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# Catching NGC 4051 in the low state with Chandra

## 1 Introduction

NGC 4051 is a nearby ($`z=0.0023`$), low luminosity ($`L_{\mathrm{X}\mathrm{ray}}3\times 10^{41}`$ erg s-1) AGN, optically classified as a narrow-line Seyfert 1 (NLS1). In common with other members of the NLS1 class, and following the well-known anti-correlation of X-ray variability amplitude with luminosity (e.g. Green, McHardy & Lehto 1993; Nandra et al. 1997), NGC 4051 typically shows large amplitude X-ray variability on short time-scales (e.g. Lamer et al. 2003; McHardy et al., in prep.). In the medium X-ray band (2-10 keV), the X-ray continuum slope is well-correlated with flux, with photon index ($`\mathrm{\Gamma }`$) increasing from $`\mathrm{\Gamma }1.6`$ to 2.4 over a factor $`7`$ increase in observed flux (Lamer et al., 2003). Flux variations in the EUV and 2-10 keV bands are also very well-correlated (Uttley et al., 2000a), but a recent Chandra High Energy Transmission Grating (HETG) observation of NGC 4051 (Collinge et al., 2001) suggests this result is due to a correlation between the X-ray power-law continuum and a ‘soft excess’ which dominates in the soft X-ray band, rather than variations in the X-ray power-law alone.

Besides the short-term X-ray variability, NGC 4051 also shows long-time-scale flux changes, as revealed by monitoring with the Rossi X-ray Timing Explorer (RXTE). In particular, on two occasions - in 1998 and later in 1999 - NGC 4051 appeared to enter a distinct, prolonged low-flux state which lasted 5 and 3 months respectively (Uttley et al., 1999, 2000b), during which the absolute amplitude of X-ray variability was much smaller than the large amplitude variations normally seen. The X-ray spectrum of NGC 4051 during this ‘low state’, was measured simultaneously by BeppoSAX and RXTE in May 1998 (Guainazzi et al., 1998; Uttley et al., 1999) and found to be extremely hard ($`\mathrm{\Gamma }0.8`$) above $`4`$ keV, also showing a prominent ($`EW1`$ keV) iron K$`\alpha `$ line. Below 4 keV, the spectrum was found to be extremely soft (with a power-law fit giving $`\mathrm{\Gamma }3`$). Flux variability in either the soft or hard band was not detected during these $``$day-long observations. The natural interpretation of the low state was that the central X-ray source had somehow switched off, revealing the hard spectrum and prominent fluorescent iron K$`\alpha `$ line expected from distant ($`>5`$ light-months) cold material, possibly the molecular torus, which did not have time to respond to the long-term change in flux (Guainazzi et al., 1998; Uttley et al., 1999). The soft X-rays might also correspond to some extended component, a view supported by a claim by Singh (1999) that ROSAT HRI observations of NGC 4051 showed evidence for extended ($`10`$ arcsec) soft X-ray emission, of a comparable flux to that observed during the low state.

The hypothesis that the low states in NGC 4051 represent some physically distinct behaviour of the AGN, possibly with the central X-ray source switching off, rather than merely a low-flux epoch associated with the same variability processes which produce the short-term variability, is supported by optical monitoring observations. Peterson et al. (2000) have shown that during the 1998 low state, the variable component of the He II 4686Å emission line seems to disappear while H$`\beta `$ remains strongly variable, implying that the variable component of the ionizing continuum above $`54`$ eV disappears during the low state, possibly due to the transition of the inner accretion disk to a radiatively inefficient advectively dominated accretion flow (ADAF).

In order to test models for the origin of the low states in NGC 4051, we were awarded a 50 ks target of opportunity observation (TOO) using the ACIS-S instrument on Chandra, to measure the continuum spectral shape of the primary X-ray source spectrum over a broad band, and disentangle the soft continuum of the central source from any extended soft emission. NGC 4051 entered into a low state of $`2`$ months duration in January 2001, and was observed by Chandra in early February, as described below.

## 2 Observation, data reduction and analysis

The Chandra TOO of NGC 4051 was triggered using data from our continuing long-term monitoring observations of NGC 4051 with RXTE (Fig. 1). In late 2000, NGC 4051 showed a decline in long-term average X-ray flux over several months, before entering a prolonged low-flux state around 2001 Jan 10.

### 2.1 Data reduction

Chandra successfully observed NGC 4051 on 2001 Feb 6 06:24:59-20:55:58 UT, for a total useful exposure of $`46`$ ksec with the spectroscopic array of the ACIS instrument (ACIS-S) without any transmission grating in place. The source was located on the back-illuminated chip (S3) and offset by the standard 20″ from the default on-axis location to avoid a node boundary (see the Chandra Proposers Observatory Guide \[POG\]). We chose a 1/8 subarray mode with 0.43 s frametime to mitigate pile-up effects, resulting in a 1′ x 8′ image. The analysis of the data was performed using standard CIAO tools (version 2.2.1). We regenerated the level 2 event file corrected with the latest gain and aspect data. We extracted the spectrum of the source from a 12 pixels radius ( 6″) circular aperture, to yield a total of 57760 counts. Assuming the empirical spectral model which we use later (Section 4.1), we estimate from Web-PIMMS a pileup fraction of $`14`$%. The background spectrum was extracted from a 7000 pix2 rectangular region, away from the target and containing no obvious sources. Because the ACIS QE degradation111http://cxc.harvard.edu/cal/Acis/Cal\_prods/qeDeg/index.html affects our data, we used the ‘corrarf’ code provided by the Chandra X-ray Center to correct all the effective areas used in our spectral analysis. Throughout the paper, we use XSPEC v11.0.1 to carry out spectral fits.

### 2.2 Extended emission in the Chandra image

To detect any possible weak X-ray extended emission, we extracted and smoothed the image of the source and compared it with a simulated Chandra PSF calculated with ChaRT222http://cxc.harvard.edu/chart at the exact location of the source (assuming our best fitting empirical spectral model described later in Section 4.1). The observed and simulated images are shown in Fig. 2. Fitting the azimuthally averaged source radial profile with the simulated PSF radial profile indicates only weak extended emission in the SE direction out to 20″. Details of nearby source detections and further imaging analysis will be presented in a forthcoming paper (Fruscione et al. in preparation), so we do not carry out any detailed analysis of extended emission here. However, we note that excluding the readout streak, we find 796 counts in the annular region 12-25 pixels (6″-12.5″) from the central source, which is dominated by the central PSF so that any extended emission contributes $`<1`$% of the total observed counts, and is intrinsically very weak (i.e. much weaker than the component claimed by Singh 1999). This result strengthens the finding of Collinge et al. (2001), based on the zeroth order HETG grating image, that there is no significant extended soft X-ray emission in NGC 4051, and implies that the central source spectrum we extract is dominated by nuclear emission and not contaminated by any extended component.

## 3 Broadband spectral shape and lightcurves

To demonstrate the broadband shape of the Chandra 2001 low state spectrum relative to different power-law slopes, we first plot an unfolded spectrum (Fig. 3) fitted to a simple absorbed power law of fixed photon index $`\mathrm{\Gamma }=1`$ and Galactic absorbing column, $`N_\mathrm{H}=1.31\times 10^{20}`$ (from Elvis, Lockman & Wilkes 1989). The $`\mathrm{\Gamma }=1`$ power-law model is plotted as a dashed line and for comparison we plot a steep power law model ($`\mathrm{\Gamma }=3`$) as a dotted line. We also plot the model of a reflection spectrum (including iron K$`\alpha `$ line) that provided a good fit to the 1998 May low state spectrum above 4 keV (Uttley et al., 1999). Note that although unfolded X-ray spectra are always model-dependent, that dependence is weak for broadband continuum models of the type we plot here, so that in the 0.5-10 keV range the unfolded data relative to all three models is almost identical. Therefore the unfolded observed spectrum is a good representation of the true continuum shape. Clearly the 2001 low state spectrum has the same ‘hybrid’ form of a very hard component above a few keV, and a soft component at low energies, as seen in the 1998 low state. However, the normalization of the hard component is a factor $`5`$ greater than in 1998 May, suggesting that the primary continuum itself is intrinsically hard.

In Fig. 4 we show the Chandra lightcurves in soft (0.3-2 keV) and hard (3-10 keV) bands, together with the corresponding hardness ratio. Clearly the soft and hard lightcurves are well correlated (CCF analysis shows any lag must be less than $`1`$ ks), but the hard band is significantly more variable than the soft band (hard band fractional rms 29% versus 16% in the soft band), so that the broadband continuum becomes harder with increasing flux. The large-amplitude continuum variations in the hard band confirm that we are seeing the primary continuum during the 2001 low state, and not simply emission from a distant reflector.

## 4 Spectral fits and comparison with previous observations

The shape of the broadband spectrum of NGC 4051 in the low state is clearly an unusual hybrid of an extremely hard component above a few keV and a prominent soft excess at lower energies. We can confirm that this unusual shape is not caused by pileup effects (which would redistribute low energy photons to higher energies and so harden the spectrum) by comparing the spectrum with a spectrum extracted from only the wings of the PSF (excluding counts from a circle of 1.5” diameter centred on the source). In Fig. 5 we plot the ratio of the total spectrum and PSF wing spectrum to the same simple power-law (renormalized by 0.223, the ratio of counts in the two spectra, to fit the PSF wing spectrum). The effect of pileup is to harden the soft component of the spectrum somewhat, but the discrepancy is small, consistent with the estimated pileup fraction of 14%, and should not affect the broad interpretation of the spectral shape, although we should be cautious about assigning too much significance to the specific spectral models and parameters which we fit. With this caveat in mind, we proceed with more detailed spectral fits to empirically describe the spectral shape and variability. Unless otherwise stated, fits to the broadband Chandra spectrum are carried out to data in the 0.5-10 keV range, in order to mitigate effects of pileup and uncertainties in calibration below 0.5 keV.

