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# Universality in the Screening Cloud of Dislocations Surrounding a Disclination

## 1 Introduction

Topological defects, mainly disclinations and dislocations, play a crucial role in the understanding of the physics of many two-dimensional (2D) systems . Although computational techniques such as analytical methods, Ewald summation techniques , Monte Carlo simulations , etc.. can be used in many different contexts, they become quite inefficient in other situations, particularly with crystals having a boundary or lying on a curved background. In this paper, a new approach based on previous work by Seung and Nelson  will be discussed in detail. The computational methods developed allow to obtain the lowest energy configuration for an arbitrary distribution of defects in a crystal lying on an arbitrary geometry with an arbitrary elastic energy at zero temperature. The method is general enough to include Bravais lattices other than the triangular case. A discussion of the screening cloud of dislocations surrounding a disclination will be presented. This problem will be used as a testing ground where the results may be compared with the analytical predictions from elasticity theory derived in this paper.

An interesting experimental example where the dislocation cloud surrounding a disclination appear is given by colloidal particles crystallizing on the surface of a sphere (colloidosomes) . As a consequence of the Euler theorem , an sphere must have a total disclination charge of 12. If the total number of particles forming the sphere is large enough, the ground state contains more defects than the 12 necessary to satisfy the Euler theorem. Those additional defects are dislocations surrounding a disclination, as illustrated in fig. 1, arranging in the form of grain boundaries. Those grain boundaries have two very distinctive features 1) terminate inside the medium and 2) have a total disclination charge of +1. These features are intimately related to the geometry of the problem and should appear whenever the Gaussian curvature is large enough . Similar structures have been also observed in simulations of the Thomson problem . Clouds of dislocations (with the minus disclinations playing the role of plus charges) should also appear in crystals on a negatively curved background . Those situations are relevant as two dimensional analogs of the frustration associated with the three dimensional tetrahedral packing  and other surface physics problems .

The problem of grain boundaries radiating out of disclinations is also important for understanding certain aspects of the problem of two-dimensional melting. The KTHNY  scenario predicts a two stage melting from a crystal into an isotropic phase via an hexatic phase. This picture has been confirmed by a large number of examples (see  for reviews). Very precise numerical simulations  have found very good agreement with the predictions of the KTHNY scenario. Different inherent structures (IS) characterize each phase, and disclinations appear as forming grain boundaries with very similar characteristics as the ones found in the Colloidosome problem. Similar structures have been found in recent simulations, and the defects have been characterized by $`1/f`$ noise . Recent experiments on plasmas  and colloids , have found also a similar situation, with correlation functions in good agreement with the KTHNY scenario and grain boundaries with similar characteristics. Alternative melting scenarios have exploited the short-range nature of the stresses produced by grain boundaries of dislocations .

The physics of Langmuir monolayers has received a lot of attention in recent years , but many important questions have not yet been clarified. It seems very clear that topological defects play a crucial role in problems such as melting or the collapse of monolayers . More sophisitcated systems, such as sphingomyelin, where additional hydrogen bonding may be formed, show a much richer phase diagram . Biphasic surfactant monolayers show additional defect structures (mesas) .

Radial grain boundaries radiating from a central disclination are also found in hexatic $`I^{}`$ and crystal $`J^{}`$ tilted liquid crystal phases . The tilt is used to force a disclination and a pattern of radial grain boundaries (with 5 arms) is observed.

The methods described in this paper are also relevant for a restricted type of quantum dots  in which the density of electrons is is small and the external disorder potential is weak enough so that the electrons in the dot form a Wigner crystal, so called “Wigner Crystal Islands” . The methods presented in this paper are relevant to this case as well, as only a change of the boundary conditions for the problem is required.

Dislocation clouds also appear in many other problems such as, partially polymerized membranes , Wigner crystals  and in carbon nanotubes, particularly in the so called “Onion” rings, which are successive spherical layers of graphite .

