figs. 1, 2). The emergent picture poses quite severe constraints on multi-asset agent based modeling, which we believe will disclose important information on how real markets work. This expectation is based on the fact that scale-free statistical behavior is a signature of interaction mechanisms which is rather insensitive to microscopic details.

Furthermore, the identification of market states allows us to precisely quantify informational efficiency by computing the market’s predictability, thereby establishing a direct contact between the empirical world and the realm of theoretical models. In particular we find that, as expected, markets are close to information efficiency.

We find that correlated sectors have a large overlap with sectors of economic activity. In the same way, it would be interesting to understand how states are correlated with economic information and the news arrival process.

In a wider context, we have discussed an unsupervised approach to the study of a complex system. Be it a stock market, the world economy, urban traffic network, a cell of a living organism or the immune system, the complex system can be considered as a black box. We show how a series of simultaneous measures in many different “points” of the system allows one to identify its parts and its states.

A black box approach to a financial market or to a cell, which neglects all of economics and finance or of biology and genetics and relies only on empirical data, may lead to misleading results specially if the data set is incomplete. Still, we believe, it has the potential of uncovering collective aspects which can hardly be derived in a theoretical bottom-up approach.

## A Maximum likelihood data clustering

Consider a set of $`N`$ objects each of which is defined in terms of $`D`$ measurable features, so that each object is represented by a vector $`\stackrel{}{\xi }_iR^D`$, $`i=1,\mathrm{},N`$. We assume for simplicity that data are normalized: $`\stackrel{}{\xi }_i\stackrel{}{e}=0`$ where $`\stackrel{}{e}=(1,1,\mathrm{},1)`$ and $`\xi _i^2=\stackrel{}{\xi }_i\stackrel{}{\xi }_i=1`$.

In our case, when identifying sectors, the objects are assets and $`N=A`$, the number of assets. Their features are the daily returns in each day $`t`$ and $`D=T`$. The $`t^{\mathrm{th}}`$ component of $`\stackrel{}{\xi }_i`$ is $`x_i(t)/\sqrt{T}`$. When identifying states instead objects are days and features are assets (i.e. $`N=T`$ and $`D=A`$). The $`i^{\mathrm{th}}`$ component of $`\stackrel{}{\xi }_t`$ is $`x_i(t)/\sqrt{A}`$.

The problem of classifying $`N`$ objects into different classes goes under the name of data clustering. Naively one would like to have similar objects classified in the same cluster, but in practice one faces a number of problems: What does it mean similar? What is the “right” number of clusters? Which principle to follow? We resort to a recent data clustering technique  based on the maximum likelihood principle and a simple statistical hypothesis: similar objects have something in common. In mathematical terms, we let $`s_i`$ be the label of the cluster to which object $`i`$ belongs, and $`A_s=\{i:s_i=s\}`$ be the set of objects with $`s_i=s`$. We assume that

$$\stackrel{}{\xi }_i=g_{s_i}\stackrel{}{\eta }_{s_i}+\sqrt{1g_{s_i}^2}\stackrel{}{ϵ}_i.$$
(A1)
Here $`\stackrel{}{\eta }_s`$ denoted the common component shared by all objects $`iA_s`$ and $`g_s0`$ weights the common component against the individual one $`\stackrel{}{ϵ}_i`$. Eq. (A1) is the statistical hypothesis where $`g_s`$ and $`s_i`$ are the parameters to be fitted. Assuming further that both $`\stackrel{}{\eta }_s`$ and $`\stackrel{}{ϵ}_i`$ are Gaussian vectors in $`R^D`$, with zero average and unit variance ($`E[\eta _s^2]=E[ϵ_i^2]=1`$) makes it possible to compute the likelihood of the parameters $`𝒢=\{g_s\}`$ and $`𝒮=\{s_i\}`$ (see Ref.  for details). The likelihood is maximal when

$$g_s=\sqrt{\mathrm{max}[0,\frac{c_sn_s}{n_s^2n_s}]}$$
(A2)
where $`n_s=|A_s|`$ is the number of objects in cluster $`s`$ and

$`c_s={\displaystyle \underset{i,jA_s}{}}\stackrel{}{\xi }_i\stackrel{}{\xi }_j`$

is the total correlation inside cluster $`s`$. The maximum log-likelihood per feature takes the form

$`_c(𝒮)={\displaystyle \frac{1}{2}}{\displaystyle \underset{s:n_s>1}{}}\mathrm{max}[0,\mathrm{log}{\displaystyle \frac{n_s}{c_s}}+(n_s1)\mathrm{log}{\displaystyle \frac{n_s^2n_s}{n_s^2c_s}}].`$

Note that a cluster with a single isolated object ($`n_s=c_s=1`$), or a cluster of uncorrelated objects ($`c_s=n_s`$) gives a vanishing contribution to the log-likelihood.

Several algorithms for finding an approximate maximum of $`_c`$ over the space of cluster structures $`𝒮`$ have been discussed in Ref. . We used both hierarchical clustering and simulated annealing algorithms, which yield quite similar results (the codes are available on the Internet ).

Figures 1 and 2 are a graphic representation of the hierarchical clustering algorithm: It starts from $`N`$ clusters composed of a single object and it produces a sequence of cluster structures. At each iteration, two clusters of the configurations with $`K`$ clusters are merged so that the log-likelihood of the resulting configuration with $`K1`$ clusters is maximal. This procedure starts with $`K=N`$ and it stops with $`K=1`$, when a single cluster is formed. The log-likelihood of the cluster structure is $`_c=0`$ when $`K=N`$, it decreases with $`K`$ and it reaches a minimum for an intermediate value of $`K`$. Then it increases again and reaches $`_c=0`$ when $`K=1`$, because of data normalization.

The graphs report the log-likelihood of each cluster on the $`y`$ axis. The initial configuration corresponds to $`N`$ points aligned on the $`x`$ axis (zero log-likelihood). Each merge operation is represented graphically by a link between the merging clusters and the new cluster. Hence as the log-likelihood decreases structures above the $`x`$ axis start to form. Red links are merging steps which increase the log-likelihood. Blue links corresponds to situation where the log-likelihood of the union of the clusters is larger than that of each part but it is smaller than their sum (hence the total log-likelihood decreases). Hence statistically relevant clusters appear as the large red structures in the plot.