### 4.1 An empirical model for the low state spectrum

The 2001 February low state spectrum in the 3-10 keV band can be well-fitted (reduced $`\chi ^2`$, $`\chi _\nu ^2=1.06`$ for 259 degrees of freedom) with a hard power law ($`\mathrm{\Gamma }=0.54\pm 0.05`$) plus an unresolved Gaussian at 6.4 keV, with equivalent width $`130\pm 30`$ eV (absolute line flux $`(1.26\pm 0.3)\times 10^5`$ photon cm-2 s-1). Below 3 keV, the spectrum is complex (as is apparent in Fig. 3), probably due to a combination of emission/absorption features, slight pileup effects on high $`S/N`$ data and possibly an intrinsically unusual continuum shape. Therefore we cannot obtain a good overall spectral fit with any model we have attempted. However we obtain a simple approximation to the broadband spectral shape ($`\chi _\nu ^2=1.56`$ for 424 degrees of freedom) by fitting a blackbody plus power law, together with an absorption edge at 0.7 keV (optical depth $`\tau =0.63`$) and an unresolved emission line at 0.89 keV (these features likely correspond to the 0.74 keV Ovii edge and 0.91 keV Neix emission line reported by Collinge et al. 2001). The best-fitting flux for the 0.89 keV line feature is $`2.5\times 10^5`$ photon cm-2 s-1, consistent with that observed by Collinge et al. (2001). The best-fitting blackbody and power law parameters are shown in Table 1 (together with hard and soft-band fluxes) and the data, model and data/model ratio are plotted in Fig. 6. Note that due to the statistically poor fit, we cannot quote meaningful errors on the fit parameters. The observed fluxes correspond to luminosities of $`3\times 10^{40}`$ erg s-1 and $`8\times 10^{40}`$ erg s-1 in the 0.5-2 keV and 2-10 keV bands respectively (assuming $`H_0=70`$ km s-1 Mpc-1).

The power law plus blackbody combination leads to a steeper power law than obtained when fitting only above 3 keV, but residuals above 5 keV suggest that the model underestimates the hard flux, implying that some spectral curvature may be present or some additional spectral complexity at hard energies (Section 4.3). Replacing the blackbody with a steep power law does not worsen the fit, ($`\chi _\nu ^2`$ remains at 1.56 for a best-fitting power-law photon index $`\mathrm{\Gamma }=3.4`$) . Extending the fitted spectral range to lower energies (0.4 keV) shows an apparent flattening of the continuum around 0.5 keV which can be replicated by the blackbody fit but not the soft power law, although we cannot be certain that this flattening is not due to pile-up effects. However, (Collinge et al., 2001) also find that the soft excess observed in the ‘normal’ state rolls over at low energies and is more consistent with a blackbody than a power law, so we continue with the assumption that a blackbody provides a good approximation to the soft excess in the low state.

All the simple models we have fitted to the broadband spectrum leave residuals above the model at energies $`>5`$ keV (see Fig. 6). It is likely then that our power-law model for the continuum at harder energies is incorrect. One possibility is that significant reflection is present in the spectrum, leading to apparent upwards curvature towards hard energies. To test this possibility, we included a reflection component in the model. We used the pexrav model in xspec (Magdziarz & Zdziarski, 1995), assuming solar abundances and fixing inclination at 30 and power-law cutoff energy at 100 keV although note that these latter two parameters do not affect substantially the results of the fit. First, we assumed that the direct power-law continuum included in the observation is the primary continuum to be reflected (i.e. the reflection responds to the change in continuum flux and $`\mathrm{\Gamma }`$ in the low state). The fit is improved substantially ($`\chi _\nu ^2`$=1.42 for 424 d.o.f.), with the residuals at high energies being significantly reduced, as expected. The best-fitting photon index is still quite hard $`\mathrm{\Gamma }=1.36`$, but the covering factor of the reflector is $`R7`$, and this number cannot be substantially reduced without worsening the quality of the fit333Because the fit is still not formally acceptable, no meaningful standard errors can be given. However we note that a reduction of covering factor to the value of 1.0 expected for a $`2\pi `$ steradian sky coverage of the reflector (as seen from the continuum source), results in $`\mathrm{\Delta }\chi ^2=55`$..

Such a large covering factor of reflection might be expected if the reflector is distant (and hence is still illuminated by the normal state continuum), for example, if the reflector corresponds to the possible pure reflection spectrum observed in the May 1998 low state, which could originate from cold material light months or light years from the continuum source (Guainazzi et al. 1998,Uttley et al. 1999). Therefore, we kept the direct primary continuum slope free and fixed the illuminating continuum slope and normalisation at 1 keV to $`\mathrm{\Gamma }=2.3`$, $`A=0.01`$ photon cm-1 s-1 keV-1 respectively, to match those in the reflection model used to fit the 1998 May RXTE PCA plus BeppoSAX MECS spectra (Uttley et al., 1999), to see if that model might explain the residuals seen at hard energies in the 2001 Feb Chandra spectrum. With $`\chi _\nu ^2`$=1.52 for 425 d.o.f. (for observed primary continuum $`\mathrm{\Gamma }=1.49`$), the best fit is worse than the previous fit obtained by forcing the illuminating continuum to be identical to the direct primary continuum. Furthermore, the fit requires a covering factor $`R=3.3`$, compared to $`R=1`$ which was used to fit the 1998 May spectrum. Since we fixed the normalisation of the illuminating continuum to that fitted to the 1998 May spectrum, a larger covering factor might correspond to a greater time-averaged (over months) illuminating continuum flux prior to the 2001 low state. However in that case we would also expect a comparably larger 6.4 keV narrow line flux which we do not observe. Therefore the high energy residuals from the power law cannot be self-consistently explained by the presence of a reflection spectrum from a distant reflector. Due to the difficult physical interpretation of any reflection model, we will continue to use a simple power law in our fits to the broadband Chandra spectrum, as an approximate representation of the hard spectral component.

### 4.2 Broadband spectral variability within the low state

We can split the Chandra observation into two halves of exposure $`20`$ ks and $`26`$ ks respectively, corresponding to the low and high-flux epochs seen in the lightcurves in Fig. 4 (the split is denoted by a dotted line in the Figure), in order to examine spectral variability in more detail. Fitting the simple empirical (no reflection) model used to fit the spectrum of the whole observation, we find that only the relative normalizations of the black body and power-law components change markedly, with blackbody and power law normalization increasing by 28% and 68% respectively between low and high flux epochs, while the black body temperature, power-law slope, edge depth and line fluxes do not change noticably. The fit is not particularly good however ($`\chi _\nu ^2`$=1.54 for 643 d.o.f.), partly due to the presence of positive residuals at high energies. The relatively small variation in the flux of the soft spectral component compared to the hard component is as expected considering the lower variability seen in the soft band (Fig. 4).

We can also use the low and high-flux data obtained during the low state to further test whether a constant reflection component from a distant reflector could be present in the spectrum. We applied the same fixed reflection model (i.e. assuming May 1998 parameters) as used in Section 4.1, fixing the covering factors to be the same in both low and high flux spectra (so the reflected component flux is constant). The best-fitting model again produced a better fit than the empirical power-law model described above ($`\chi _\nu ^2`$=1.31 for 641 d.o.f.), but requires $`R4`$. Furthermore, the model requires the direct power-law continuum to be steeper at low fluxes than at high fluxes ($`\mathrm{\Gamma }=2.4`$ versus $`\mathrm{\Gamma }=1.5`$), contrary to the result of Taylor et al. (2003) that the varying spectral component hardens as flux decreases in NGC 4051, due to spectral pivoting. Again, errors cannot be well defined as the fit is still not formally acceptable, but if we force the low-flux direct continuum to be flatter or the same as the high-flux direct continuum, we obtain a best fit for for the identical slope case (for $`\mathrm{\Gamma }=1.08`$), but the fit is significantly worse than when the slopes are left free ($`\chi _\nu ^2`$=1.42 for 641 d.o.f.). The observed broadband spectral variability is therefore inconsistent with the presence of a constant reflection component from a distant reflector, of a magnitude which can explain the hard residuals. We stress however that a much weaker reflection component (comparable to that observed in May 1998) may be present, but it does not contribute signficantly to the hard continuum spectral shape.

### 4.3 Spectral shape above 3 keV

Although a simple power law plus Gaussian model provides a good fit to the 3-10 keV Chandra spectrum (Section 4.1), the fitted power law is extremely hard ($`\mathrm{\Gamma }0.5`$). As noted in the preceding Sections, combined black body plus power law fits to the 0.5-10 keV spectrum favour a steeper (and perhaps more plausible) photon index of $`\mathrm{\Gamma }0.9`$, but show significant residuals at energies above 5 keV (Fig. 6). As shown in the previous Sections, these hard residuals in the broadband fits cannot be simply explained by including a constant reflection component as expected from a distant reflector. It might be argued that the model is incorrect at softer energies, e.g. if the soft component is in fact harder than the assumed black body, then the fitted slope of the hard power law component would steepen to compensate, resulting in an underprediction of the flux at harder energies. Due to the complexity of the spectral shape at soft energies and the expected distortion of the spectrum due to pile-up, we cannot easily determine the best model for the soft spectral component. Therefore, to take into account the possibility of biases in the spectral fitting due to an incorrectly modelled soft spectrum, we now investigate the spectral shape in the 3-10 keV range, ignoring the data at lower energies.

We first test the constant reflection model fitted to the broadband low and high flux spectra in Section 4.2 (direct continuum $`\mathrm{\Gamma }`$ allowed to be free, we do not include the soft spectral components: black body, edge and soft Gaussian in the fit). We find an acceptable fit ($`\chi _\nu ^2=0.98`$ for 329 d.o.f.), and hence can determine meaningful confidence limits on the fit parameters. We confirm the result of the broadband fits that the hard spectral shape cannot be largely due to reflection from a distant reflector, finding a 99% confidence upper limit on covering factor $`R<1.7`$ and corresponding upper limits on low and high-flux direct continuum slopes of $`\mathrm{\Gamma }=0.72`$ and $`\mathrm{\Gamma }=0.6`$ respectively, i.e. the varying continuum must itself be intrinsically hard.