The organization of the paper is as follows. A review of continuum results is given in Sect. 2. The discretized approach is introduced in sect. 3 and compared against the continuum results for isolated defects. The scaling relations satisfied by the energy are derived in sect. 4. Numerical results are presented in sect. 5 and their universality with respect to the Lame coefficients is discussed in sect. 6. Sect 7 is a brief overview of the effect of curvature. We wrap up with some conclusions in sect. 8. Several technicalities are relegated to the appendices.

## 2 Continuum Results

The elastic energy of a continuum is given by

$$F=\frac{1}{2}d^2r(2\mu u_{\alpha \beta }^2+\lambda (u_{\alpha \alpha })^2)$$
(1)
where the strain tensor is defined as

$$u_{\alpha \beta }=\frac{1}{2}(\frac{u_\alpha }{x_\beta }+\frac{u_\beta }{x_\alpha }+\frac{u_\rho }{x_\beta }\frac{u_\rho }{x_\alpha }).$$
(2)
The quadratic term in the strain tensor is usually dropped, as it usually amounts to higher order negligible corrections to the total energy. Those terms cannot be entirely neglected if disclinations are involved  (For consistency, other energy terms quadratic in the strain tensor should also be included, but for the sake of simplicity this point will be ignored). The Young modulus and Poisson ratio are

$`K_0`$ $`=`$ $`4\mu {\displaystyle \frac{\mu +\lambda }{2\mu +\lambda }}`$
$`\nu `$ $`=`$ $`{\displaystyle \frac{\lambda }{2\mu +\lambda }}.`$ (3)
Using known analytical techniques, the strains for a dislocation and a disclination may be solved in linear order . For a dislocation with Burgers vector $`𝐛=b𝐞_x`$ the result is

$`u_x`$ $`=`$ $`{\displaystyle \frac{b}{2\pi }}(\varphi +{\displaystyle \frac{K_0}{8\mu }}\mathrm{sin}(2\varphi ))`$ (4)
$`u_y`$ $`=`$ $`{\displaystyle \frac{b}{2\pi }}({\displaystyle \frac{\mu }{\lambda +2\mu }}\mathrm{log}(r/a)+{\displaystyle \frac{K_0}{8\mu }}\mathrm{cos}(2\varphi )).`$
The strains for disclinations of charge $`s`$ are

$`u_r`$ $`=`$ $`{\displaystyle \frac{s}{2\pi }}r(1{\displaystyle \frac{2\mu }{2\mu \lambda }}(A_s+1/2){\displaystyle \frac{2\mu }{2\mu +\lambda }}\mathrm{log}(r/R))`$
$`u_\varphi `$ $`=`$ $`{\displaystyle \frac{s}{2\pi }}r\varphi ,`$ (5)
There is an arbitrary constant $`A_s`$ which will be determined in the appendix sect. A.

Plugging Eq. 4 and Eq. 2 into Eq. 1 The energies for a dislocation of Burgers vector $`b`$ is

$$F=\frac{|𝐛|^2}{8\pi }K_0(\mathrm{ln}(R/a)+\text{const}).$$
(6)
As it is shown in the appendix sect. A, the constant $`A_s`$ is related to the two-dimensional pressure $`\mathrm{\Pi }`$. Following the same steps as for a dislocation, the energy for an isolated disclination of charge $`s=\frac{\pi }{3}q_i`$ under pressure becomes

$$F=\frac{s^2}{32\pi }K_0R^2+\frac{\pi \mathrm{\Pi }^2}{8}R^2.$$
(7)
The energy dependence, growing as $`R^2`$, is energetically very costly. Grain boundaries of dislocations may screen out the disclinations, thus reducing the huge energy cost of an isolated disclination, if the angle of the grain boundary exactly compensates the missing or additional wedge (a multiple of $`\frac{\pi }{3}`$ for triangular lattice) caused by the disclination. From the geometric argument in fig. 2, the angle of grain boundary $`\theta `$ is given by