An alternative possibility to explain the hard spectral shape is that it may be associated with strong disk reflection from close to the central black hole, which is boosted by gravitational light bending effects (e.g. Fabian & Vaughan 2003). In this scenario, the shape of at least some part of the hard residuals in the broadband fits above 5 keV may be caused by unmodelled emission in the form of a prominent broad iron line and the reflection component associated with it. To test this possibility, we first investigated the spectrum at higher energies using data from RXTE, which has a greater collecting area and hence greater sensitivity to broad line features than Chandra. We combined RXTE PCA data from PCU2 (which is continuously switched on), from all observations between 2001 January 10 and 2001 February 23, using standard reduction techniques and selection criteria (e.g. Lamer et al. 2003). The resulting 3-15 keV spectrum shows a prominent feature at $`6`$ keV, which may be a strong broad diskline. In order to test whether such a broad line feature might be present in the Chandra spectrum (but is not obvious due to its broadness combined with the low $`S/N`$ at high energies) we have attempted to fit both the Chandra 3-10 keV spectra and RXTE 3-15 keV PCA spectra with the same model of a power law, plus narrow Gaussian (adopting the best-fitting line flux from Table 1) plus Laor diskline (for a maximally rotating black hole, Laor 1991). We fix the diskline parameters to be the same in both Chandra and RXTE fits, but allow the power law normalization to vary between the fits. We allow the power law normalization to vary to account for the different fluxes observed during the Chandra and combined RXTE observations. We caution that since the source flux is particularly low, systematic errors in the RXTE PCA spectrum may arise due to uncertainties in the background model (e.g. see Lamer, Uttley & McHardy 2000). Therefore, the fit we obtain should be taken as merely indicative of whether or not a broad diskline-like feature could plausibly be present in the Chandra spectrum, rather than an attempt to fit a realistic model (in this context, we further note that a simple power-law is used to approximate what may in fact be a reflection-dominated continuum).

The data and best-fitting models for both spectra are plotted in Fig. 7. A reasonable fit is obtained to both spectra (combined $`\chi _\nu ^2=1.13`$ for 282 degrees of freedom) for a model with power law slope $`\mathrm{\Gamma }=0.8`$ and prominent diskline flux of $`7\times 10^5`$ photon cm-2 s-1 (corresponding to line equivalent widths of 1 keV and 1.6 keV in the Chandra and RXTE spectra respectively), for line energy $`E_{\mathrm{disk}}=6.9`$ keV, emissivity index $`\beta =2.8`$, a fixed disk inclination angle $`30^{}`$ and inner and outer emitting radii of 1.23 and 33 gravitational radii respectively. The fit shows that the prominent broad diskline-like feature seen in the RXTE spectrum could be present in the Chandra spectrum, and this feature may be the cause of some of the high-energy residuals observed in the broadband spectral fit.

Some positive high energy residuals remain in the Chandra spectrum however, and in the opposite sense to those in the RXTE spectrum. It is likely that at hard energies, the RXTE PCA spectrum may be significantly affected by uncertainties in the background model, so we next only fit the Chandra 3-10 keV data with a diskline including an additional reflection component to explain the hard continuum shape in a self-consistent way. We freeze the diskline parameters at those values obtained in the previous fit to the RXTE and Chandra spectra, and also include a reflection component tied to the direct power-law continuum shape. The strength of the reflection component is not well constrained (due to the degeneracy with the hard power law continuum which is required). However, we note that a covering factor $`R=3`$ (for $`\mathrm{\Gamma }=1.08`$) is formally acceptable ($`\chi _\nu ^2=1.12`$ for 260 degrees of freedom) and consistent with the large equivalent width of the diskline ($`EW930`$ eV).

### 4.4 Comparison with previous observations

The broadband continuum shape of the extended low state spectrum measured by Chandra in 2001 February is remarkably similar to that observed by Chandra during a brief (duration $`<3`$ d) low flux epoch in 2000 April, while the source was in its normal high flux, highly variable state (Collinge et al., 2001). To compare the shapes of 2000 April and 2001 February spectra, we fitted our approximate, blackbody plus power law model to the April 2000 low flux epoch data444Corresponding to the 1st order MEG spectrum obtained during the final 15 ksec of the April 2000 observation, grouped to $`>15`$ counts per spectral bin used by Collinge et al. (2001). We allowed only the blackbody and power-law normalizations and the depth of the 0.7 keV edge to vary. The data/model ratios are shown in Fig. 8, together with the ratios for the fitted Chandra spectrum (Section 4.1) for comparison, and the fit parameters are shown in Table 1. We also carry out the same type of fit on the BeppoSAX LECS and MECS spectra obtained during the 1998 low state (see Fig. 8 and Table 1). The fit is not very good, although the broad continuum shapes of both the 1998 low state and 2001 low states seem to match up rather well (see Fig. 9). It is perhaps not surprising that significant deviations from the model remain in the BeppoSAX data, since when the source continuum flux is exceptionally low (as in 1998 May), weak constant-flux components in the spectrum (e.g. unresolved emission lines) are likely to be revealed. Therefore we conclude that, although our simple model does not adequately fit the detailed structures in the spectra, the same hard and soft spectral components can approximate quite well the broadband continuum shape of both the 1998 and 2001 low states, as well as the brief low flux epoch observed in April 2000 while the source was in a normal state.

## 5 Discussion

The X-ray spectrum of NGC 4051 during the 2001 low state is unusual, dominated by a very hard component ($`\mathrm{\Gamma }1`$) above a few keV, and a very soft component at lower energies ($`\mathrm{\Gamma }3`$, although a $`kT0.14`$ keV blackbody may be a more appropriate model). The question naturally arises as to what are the origins of these spectral components. In the 1998 low state spectrum, the hard continuum (and prominent iron K$`\alpha `$ line) above $`4`$ keV and the much softer continuum at lower energies (both of which did not vary significantly), were interpreted, respectively, as being pure reflection from distant material and extended soft emission (Guainazzi et al., 1998; Uttley et al., 1999). We have seen in Section 2.2 that the soft emission component in the 2001 low state is not extended in the Chandra image, but originates from the unresolved central source. This fact, together with a detailed spectral analysis of the Chandra observation, show that the unusual spectrum observed in 2001 cannot be explained by the distant-reflection/extended-emission model used to explain the 1998 low state spectrum. Instead, the emitting region must be small, so that a substantial part of the emission can be significantly variable on time-scales of hours, suggesting that both hard and soft components represent mainly the primary continuum emission. This result does not necessarily invalidate the original interpretation of the 1998 low state spectrum, since this earlier spectrum was obtained when the continuum was significantly fainter than observed in February 2001, so that reflection from distant material might have been important. Furthermore, a reflection model provided a significantly better fit to the 1998 low state spectrum measured by BeppoSAX than a power-law model (Guainazzi et al., 1998). Indeed, the continuing presence of a relatively weak, narrow Fe K$`\alpha `$ line in the 2001 low state spectrum might imply that the reflection component seen in May 1998 is present but largely masked by the intrinsically hard primary continuum in the 2001 low state.

Having established that the 2001 low state spectrum is probably dominated by the primary continuum emission, we must consider how this unusual spectral shape relates to the spectrum observed during the source’s normal state. In fact it appears (see Section 4.4) that the 2001 low state spectrum is not that unusual compared to the spectrum observed at comparable flux levels during the normal state. In other words, there may be a simple monotonic relation between continuum spectral shape and X-ray flux which is independent of whether the source is in a prolonged (i.e. weeks) low flux state or a much briefer (hours to days) excursion to low fluxes. It is likely that the extreme hardness of the continuum at very low fluxes is a result of the continuation of the correlation between spectral slope and continuum flux which is observed at higher fluxes (Guainazzi et al., 1996; Lamer et al., 2003). It is tempting to explain this correlation, which is observed in other AGN (e.g. Lamer et al. 2000, Vaughan & Edelson 2001) in terms of thermal Comptonization models, where increases in the seed photon flux cause corresponding increases in the hard Comptonized flux but also cool the Comptonizing medium so that the emitted spectrum steepens at higher fluxes and the spectrum effectively pivots about a fixed point at high energies (Zdziarski et al., 2003). In fact, Taylor, Uttley & McHardy (2003) have shown using a model-independent technique that in medium-energy X-rays (2-15 keV), the spectral variability of NGC 4051 is consistent with a combination of spectral pivoting of a varying power-law together with a constant hard spectral component. It is possible that in the low state, the constant hard component is more fully revealed, which might partly explain the deviations from a simple power-law observed at hard energies.

We next consider how the spectrum above a few keV can be so hard at low fluxes (irrespective of the duration of the low flux state), and how the hard continuum relates to the soft spectral component. The extremely hard continuum observed in the low state is difficult to explain using conventional thermal Comptonization models (e.g. Haardt, Maraschi & Ghisellini 1997), so that non-thermal models may be required. Alternatively, if the hard component also contains a substantial disk-reflection component (as suggested by the RXTE data, see Section 4.3), this would allow the primary continuum to be steeper than the observed continuum, so that standard thermal Comptonization models might still be appropriate. It is unclear how a disk reflection component can be so strong, unless the disk somehow sees a much greater primary continuum luminosity than we observe (e.g. if the continuum is beamed towards the disk through gravitational light bending effects, Fabian & Vaughan 2003). However, we note that evidence for an unusually strong iron diskline at relatively low continuum flux levels has been reported in the Seyfert 1 galaxy MCG-6-30-15 (Wilms et al., 2001). Fabian & Vaughan (2003) have shown that the weakly-varying hard component in the spectrum of MCG-6-30-15 may be attributed to a strong disk reflection spectrum (see also Taylor et al. 2003), so that at low fluxes the source should start to become reflection dominated. Since the normal spectral variability of NGC 4051 also implies the presence of a constant (or weakly varying) hard component (Taylor et al. 2003), it is natural to infer that strong disk reflection should be present in the low state of NGC 4051, which may dominate over any constant reflection from the torus, even at low fluxes.

The problem of explaining the hard continuum component in the low state of NGC 4051 is compounded by the fact that it varies together with, and with greater amplitude than, the soft component. If the soft component is a source of seed photons for a Comptonizing corona (perhaps from the hot, inner accretion disk), one would not expect the hard, multiply scattered X-rays to vary more than the soft photons. The problem may be resolved if a substantial, constant component, which does not contribute seed photons is present in the soft X-ray band. The factor $`2`$ reduction in fractional variability from the hard to the soft band can be accounted for if half the observed soft flux arises from a constant component (perhaps extended emission on scales $`<`$pc so that it is unresolved by Chandra). Note that the absence of varying Heii emission but presence of variable H$`\beta `$ during the low state (Peterson et al., 2000) might be explained if, for whatever reason, the variability amplitude in the low state is smallest in the EUV band, but increases again towards the UV.