$$2R\mathrm{sin}(\theta /2)=nb,$$
(8)
where $`n`$ is the total number of dislocations all having Burgers vector $`b`$. Further assuming a constant spacing of dislocations within the grain $`D`$, the relation $`B=Rb/D`$ holds and one gets

$$2\mathrm{sin}(\theta /2)=b/D.$$
(9)
upon identifying $`\theta `$ with the missing or additional wedge removed to form the disclination , Eq. 9 becomes

$$2\mathrm{sin}(\frac{\pi }{6m})=b/D,$$
(10)
leading to an equation for the spacing $`D`$ as a function of the number of arms $`m`$. A detailed analytical proof for this result using linear elasticity theory is provided in appendix B, where the total energy of the system of a disclination and an m-arm grain boundary (see fig. 5) is given by Eq. 53. There is also a linear term in $`R`$ arising from two different contributions, the stresses of grain boundaries of dislocations, discussed in appendix C and the core energies of the defects. The total contribution to the energy is then,

$$F=\frac{(sm\frac{b}{D})^2}{32\pi }K_0R^2+\left(H(2\pi \frac{a}{D})+4\pi c\right)m\frac{K_0}{4\pi }\frac{a^2}{D}R,$$
(11)
where the function $`H`$ is defined in the appendix Eq. 57. The pressure $`\mathrm{\Pi }`$ has been set to zero. The total number of dislocations is $`n=m\frac{R}{D}`$. The core energy has been parametrized as $`E_{core}=K_0a^2c`$, where $`c`$ is a dimensionless coefficient (but not independent of the elastic constants).

If the spacing $`D`$ is given by Eq. 10, the leading $`R^2`$ term in Eq. 11 is canceled and only the linear term in $`R`$ , which we denote as $`f`$, survives

$$f\left(H(2\pi \frac{a}{D})+4\pi c\right)m\frac{K_0}{4\pi }\frac{a^2}{D}R,$$
(12)
For future reference, we quote the result for large $`m`$

$$f=\left(\frac{1}{4\pi }(1\mathrm{log}(\frac{2\pi ^2}{3m}))+c\right)mK_0a^2\frac{R}{D}.$$
(13)
At perfect screening $`m\frac{a}{D}=q_i\frac{\pi }{3}`$ and the energy grows logarithmically with $`m`$. All previous results assume an infinite system (large $`R`$). How large $`R`$ must be in order that the infinite radius result hold, will be estimated next.

The interaction energy of two grain boundaries decays exponentially fast as a function of their mutual distance , with a decay length

$$\lambda _{gb}=\frac{D}{2\pi },$$
(14)
$`D`$ being the distance between dislocations within the grain (fig. 2).

dislocations that are a distance $`L`$ from the disclination will be invisible to the dislocations in other arms if

$$2L\mathrm{sin}(\pi /m)>>2\lambda _g.$$
(15)
therefore from Eq. 14 and Eq. 10 it follows

$$L>>\frac{3}{\pi }m^2b.$$
(16)
For $`R>L`$ the infinite result Eq. 12 will hold. The dependence of Eq. 16 on $`m^2`$ points out that the behavior Eq. 12 for large number of arms will not be reached until the radius $`R`$ is very large.

## 3 Discretization of the Elastic Free Energy

We consider a 2d triangular lattice of monomers with lattice constant $`a`$. The actual position of the $`(n,m)`$ monomer is described by $`𝐫_{(n,m)}`$ and it may be decomposed as

$$𝐫_{(n,m)}=n𝐞_1+m𝐞_2+𝐮_{(n,m)},$$
(17)
where $`𝐮_b`$ is the strain at point $`b`$ and $`𝐞_i,i=1,2`$ define a basis of the Bravais lattice. For a triangular lattice it is