Although we can explain the spectral variability of NGC 4051 within the low state by invoking a constant soft component in addition to a variable soft component, we cannot rule out the possibility that the spectral variability is intrinsic to the primary continuum itself. Furthermore, we cannot be certain that the blackbody and power-law components that we use to model the low state spectrum really represent physically distinct components (such as an accretion disk and corona). It is possible that the reason that both hard and soft components vary together is that they have the same origin, perhaps in something like the hybrid thermal/non-thermal plasma which can successfully fit both the soft excess and power-law components in the spectrum of the black hole X-ray binary Cyg X-1 in its soft state (Gierlinski et al., 1999).

Finally we note that, since there is no apparent difference between the low state spectral shape and that observed during a low flux epoch in the normal state, then the low state may not be as special as originally thought. This result ties in well with the discovery (Uttley et al., in prep.) that the appearance of low states in NGC 4051 could be related to the rms-flux relation which is intrinsic to the normal variability process in AGN and X-ray binaries (Uttley & McHardy, 2001). Because of the rms-flux relation, short term variability amplitude is correlated with long-term flux, so that a large decrease in flux on long time-scales is also accompanied by a corresponding large reduction in short time-scale variability amplitude, producing the distinctive ‘low states’. We therefore consider it likely that the low states in NGC 4051 are simply prolonged low-flux epochs in the normal life of the X-ray source, i.e. they are caused by the same physical process which produces the flux variability on other time-scales and do not correspond to any distinct transitions in the physical properties of the source. Although the low state of NGC 4051 does not appear to be physically distinct from the normal state of the source, it does allow an excellent opportunity for further TOOs to target one extreme of the flux-correlated spectral variability in NGC 4051, enabling further progress in understanding the physical origin of the X-ray spectrum and variability in AGN.

## 6 Conclusions

We have presented results from a Chandra TOO observation of the Narrow Line Seyfert 1 NGC 4051, caught in a 6-week duration low state in 2001 February. We summarize our main results as follows:

1. We confirm the report of Collinge et al. (2001) that there is no strong extended soft X-ray emission component in NGC 4051. The soft X-ray emission during the low state is dominated by the central point source.
2. The nuclear X-ray spectrum of NGC 4051 in the low state has an unusual hybrid shape, very soft below $`3`$ keV ($`\mathrm{\Gamma }3`$ for a simple, power-law fit) and very hard ($`\mathrm{\Gamma }1`$) at higher energies. Both soft and hard X-ray light curves are variable and well-correlated, the hard X-rays being more variable than the soft. The hard X-ray variability implies that the hard continuum in the 2001 low state is not due to pure reflection from distant cold gas, but must be the primary continuum itself.
3. We parameterize the spectrum with a simple black body plus power-law model. The black body model for the soft emission is favoured over a steep power-law if one takes into account the spectral flattening which we observe below 0.5 keV (but do not fit due to systematic uncertainties at those energies), and is also reported by Collinge et al. (2001) in the normal flux state.
4. The continuum at hard energies shows residuals above the power-law model, suggesting the presence of reflection. However the strength of reflection required, together with an analysis of spectral variability, shows that the deviations from a power-law cannot be simply explained by reflection from distant material (e.g. a molecular torus). An alternate possibility is that the hard residuals are caused by the presence of a strong broad feature, possibly an iron diskline and associated reflection at higher energies. This latter possibility is favored when we consider RXTE data obtained during the 2001 low state.
5. The 2001 low state spectrum is consistent with being the same shape as the spectrum observed in a brief ($`<3`$ d) low-flux epoch during the normal active state of the source, in 2000 April (Collinge et al., 2001). This result suggests that the unusual low state spectrum is not a result of a fundamental physical difference in the emission process between the low and normal states, rather it is the continuation to low fluxes of the normal, flux-dependent spectral variability of the source.
6. The even fainter 1998 May low state spectrum is also consistent with the same hybrid model as the 2001 February spectrum. However, as the hard component to the spectrum was a factor $`5`$ fainter in 1998 May than in 2001 February, and no significant variability was detected in that earlier observation, the reflection interpretation of the 1998 May spectrum remains valid.

We would like to thank Jon Miller and the anonymous referee for helpful comments. P. U. would like to thank the staff of the Chandra X-ray Center and the CfA for their hospitality and support while preparing this paper. This work has been supported by the NASA grant GO1-2111X.


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# Alternation of different fluctuation regimes in the stock market dynamics

## 1 Introduction

A series of papers devoted to the analysis of financial data fluctuations disclosed that the corresponding distributions can be characterized by the Paretian scaling . These studies, based on the large data sets of historical stock prices and on the index values, showed that both the distributions of stock price fluctuations and the distriutions of index returns reveal scaling over a broad range of time scales from minutes to days (although a more recent investigation found that scaling is restricted to rather short time scales ). A remarkable related issue is that the stocks and indices exhibit similar value of the scaling exponent $`\alpha 3.0`$ . In accordance with the Central Limit Theorem, the distribution of a random variable being a sum of a number of iid random variables with a finite second moment, has to converge to a normal distribution. From this point of view, the similarity of the distributions for the stocks and the corresponding indices requires that the financial data violate the assumptions of the theorem. And as these data have indeed finite variance, a plausible cause for the problems with the convergence can be related to the correlations among the data. This claim seems to be supported by findings that an artificial S&P index constructed from randomly reshuffled stock returns, presents a much better convergence to a Gaussian than the original index .

An appropriate measure of correlations among elements of a system is the spectrum of the correlation matrix eigenvalues, which can be easily compared with the universal properties of random matrices . A few recent works have shown that the financial market can be described by at least one repelled eigenvalue with a magnitude exceeding the likely range of values allowed for a random matrix. This one or more deviating eigenvalues indicate that there are relations between various components of the market .

The main purpose of the present work is a quantitative description of the possible relation between the stock price movements and the properties of the distribution of the corresponding index fluctuations. We showed in a previous analyses which were focused on daily patterns of the German DAX index fluctuations that certain characteristic time intervals of a trading day with high index volatility are associated with fluctuation distributions with properties different from more silent intervals of trading . Since high volatility is connected with stronger correlations between the stocks () we expect that strong and weak inter-stock correlations are reflected in different properties of the index fluctuations. By choosing a few distinct time scales (1-30 minutes) we are able to test the stability of the results.

## 2 Methodology

Our analysis is based on the high frequency tick-by-tick data covering the two years 1998-99 period and comprising the recordings of 30 companies included in the Dow Jones Industrial Average and 30 companies included in the German DAX30 index, together with the two indices . Inevitably, such a long interval of time comprises some changes of the index composition. We decided that only those stocks which were a part of an index for the majority of time, can be taken into consideration. Along this way, for the whole interval under study we analyze the data for the individual companies CHV, GT, S and UK, although on Nov 1, 1999 they were replaced in DJIA by HD, INTC, MSFT and SBC. In a similar manner for the German market, we analyze ADS instead of BVM (delisted due to its fussion with BHW). For the German stock market we have roughly 30% more data points, because of a longer trading day in Frankfurt (8:30 hours vs. 6:30 hours in New York). The data has been preliminary processed to clear out recording errors.

Let us assume we have a set of $`N`$ assets and $`x_\beta (t_i)`$ ($`i=1,\mathrm{},T`$) is a price of the $`\beta `$-th asset at instant $`t_i`$. The corresponding time series of normalized logarhitmic price returns reads:

$$g_\beta (t_i)=\frac{G_\beta (t_i)G_\beta (t_i)_{t_i}}{\sigma (G_\beta )},\sigma (G_\beta )=\sqrt{G_\beta ^2(t_i)_{t_i}G_\beta (t_i)_{t_i}^2}$$
(1)
where

$$G_\beta (t_i)=\mathrm{ln}x_\beta (t_i+\mathrm{\Delta }t)\mathrm{ln}x_\beta (t_i).$$
(2)
The time lag $`\mathrm{\Delta }t`$ defines a time scale and $`\mathrm{}_{t_i}`$ stands for averaging over discrete time. From all the time series $`g_\beta (t_i)`$ ($`\beta =1,\mathrm{},N;i=1,\mathrm{},T`$) we construct an $`N\times T`$ data matrix $`𝐌`$ and then calculate a correlation matrix $`𝐂`$ defined by

$$𝐂=(1/T)\mathrm{𝐌𝐌}^\mathrm{T},$$
(3)
which is is an $`N\times N`$ square matrix with correlation coefficients as its entries.

After the correlation matrix is calculated, we diagonalize it and obtain a spectrum of its eigenvalues $`\lambda _k`$ ($`k=1,\mathrm{},N`$). For a random matrix (the so-called Wishart matrix) constructed from series of random numbers taken from the normal distribution, in the limit of $`N\mathrm{}`$ there exist exactly $`N`$ non-zero eigenvalues, providing $`Q:=T/N>1`$ (and $`N1`$ ones for $`Q=1`$). In this case an analytic expression for the distribution of the matrix eigenvalues exists :

$`\rho _C(\lambda )={\displaystyle \frac{Q}{2\pi \sigma ^2}}{\displaystyle \frac{\sqrt{(\lambda _{\mathrm{max}}\lambda )(\lambda \lambda _{\mathrm{min}})}}{\lambda }},`$ (4)
$`\lambda _{\mathrm{min}}^{\mathrm{max}}=\sigma ^2(1+1/Q\pm 2\sqrt{1/Q}),`$
with $`\lambda _{\mathrm{min}}\lambda \lambda _{\mathrm{max}}`$, and where $`\sigma ^2`$ is equal to the variance of the time series. In both cases, any deviation from the universal Random Matrix Theory predictions means that the correlation matrix comprises some genuine information specific for the system under study.

In a system like the stock market, the correlation matrix usually reveals at least one strongly repelled eigenvalue, describing the common behaviour of a group of assets or even the common evolution of the whole market . The magnitude of such an eigenvalue is related to the range of correlation of different asset prices. A more collective market behaviour is reflected in a larger $`\lambda _1`$. In the real markets the range of the inter-stock couplings turns out to be strongly time-dependent; this refers both to long time scales (daily returns)  and to extremely short ones (of order of minutes and even seconds) . As it has already been mentioned, the correlations grow in highly volatile periods of time and fade during more silent intervals, when trading is dominated by noise (see , but also ). The sudden elevation of the largest eigenvalue in crash times and decrease in onset periods of a rally can serve as examples of such behaviour.

A possible influence of the asset coupling strength on the distribution of index returns may be observed by comparing returns corresponding to intervals with strong correlations (large values of $`\lambda _1`$) and those from intervals with weak correlations (small $`\lambda _1`$). To accomplish this, we divide the whole two-years-long period under study into equal disjoint time windows $`w_j`$, $`j=1,\mathrm{},n_w`$ each of length $`T_w`$. In each window we calculate the correlation matrix $`𝐂`$ and its largest eigenvalue $`\lambda _1(w_j)`$. Next we determine the eigenvalue distribution $`P(\lambda _1(w_j))`$ and select such windows $`w_k`$ that $`\lambda _1(w_k)`$ falls within a specific range of values of the $`P(\lambda _1(w_j))`$ distribuant. Finally, we compute the distributions of index and stock returns belonging to these selected windows. Since we need a good time resolution for fixed $`N=30`$, we choose $`T_w=30`$ (i.e. $`Q=T_w/N=1`$), regardless of the time scale $`\mathrm{\Delta }t`$. From the RMT perspective this fixes the upper edge of the random eigenvalues bulk at exactly $`\lambda _{\mathrm{max}}=4.0`$. However, since we use very short windows ($`N\mathrm{}`$), the average value of $`\lambda _1`$ may be smaller than $`\lambda _{\mathrm{max}}`$ in the random case and $`\lambda _1(w_j)`$ may fluctuate around the average for different $`j`$. (Fortunately, these fluctuations described by the so-called Tracy-Widom distribution  are relatively small already for $`N=30`$ and thus do not influence our findings for $`\lambda _1\lambda _{\mathrm{max}}`$.) For our analysis, four distinct time scales were chosen: $`\mathrm{\Delta }t=1,\mathrm{\Delta }t=5,\mathrm{\Delta }t=10`$ and $`\mathrm{\Delta }t=30`$ minutes; we could not include any higher scales due to extremely poor statistics of returns in that case.

## 3 Results

The upper panels of Figure 1 present the time course of the DAX (a) and of the DJIA (b) indices (here sampled every 10 minutes) in the studied time interval, i.e. between Dec 1, 1997 and Dec 31, 1999. Over this period, both indices experienced a significant increase: $``$ 70% in the case of DAX and $``$ 40% in the case of DJIA, although large drowdowns were also observed (e.g. in August 1998). In principle, however, that was exactly this period in which the most powerful bull market was observed both at NYSE and at Deutsche Börse. For a comparison, the lower panels display the largest eigenvalue for each time window $`\lambda _1(w_j)`$ as a function of time; each point corresponds to a single time window $`w_j`$ which is 300 min (30 data points) long in the present case. The varying degree of collectivity is clearly visible here. This resembles the evolution of $`\lambda _1`$ calculated from daily data in ref. . For the sake of clarity of the Figure, we chose $`\mathrm{\Delta }t=10`$ min, since smaller time scales are associated with more noisy dynamics. Comparing the lower panels of (a) and (b), we see that both the markets have similar average value of $`\lambda _1`$ (denoted by horizontal lines) equal to 9.01 (DAX) and 9.38 (DJIA), respectively. This, however, cannot be treated as a rule, because for shorter $`\mathrm{\Delta }t`$ DAX is on average significantly more collective than DJIA. Even for this time scale of 10 min the German market develops $`\lambda _1`$ which reaches extremely high values significantly more often than it happens in the Dow Jones market (compare ref. ). The difference between the values of $`\lambda _1`$ in the strongly collective and the least collective periods of time is striking. The smallest $`\lambda _1(w_j)`$’s fall inside the noisy part of the eigenvalue spectrum ($`\lambda _1\lambda _{\mathrm{max}}`$) suggesting that no meaningful correlations are present at that time, while, on the other hand, the largest $`\lambda _1(w_j)`$’s, almost saturating the available range of values ($`\lambda _1\mathrm{Tr}𝐂=N`$), describe nearly “rigid” market.

In order to compare the statistical properties of the stock and of the index returns across windows with different degree of inter-stock couplings, we introduce a pair of parameters $`\zeta ^W`$ and $`\zeta ^S`$ defined by the following relation

$$\zeta ^{W,S}:=\frac{\mathrm{\#}\{w_j:\lambda _1(w_j)<\mathrm{\Lambda }^{W,S}\}}{n_w},(\zeta ^W\zeta ^S),$$
(5)
where $`\mathrm{\Lambda }^S`$ denotes the lower threshold for $`\lambda _1`$, defining the strongly correlated market and $`\mathrm{\Lambda }^W`$ denotes the upper threshold when the market is considerably weakly correlated. Specific values of $`\mathrm{\Lambda }^W,\mathrm{\Lambda }^S`$ depend on a particular choice of $`\zeta ^W,\zeta ^S`$. By this definition, the case of $`\zeta ^W=\zeta ^S=0.5`$ corresponds to the median of the distribution, while the one of $`\zeta ^W=0.2,\zeta ^S=0.8`$ to the 20th and 80th percentile of the distribution, respectively. From now on, we will recognize two cases: periods of collective trading (strong stock cross-correlations, $`S`$) if $`\lambda _1(w_j)>\mathrm{\Lambda }^S`$ and periods of uncorrelated trading (weak cross-correlations, $`W`$) if $`\lambda _1(w_j)<\mathrm{\Lambda }^W`$.

We anticipate that each of these two cases is represented by a distribution of index returns with somewhat different properties. An index can be either a simple sum of the related stock prices (e.g. Dow Jones) or a sum of prices weighted by capitalization of the corresponding companies (e.g. DAX and S&P indices family). This suggests that the index fluctuations may be described by a distribution being closer to a Gaussian in periods of uncorrelated trading, when a lack of profound correlations brings situation close to the assumptions of the Central Limit Theorem, while being significantly different from normal during strongly collective stock behaviour, when these assumptions are firmly violated. In contrast, the properties of the corresponding distributions for the individual stock returns may not be so sensitive to the inter-stock correlations as the index returns are.

Before we divide the signals into the correlated and noisy parts, we show in Figure 2 the cumulative distributions of the normalized stock returns and of the index returns for the DAX market (Fig. 2(a)) and the DJI market (Fig. 2(b)). This Figure allows one to compare the distribution of the stock returns calculated for all 30 companies constituting each of the markets (dashed line) with the distribution of the index returns (solid line), for four different $`\mathrm{\Delta }t`$. As it can be seen in Figure, the distributions of the stock returns scale in their tails for both the markets and for all the time scales. For the two shortest time scales the tails of the distributions of the index returns for DAX and for DJIA have different properties, however. On one hand, in DAX, the slope of the distribution of the index returns is smaller than the slope of the corresponding distribution of the stock returns. On the other hand, the reverse effect is observed for DJI stocks and DJIA. Interestingly, by increasing $`\mathrm{\Delta }t`$ from 1 to 30 min the difference between the index returns distribution and the associated stock returns distribution disappears for both DAX and DJIA. Nevertheless, in each case in Fig. 2 all the distributions are far from Gaussian.

Later on, we shall discuss the origin of the difference in the slope of the tails between the DAX and the DJIA returns distributions on short time scales in more detail. Here we only indicate that among the sources of discrepancy between the stock and the index distributions is the existence of periods when the price of a stock does not change. This situation is specific only to very short time scales and results in a number of zero returns in the data. Such returns, of course, influence the average volatility of price changes and thus also affect the normalization, giving broader distributions of the returns while not affecting the tail’s slope. For the indices, however, this effect can be neglected even at 1-minute time scale.

The outlying points in the distributions, being especially evident in DJIA for 1 min returns (upper left panel of Fig. 2(b)) but also to a lesser extent in DAX, can be almost exclusively related to large jumps of the price of a single asset which enters the index with a significant weight. Such jumps occur occasionally after some important information reaches the market (financial reports, company fussions, takeovers etc.); the two extreme examples are the 15% increase and the over 20% decrease of the IBM share price on Apr 22, 1999 and Oct 21, 1999 openings, respectively. Due to the fact that these single-stock jumps alone caused about 1% change of the DJIA value, the event which is rather unusual in the time-period analyzed, we decided to remove these IBM stock returns and the two corresponding DJIA returns from our time series for all the time scales. This does not influence the essential results of our analysis in any case.

After calculating $`\lambda _1(w_j)`$ for all $`j`$’s, we define and select the windows with strong and weak correlations between the companies. We introduce three distinct kinds of window selection characterized by the following values of the parameters: $`\zeta ^W=0.5`$ and $`\zeta ^S=0.5`$ (one half of the windows are considered as covering weakly collective trading, and the other half - strongly collective trading), $`\zeta ^W=0.2`$ and $`\zeta ^S=0.8`$ (20% of windows with smallest $`\lambda _1`$, 20% of windows with highest $`\lambda _1`$), $`\zeta ^W=0.05`$ and $`\zeta ^S=0.95`$ (5% smallest, 5% highest).

Figure 3 displays the cumulative distributions of the stock returns (dashed) and the index returns (solid) according to the local inter-stock correlation strength ($`W`$ \- gray, $`S`$ \- black) for the DAX (left panels) and for the DJI (right panels) markets. We present only one time scale $`\mathrm{\Delta }t=5`$ min, but these results are qualitatively stable across all analyzed scales. For the companies, both the $`W`$ and $`S`$ distributions (which we shall denote as $`DAX_C^W`$, $`DAX_C^S`$, $`DJIA_C^W`$ and $`DJIA_C^S`$) have similar slopes with $`DAX_C^W`$ and $`DJIA_C^W`$ slightly shifted to the left compared to $`DAX_C^S`$ and $`DJIA_C^S`$. This shift is caused by different variance of the distribution in the $`W`$ and $`S`$ cases and it illustrates the already known fact, that large price fluctuations (volatility) are more likely to happen when the market is more collective (and vice versa. In fact, the difference between the distributions enlarges with increasing $`\mathrm{\Delta }\zeta :=\zeta ^S\zeta ^W`$.

Another interesting conclusion can be drawn from the distributions of index returns (these we denote as $`DAX_I^W`$, $`DAX_I^S`$, $`DJIA_I^W`$ and $`DJIA_I^S`$). Here the differences between the $`W`$ and $`S`$ distributions, for both of the indices, are amplified compared to the stock returns, which is evident both for $`\zeta ^{W,S}=0.5`$ and $`\zeta ^W=0.2`$, $`\zeta ^S=0.8`$, with the separation much larger in the latter case. As such a large difference cannot be explained merely on the basis of the divergence between the associated distributions for the companies, the range of correlations may be the crucial factor here.

Although some conclusion on the shape of the distributions in their tails can be drawn directly from the lower panels of Fig. 3, a real comparison may be performed only if all the sets of the returns are normalized once again to have a unit variance (so far the variance is different within each of the interrelated $`W`$ and $`S`$ sets). Figure 4 is the central point of the present paper. It exhibits the cumulative distributions of the stock and index returns after the repeated normalization. Parts (a)-(d) show the results for $`\mathrm{\Delta }t=1,5,10`$ and $`30`$ min, respectively.

The main conclusions which can be drawn from Figure 4 are as follows:

(i) The cumulative distributions of the stock returns (dashed lines) for $`W`$ and $`S`$ windows (gray and black, respectively) reveal roughly similar properties both in their central parts and the tails, regardless of the market, the time scale $`\mathrm{\Delta }t`$ and the threshold separation $`\mathrm{\Delta }\zeta `$. A perfect agreement of the distributions is evident for the DJI stocks, while some small differences can be observed for the German stocks, especially for short time scales.

(ii) On the contrary, the distributions of the index fluctuations (solid lines) are heavily influenced by the strength of correlations between the stock price movements. The distributions of the returns in $`W`$ windows (grey solid line) tend to be more Gaussian than the ones associated with $`S`$ windows (black solid line). This systematically applies to almost all cases with an exception for $`DJIA_I^W`$ and $`DJIA_I^S`$ computed for $`\mathrm{\Delta }t=1`$ min, where the situation is less clear. Even in this case, however, the two distributions seem to differ for the largest $`\mathrm{\Delta }\zeta `$ (bottom right panel of Fig. 4(a)). For $`\mathrm{\Delta }t=5`$ min and $`\mathrm{\Delta }\zeta =0.9`$ we do not observe so big difference between the distributions in DJIA as we might expect, but this fact can well be attributed to poor statistics (in this case, each of the two distributions was calculated from 2100 returns only).

(iii) The larger $`\mathrm{\Delta }\zeta `$ is, the larger is the difference between $`DAX_I^S`$ and $`DAX_I^W`$; this rule is especially significant at small $`\mathrm{\Delta }t`$ and deminishes at larger $`\mathrm{\Delta }t`$. For DJIA, the analogous increase of separation is less pronounced (Fig. 4(a)-4(d)).

(iv) The above-mentioned increase of separation between $`DAX_I^S`$ and $`DAX_I^W`$ with increasing $`\mathrm{\Delta }\zeta `$ is associated with the appearence of the distribution with scaling regions whose slope is in the Lévy-stable regime. Yet another look at Fig. 2(a) allows one to see that even though the distributions of the DAX returns show fat tails, they are by no means stable. A significantly different behaviour of the distribution can be obtained after filtering out those returns that belong to the intervals of uncorrelated trading and whose distribution drops down considerably faster (Fig. 4(a)). With the threshold as low as at $`\zeta ^S=0.5`$ (i.e. $`\mathrm{\Lambda }^S=5.76`$), the $`DAX_I^S`$ distribution presents the apparent scaling just at the edge of the Lévy-stable regime ($`\alpha 2.0`$, represented by the slant dash-dotted line in each panel). By rising the threshold $`\zeta ^S0.8`$ ($`\mathrm{\Lambda }^S7.90`$) we observe the occurence and inflation of another scaling region for smaller values of the returns with the scaling index deep inside the stable range ($`\alpha 1.3`$). For $`\mathrm{\Delta }t=5`$ min (Fig. 4(b)) we also identify the scaling region but now with $`\alpha `$ continuously decreasing with increasing $`\zeta ^S`$. This region is shorter than the one for $`\mathrm{\Delta }t=1`$ min and falls into the stable regime at significantly higher threshold ($`\zeta ^S0.8`$). No scaling of $`DAX_I^S`$ can be observed for larger time scales (Fig. 4(c) and (d)). Unlike DAX, DJIA does not convincingly scale for any of the analyzed values of $`\mathrm{\Delta }t`$ (compare ref. ).

A striking difference between the properties of the DJIA and the DAX returns distributions can be seen for the time scale of 1 min (Fig. 4(a)). For DAX, the distributions for the $`S`$ and $`W`$ windows are disparate, whereas for DJIA they have similar shape. One of the possible sources of this discrepancy can be the already-mentioned more noisy evolution of the DJI market. Indeed, our computation shows that if $`\mathrm{\Delta }t=1`$ min, the median of $`P(\lambda _1(w_j))`$ reaches only 4.22 for the DJI stocks; this value does not stray much from the upper edge of the eigenvalue spectrum of a Wishart matrix. Thus, even the relatively high values of $`\lambda _1(w_j)`$ are not very distant from the random case, e.g. for the middle right panel of Fig. 4(a), $`\zeta ^S=0.8`$ corresponds to the threshold $`\mathrm{\Lambda }^S=5.08`$. This can well account for the fact documented in the bottom right panel of Fig. 4(a) that the $`DJIA_I^S`$ and the $`DJIA_I^W`$ distributions start to significantly differ only for $`\zeta ^S=0.95`$ ($`\mathrm{\Lambda }^S=6.40`$). For comparison, the threshold values $`\mathrm{\Lambda }^S`$ for DAX stocks are as follows: 5.76 ($`\zeta ^S=0.5`$), 7.90 ($`\zeta ^S=0.8`$) and 10.60 ($`\zeta ^S=0.95`$). The strongest correlations and large values of $`\lambda _1(w_j)`$ are more likely to occur at market-specific periods of intraday trading , especially in the German market; such periods are usually associated with highly volatile behaviour of the market and rapid collective movements of prices. An example can be the sudden significant changes of DAX which frequently occur almost precisely at 14:30 . These changes are visible predominantly on short time scales; on longer time scales they are often averaged out and vanish. This can be considered as one of the possible sources of larger collectivity of DAX on short time scales. Another source is the strong influence of the NASDAQ and NYSE evolution on the Frankfurt stock market as a whole. Daily pattern of $`\lambda _1(w_j)`$ fluctuations reveals significant increase of the largest eigenvalue’s magnitude after 15:30 (i.e. 9:30 in New York) when trading starts on the NYSE and NASDAQ markets; also the 14:30 peak is caused by certain external factors. From this point of view the American market can be considered as being relatively independent and, thus, less correlated. However, as the big difference between $`DAX_I^W`$ and $`DAX_I^S`$ (and between the distributions of the DAX and the DJIA returns) cannot be attributed merely to the strongly correlated dynamics of the German market, an explanation for the observed shape of the distributions of the DAX returns requires more extensive investigation.

A potential source of the fat-tailed distributions of the DAX returns may be the calculation procedure of DAX after the market opening: an opening value may be assigned to the index only after not less than 50% of the DAX component stocks representing at least 70% of the total DAX market capitalization have already been traded on a given day. This usually happens a few minutes after the actual market opening and leads to a significant relative amplifiction of the overnight DAX return if the corresponding time scale is shorter than a few minutes (as it is in our case of $`\mathrm{\Delta }t=1`$ min). Obviously, for any longer time scale this effect should not influence the magnitude of the corresponding returns; in fact, Figs. 2(a), 4(c) and 4(d) show that the $`S`$ distributions for DJIA and DAX look similar both for $`\mathrm{\Delta }t=10`$ and for $`\mathrm{\Delta }t=30`$ min. In order to quantify the influence of the overnight DAX returns on the corresponding distributions, we take our time series of 1 minute returns of DAX and select all the returns which correspond to overnight changes of the index value (i.e. the difference between a previous day’s closing value and the next day’s opening value). Next we zero the spurious returns corresponding to the situation in which the opening value was assigned to DAX later than at 8:31:00 (as they should not be considered as valid 1 min returns), and leave the remaining overnight returns unchanged (roughly about half the total number of overnight returns). Then we calculate the distributions according to the same procedure as for the complete time series in Fig. 4(a). For a comparison, we also calculate the distributions after zeroing all the overnight returns both the spurious and the valid ones.

Figure 5(a) exhibits the cumulative distributions of the DAX returns taken from the $`W`$ windows (top panels) and the $`S`$ windows (bottom panels) separately; in each panel distributions for three different values of $`\zeta ^W`$ or $`\zeta ^S`$ are shown. Both the distributions calculated from the data without the spurious returns (on the left of Figure) and the distributions calculated from the data without all the overnight returns (on the right) have got significantly thinner tails than their counterparts for complete data in Fig. 4(a); this is true both for the collective and for the uncorrelated trading intervals. Moreover, the outer scaling region with $`\alpha 2.0`$ which was clearly visible in Fig. 4(a), here disappeared, which permits us to identify its origin as being merely due to the calculation procedure of the DAX opening value. The extremely fat tails for DAX observed in Fig. 4(a) may therefore be considered as an external effect unrelated to the inner properties of the market dynamics. These fat tails and scaling are more significant for the $`S`$ windows than for the $`W`$ ones, but this is purely accidental: the opening 30 minutes covered by the first window on each day is usually associated with collective dynamics of stocks and thus it is classified as an $`S`$ window.

In contrast to the outer scaling region with $`\alpha =2.0`$, the inner scaling region characterized by $`\alpha =1.3`$ and which is best visible for high values of $`\zeta ^S`$ for $`0.5<|g_i|<3`$ (arrows in Figure), survives. Removing the spurious returns does not affect it at all and removing also the rest of overnight returns only slightly shorten it and change its slope to 1.4. A similar region of scaling in the Lévy-stable regime has already been identified previously for the S&P 500 index ; in that case $`\alpha =1.6`$. Interestingly, a trace of a related feature (but without clear scaling) can also be seen for the DAX-stocks returns in Fig. 4(a) (bottom left panel, black dashed line). As this stable scaling region occurs only in “collective” windows with large $`\lambda _1(w_j)`$ it seems that, for DAX, its origin cannot be attributed to the quantization of the returns as authors of ref.  hypothesize for S&P500. It is also interesting to note that after removing the spurious returns, the distributions for the $`S`$-windows closely resemble the distributions for the truncated Lévy processes, where the central part is a Lévy distribution while, owing to the exponential cut-off of tails, the second moment is finite (see ref. ). In fact, if we calculate pdf of the price increments (instead of the log-returns) for the $`S`$-windows, we obtain good fits by using Lévy distributions with $`\alpha =1.3÷1.4`$; the tails of such pdf’s decay approx. exponentially with the best agreement being observed for $`\zeta ^S=0.8`$. After removing all the overnight returns, the tails do not present explicit exponential decay but second moment is obviously still finite (bottom right panel of Fig. 5(a)).

Figure 5(b) displays the results of an analogous analysis for DJIA. Due to the fact that the opening values of DJIA may be calculated without any restriction, there is no spurious returns and thus in Figure we show the results for the complete data instead: the distributions on the left side are exactly the same as those on the right side of Fig. 4(a). Even if we remove all the overnight returns we do not observe any qualitative modification of the distribution’s shape (right side of Fig. 5(b)). Only small quantitative changes can be seen here; without the opening returns, the $`DJIA_I^W`$ distributions are characterised by slightly thinner tails and start to differ from their $`S`$ counterparts already for $`\zeta ^S=0.8`$ instead of $`\zeta ^S=0.95`$ as it was for the complete data. This is not shown explicitely but can be inferred from a careful inspection of the right-side panels of Fig. 5(b). For DAX (Fig. 5(a)), the difference between the distributions corresponding to $`W`$ and $`S`$ windows decreases both after removing the spurious and the valid overnight returns, but it is still stronger for DAX than for DJIA and increases with increasing $`\mathrm{\Delta }\zeta `$.

For longer time scales ($`\mathrm{\Delta }t5`$ min), removing the spurious overnight returns does not influence the results presented in Fig. 4(b)-(d) for any of the two markets whereas removing also the valid overnight returns influence the distributions. For $`\mathrm{\Delta }t10`$ min, the overnight returns share the properties with intraday returns and removing them has no qualitative effect. Thus, we may conclude that the large difference in the distributions of the returns between DAX and DJIA observed in Fig. 4(a) is predominantly due to the following two factors: (a) the properties of the overnight returns and especially the non-trivial calculation of such returns in DAX, and (b) the different strength of couplings in each of the two markets; the DJI stocks present more noisy evolution than the German stocks, which leads to similarity of the correlation properties of the $`W`$ and $`S`$ intervals and, in turn, similarity of the corresponding distributions in DJIA.

Finally, we shall compare the properties of the distributions of the positive and negative returns . Such distributions for $`\mathrm{\Delta }t=5`$ min are displayed in Figure 6 both for the German (left) and the American (right) markets. The positive fluctuations corresponding to index drawups (upper panels) and the negative ones associated with index drawdowns (lower panels) do not differ from each other qualitatively, resembling the distributions for the absolute returns presented for this time scale in Fig. 4(b). This is in agreement with the findings of ref.  that the properties of distributions of the stock and index returns are symmetric with respect to zero.

## 4 Conclusions

To summarize, the results of our analysis show that the time intervals characterized by strongly collective behaviour of stocks are associated with the distributions of the index returns, whose properties differ from the ones for the intervals dominated by noise. Strongly correlated market can be related to the phenomenon of fat tails of the returns distribution, while faster convergence of such a distribution to normal can be attributed to a decorrelated trading. This might be considered as an empirical argument supporting the hypothesis stating that the important factor responsible for the fat tails of the distributions of the index returns is the inter-stock correlations . Such an effect is observed in both the German and the American market for time scales of at least 5 min and in the German market for even 1 min time scale. This does not exclude, however, possible influence of other factors which can either amplify the effect of inter-stock correlations or be a distinct source of the non-Gaussian tails (see ). For the DAX market, which is in principle more collective than the Dow Jones one on short time scales , the strong inter-stock couplings which occur both repeatedly in specific periods of a trading day and uniquely at random moments, lead to the occurence of the Lévy-stable region in the distributions of the index returns. This region, however, comprises returns of moderate size only and its existence does not affect the distributions’ tails. The results of our study indicate that removing spurious overnight returns in the $`S`$-windows leads to the distributions which, on short time scales, closely resemble those for the truncated Lévy processes. The existence of and switching between different fluctuation regimes in index evolution during periods of correlated and decorrelated trading resembles the phenomenon of two-phase behaviour of the demand for stocks where the equilibrium and the out-of-equilibrium phase interweave . We do not observe, however, any sudden change of properties of the fluctuations for any of the values of the control parameter $`\lambda _1`$, but rather a continuous transition from one type of behaviour to another type, which is best visible for 1 min and 5 min returns of DAX.


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# Photoacoustic detection of phase transitions at low temperatures in CsPbCl3 crystals

## 1 INTRODUCTION

CsPbCl3 crystal was investigated as a typical material undergoing structural phase transitions above room temperature (RT) (Fujii et al., 1974); the crystal is perovskite in the temperature range above 320 K, transforms to tetragonal at 320 K, and becomes orthorhombic or monoclinic at 310 K. The phase transitions are considered to be ferroelastic, related to zone-boundary phonons of M3 and R25 (Fujii et al., 1974; Hirotsu,, 1971).

On the other hand phase transition below RT was explored in the measurement of doped CsPbCl3 with the electron-paramagnetic-resonance (EPR) method, so that the results implied that phase transition takes place at about 180 K (Cape et al., 1969; Cohen et al., 1971). However the temperature of phase transition estimated from the EPR experiments is 185 (Cape et al., 1969) and 176 K (Cohen et al., 1971), and slightly different with each other. The discrepancy could come from the doping effect on the phase transition, and therefore it seems more appropriate to examine the non-doped crystal for determining the phase-transition point. The crystal structure below RT has been studied recently with the x-ray diffraction (Sakuma et al., 2002); the study concluded that the crystal is orthorhombic below RT and implied that structural transition does not take place below RT. Thus phase transition below RT is not conclusive from the structural examination. The result implies that if phase transition does take place below RT, it can be second-order transition that is not associated with any crystallographic transition.

Another recent study on phase transition at low temperatures has been performed by focusing on optical absorption tail and photoluminescence (PL) of CsPbCl3. Since the crystal is a semiconductor with direct bandgap (Heidrich et al., 1981), the electronic excited states are generated under photoexcitation. The absorption tail and PL properties suddenly change around 170 K (Hayashi et al., 2001); the results suggest phase transition below RT.

To explore the phase transition, photoacoustic spectroscopy (PAS) is a suitable method because PAS enables us to observe self-induced thermoelastic ultrasonic wave under photoexcitation. In fact phase transitions have been often studied by PAS and detected successfully (Jackson et al., 1980; Etxebarria et al., 1984); even second-order transition were observed. In the present study, it is aimed to clarify the properties of observed PA signals and furthermore to test the existence of phase transition below RT.

Experimental details are described in Sec. 2. Experimental results are presented and the wavelet analysis is applied to the PA wave in Sec. 3. The wavelet analysis has the advantage of resolving the superimposed waves into the several waves corresponding to each frequency component; for example, the electric noise mixed in the experimental data is apparently separated from PA signals. After clarifying PA-signal properties, the existence of phase transitions below RT is discussed in Sec. 4.

## 2 EXPERIMENTAL DETAILS

CsPbCl3 crystals were grown with the Bridgman technique. To purify 99.999% PbCl2 powder, the single crystal was previously grown, and 99.99% CsCl powder and the PbCl2 single crystal were mixed at equimolar amount and sealed in a quartz ampoule at about 10-5 Torr. The ampoule was set in a Bridgman furnace and was moved from the point of 970 K to that of 720 K at about 20 K/day. Though the melting temperature of CsPbCl3 is about 880 K, the ampoule was kept below the melting point for several days to anneal the specimen. Finally it was cooled from 720 K to RT for a day. The as-grown ingot of CsPbCl3 was aggregate of single crystals.

The crystal was cleaved in $`ab`$ plane perpendicular to $`c`$ axis; the crystals can be cleaved only in $`ab`$ plane. Typical dimension of the cleaved specimen was 5$`\times `$5$`\times `$1 mm3 along $`a`$, $`b`$ and $`c`$ axes respectively. Both cleaved $`ab`$ planes were used for PA measurement; one was the plane injected by incident photons and the other was firmly attached to a piezoelectric transducer (PZT) with conductive organic paste. Experimental configuration is schematically drawn in Fig. 1.

Two type of PZT were used; the PZT of 3.99-MHz resonant frequency was a plate of 5$`\times `$5$`\times `$1 mm3 and that of 1.97-MHz resonant frequency was a 10-mm diameter and 1-mm thickness disc. One of the cleaved planes was attached to a PZT as shown in Fig. 1. Curie temperatures of the PZTs were 603 K and therefore the PZTs do not undergo any phase transition in the temperature range of 150–300 K at which the present measurement was performed. The crystal and PZT were set in a He-flow cryostat. Acoustic-wave ringing effect in a PZT was checked; the effect is compared with the PA wave propagated from CsPbCl3 in the next section.

The PA signals were induced by the third harmonic generation of Nd:YAG laser; the laser pulses were 3.49 eV and 5-ns width, and the reputation was 10 Hz. Since CsPbCl3 crystals have the fundamental absorption edge at 3.0 eV (Heidrich et al., 1981), the incident light is absorbed due to the electronic interband transition, except for the surface reflection. The absorption takes place in the thin surface layer because of the absorption length less than 1 $`\mu `$m and the sample thickness of 1 mm. In this configuration the PA signal generated in the surface layer propagates through the crystal and is detected by the PZT on the back surface. Thus the detected PA wave is bulk wave propagated through the crystal; the measured PA wave does not only propagate along $`c`$ axis but also includes the off-axis wave which travels along $`a`$\- or $`b`$-axis and the multiple reflection in the crystal. The intensity of incident laser light was about 200 $`\mu `$J/pulse, and the incident light is loosely focused at the spot size of 1-mm diameter on the sample surface; the sample was not damaged by the laser-light irradiation. The PA wave was measured by an oscilloscope without any preamplifier. Different time-range data were measured by varying the coupling resistance to the oscilloscope.

The amplitude and phase of the PA signals were picked up by a two-phase lockin amplifier at the cycle of incident pulse. The reference input to the lockin detector was taken from the transistor-transistor-logic pulses synchronized with the laser pulses. In the setup the lockin detector pick up the signals of the same frequency with the reference; the amplitude is proportional to the peak intensity because the lockin detector automatically tunes the phase of sine curve to the peak position of PA signal. Measuring the PA signals by the lockin, the coupling resistance is required high; the PA wave is therefore broadened to ms-order, so that the lockin technique is applicable to the present measurement.

At the end the relation of the pulsed PA measurement with the conventional PA measurement is made mention of; pulsed PA signals are generally stronger than the conventional PA signals induced by chopper-modulated laser light because the laser pulses have higher photon density (Patel et al., 1981). In the conventional PA measurement using cw laser light of 3.81 eV and a chopper, the amplitude and phase of PA signals of CsPbCl3 show a profile similar to those of pulsed PA signals (see Fig. 4). The PA signals were just weaker than the pulsed PA signals. Consequently there is not any special advantage to employ the conventional PA technique here.

## 3 RESULTS AND ANALYSIS

Figure 2 shows detected PA wave at 296 K (curve (a)) in a $`\mu `$s range. The wave was induced by 3.49-eV pulsed laser light of 5-ns width at $`t=12.5`$ $`\mu `$s. The PA wave continues to oscillate prominently for more than 80 $`\mu `$s. For comparison with the PA wave, PZT ringing (curve (b)) was also displayed to a similar scale; it was measured under direct photoirradiation onto the PZT attached to nothing but lead wires. The ringing in the PZT is directly stimulated due to the laser pulse, independent of photon energy of laser pulses. The envelope of rapid component decays exponentially at about 10 $`\mu `$s and the slow component weakly survives up to 100 $`\mu `$s. As seen in Fig. 2, the decay of PA wave is different from the PZT ringing. That is, the ringing effect on the detected PA wave is not dominant. Probably the oscillatory structure of PA wave mainly comes from long lasting multiple reflection of the thermoelastic wave in the crystal. Besides the PZT ringing such as curve (b) in Fig. 2 becomes comparable to the PA waves only under direct and 1.5-times more intense excitation. Thus, though the influence of ringing is in principal included in the measured PA wave, the contribution is quite small. It is also shown in the analysis of Fig. 3.

Figure 3(a) presents the PA wave at 297 K, which was detected by a PZT of resonant frequency of 1.97 MHz. Solid line in Fig. 3(a) represents the measured PA wave, and dashed line shows the incident laser pulse of 3.49 eV.

To analyse this real time oscillation, we choose to use the wavelet method. In the present analysis, the fourth B-spline wavelet $`\psi _4`$ in the inset of Fig. 3(b) is selected from many wavelets; the $`\psi _4`$ is a finite wave packet composed of third-order polynomials and corresponds mainly to a narrow frequency band via Fourier transformation (Sakakibara, 1994). First the measured PA wave in Fig. 3(a) is approximated by the fourth B spline. A good approximation is displayed as $`f_0(t)`$ in Fig. 3(b). The PA wave $`f_0(t)`$ is decomposed as follows: $`f_0(t)=\mathrm{\Sigma }_jg_j(t)`$ where $`g_j(t)=\mathrm{\Sigma }_kd_k^{(j)}\psi _4(2^jtk)`$, and $`d_k^{(j)}`$ are coefficients (Sakakibara, 1994). The $`f_0`$ is well resolved by $`g_j`$ ($`j=1,\mathrm{},6`$). Figure 3(b) displays the result of wavelet decomposition. $`g_1`$ and $`g_2`$ make small contribution; the $`g_2`$ represents electric noise at 25 $`\mu `$s which appears without PA signal and stems from the trigger signal for measurement. $`g_4`$ is apparently predominant, and $`g_3`$ and $`g_5`$ contribute to some extent. Though $`g_6`$ also contributes slightly, it almost corresponds to the PZT ringing observed in this time range. $`g_3`$, $`g_4`$ and $`g_5`$ are consequently regarded as the contributors responsible for the PA wave. $`g_4`$ corresponds to the frequency band at 1.5 MHz. On the other hand $`g_6`$ does to the band at 0.4 MHz; the frequency is distinctive from the PZT resonant frequency of 1.97 MHz, that is, the ringing just stems from multiple reflection of acoustic wave in the PZT. Thus, by removing the electric noise and ringing components, the PA component in time domain is found to be superposition of a few frequency bands.

At the end of PA-wave analysis, it is to be noted that PA wave is almost invariant in 150–300 K. Therefore PA wave at 296 K was analysed here.

PA-signal amplitude (solid circle) and phase (dot) are plotted against temperature (150–250 K) in Fig. 4. They were measured, by using 10-Hz and 3.49-eV laser pulses and a PZT of resonant frequency of 1.97 MHz, with the raising and lowering rates of 1.2 K/min. The incident light was parallel to $`c`$ axis. The amplitude and phase measured with decreasing temperature indicate a prominent peak and dip at 198 K respectively while those with increasing temperature have a similar peak and dip at 231 K. Another prominent change in the phase, that is, the leap by two degrees is observed at 177 K in the data on cooling. Arrows indicate the lower edge of phase change. The origins of changes are discussed in Sec. 4.

Tens of jumped data points appear for both amplitude and phase only in the data on cooling. The irregular data presumably originate from unexpected cracking of the crystal on cooling because the irregularity is far less on heating. Besides it appears very differently on second cooling or in another sample. However the prominent dips and peaks are reproduced; it is therefore relevant that they indicate intrinsic changes in the crystal.

Concerning with the cracking, there are a few remarks: (i) The PA measurement was begun at RT and kept to 150 K. Before measuring PA signals on heating, the sample was cooled to about 120 K. It was due to the thermal controller. (ii) The excess cooling probably induces further cracking. In fact, the amplitude of PA signals on heating is about half on cooling (see Fig. 4). (iii) In the present setup of Fig. 1, PA wave travels through the crystal. The cracking consequently decreases measured PA signals.

## 4 DISCUSSION ON PHASE TRANSITIONS

The changes of PA-signal amplitude and phase in Fig. 4 is discussed in this section. As shown in Figs. 2 and 3, PA wave consists of thermoelatic ultrasonic components. Therefore the amplitude and phase detected by a two-phase lockin amplifier correspond to those of thermoelatic wave. The amplitude is proportional to the peak intensity in two-phase lockin equipment. The phase generally depends on the amplitude. Figure 4 shows the amplitude (closed circles) and phase (dots) of thermoelastic wave vs temperature. The intensity has tens of microvolts at 150–250 K while the phase increases as temperature becomes lower. The gradual changes come from the thermal deformation of crystal.

The changes at 198 and 231 K in Fig. 4 are probably due to those of propagation of bulk thermoelastic wave; the change seems different from gradual thermal deformation of the crystal and from the change of the PZT which has Curie point at 603 K. The changes are therefore ascribed to a phase transition at the temperatures. Indeed they show similar profiles except for irregular data. The transition has large hysteresis between cooling and heating.

A theoretical study on photoacoustic detection of phase transition (Etxebarria et al., 1984) showed that the profiles of amplitude and phase of PA signals are similar to those at a second-order phase transition. It is therefore likely that the transition at 198 and 231 K is second-order. Arrows in Fig. 4 indicate the lower edge of phase and correspond to the transition points estimated from the indication by Etxebarria et al. (1984). According to the calculation, the amplitude decreases to zero at a first-order transition because of ultrasonic attenuation of structural transition.

As noted in Sec. 1, phase transitions below RT in CsPbCl3 have been hard to be detected. This is because structural study by x-ray diffraction is ineffective in the crystal (Sakuma et al., 2002). The result is consistent with the assignment that the type of transition at 198 and 231 K is second-order. In addition another phenomenological analysis for second-order phase transition (Landau et al., 1984) derives the leap of sound velocity and the increase of absorption coefficient of ultrasonic wave at second-order phase-transition point when lattice distortion couples with the square of order parameter; it is often called Landau-Khalatnikov mechanism. The dips of amplitude in Fig. 4 are explained by the increase in absorption coefficient of MHz-thermoelastic wave in the crystal.

On the other hand another possibility for the type of transition still exists. The study employing x-ray diffraction indicated that the crystal, keeping the crystallographic group, varies the length of unit cell along $`a`$ and $`c`$ axes while it hardly changes the length along $`b`$ axis (Sakuma et al., 2002). It is thus possible that slight displacement of lattice takes place in the unit cell; the slight change might not be well discriminated in the x-ray-diffraction study. Recently order-disorder transition was reported at 193 K by Raman scattering (Carabatos-Nédelec et al., 2003); the assignment is consistent with the possibility of slight structural change. Consequently there are two possibilities at present; the type of transition at 198 and 231 K is due to second-order or the slight structural transition in the unit cell.

The leap of phase at 177 K in Fig. 4 appears on cooling and is sharper than the change at 198 K. It is improbable that the sudden change at 177 K comes from the adiabatic deformation of the crystal. That is, it also suggests the existence of a phase transition at the temperature. The transition is most likely different from that at 198 K because the profiles are inconsistent with each other. The leap at 177 K is possibly due to a second-order phase transition though the type is not conclusive just like that at 198 K.

The leap at 177 K is observed only on cooling. The reason is presumably as follows: as remarked at the end of Sec. 3, the amplitude of PA signal on heating is two-times weaker than that on cooling, because of cracking. It is consequently harder to detect the slight change of PA signal on heating. Indeed the leap at 177 K on cooling is the same order with the noisy fluctuation of signals. Thus the leap on heating may be hidden.

The cracking perhaps connects to the ferroelastic nature at low temperatures. Ferroelastic domains are typically several micrometers in various materials. The boundary of domains prevents PA wave from propagating for long distance up to 1 mm. On the other hand PL properties mainly depend on the local structure within several tens of nanometers. Indeed PL shows hysteresis on cooling and heating. The explanation for the absence of PA-signal leap on heating is compatible with the change of PL properties.

In conclusion, PA signals in CsPbCl3 crystals have been studied below RT; it has been shown that the leap of the PA signals appears at 177 and 198 K on cooling and at 231 K on heating. Though the profiles imply second-order phase transition, the slight structural transition in the unit cell is not excluded. Thus the types are not yet conclusive at present. However phase transitions below RT are confirmed by examining PA signals. The transition at 177 K is probably responsible for the leap of EPR signals (Cohen et al., 1971) and for the sudden change of optical and PL properties (Hayashi et al., 2001).

## Acknowledgments

I would like to acknowledge Dr. K. Yoshino (Miyazaki Univ.) for introducing me to PAS, and also thank Mr. T. Kobayashi for the growth of CsPbCl3 crystals and Prof. T. Hayashi (Kyoto Univ.) for support to the study. This work was partly supported by Grant-in-Aid for Research Fellow of the Japan Society for the Promotion of Science.