$`𝐞_1`$ $`=`$ $`𝐞_x`$ (18)
$`𝐞_2`$ $`=`$ $`{\displaystyle \frac{1}{2}}𝐞_x+{\displaystyle \frac{\sqrt{3}}{2}}𝐞_y.`$
The discrete elastic free energy that we will use is

$$F=\frac{ϵ}{2}\underset{<bc>}{}(|𝐫_{bc}|1)^2+\sigma \underset{b,c}{}(\frac{1}{2}\frac{𝐫_{bc}𝐫_{bc+1}}{|𝐫_{\mathrm{𝐛𝐜}}||𝐫_{\mathrm{𝐛𝐜}+\mathrm{𝟏}}|})^2.$$
(19)
The summation in the first term runs over links defined by vertices $`a,b`$, and in the second term the sum runs over all nearest neighbors of point $`b`$. Other discretizations are also possible but do not modify the results as it will be discussed.

In order to proof the equivalence of Eq. 19 with the continuum result Eq. 1, one must define the discrete derivatives first. The derivatives of a general function $`f(𝐫)`$ are only defined along the discrete direction of the triangular lattice, so a general derivative is precisely defined from

$`_xf(𝐫_b)`$ $`=`$ $`{\displaystyle \frac{f(𝐫_b+a𝐞_1)f(𝐫_b)}{a}}`$ (20)
$`_yf(𝐫_b)`$ $`=`$ $`{\displaystyle \frac{f(𝐫_b+a𝐞_2)f(𝐫_b)\frac{1}{2}(f(𝐫_b+a𝐞_1)f(𝐫_b))}{a\sqrt{3}/2}}.`$
Using the previous definition, the discrete metric becomes

$$g_{ij}(b)=_i𝐫_b_j𝐫_b.$$
(21)
The distance between two nearest neighbor points is

$$|𝐫_a𝐫_𝐛|=(1+2u_{ij}e_{ab}^ie_{ab}^j)^{1/2},$$
(22)
where the discrete strain tensor is defined from the derivatives Eq. 20 by

$$u_{\alpha \beta }=\frac{1}{2}(\frac{u_\alpha }{x_\beta }+\frac{u_\beta }{x_\alpha }+\frac{u_\rho }{x_\beta }\frac{u_\rho }{x_\alpha }).$$
(23)
Expanding Eq. 22 using Eq. 59 derived in the appendix, the first term of the discrete energy is identical to Eq. 1 with

$`\lambda `$ $`=`$ $`{\displaystyle \frac{\sqrt{3}}{4}}ϵ`$
$`\mu `$ $`=`$ $`{\displaystyle \frac{\sqrt{3}}{4}}ϵ.`$ (24)
The same expansion to the second term using the relations Eq. 60, 61, 62 from the appendix lead to

$`\lambda `$ $`=`$ $`9{\displaystyle \frac{\sqrt{3}}{4}}\sigma `$
$`\mu `$ $`=`$ $`9{\displaystyle \frac{\sqrt{3}}{4}}ϵ.`$ (25)
The elastic constants of the two terms combined are then

$`\lambda `$ $`=`$ $`{\displaystyle \frac{\sqrt{3}}{4}}(ϵ+9\sigma )`$
$`\mu `$ $`=`$ $`{\displaystyle \frac{\sqrt{3}}{4}}(ϵ9\sigma ),`$ (26)
and therefore, Eq. 19 provides a suitable discretization of Eq. 1 with arbitrary elastic constants. It should be recalled that higher order terms in the displacement are dropped to lead to Eq. 3.

In this paper, the particular geometry that will be used consists of a plus or minus disclination (a pentagon or an heptagon respectively) at the center of the crystal. The total number of monomers forming the crystal is a function of the linear size $`R`$ and depends on the total number of dislocations. If only a center defect of charge $`q_i`$ is present, the total number of monomers is

$$M=(6q_i)\frac{R^2+R}{2}+1,$$
(27)
Even with additional dislocations, the total number of points will still grow like $`(6q_i)R^2`$.

### 3.1 Energies of single defects

The energies of isolated dislocations and disclinations will be compared against the analytical predictions derived previously. This will provide a benchmark to the present approach.

In fig. 3 the minimum energy results of a configuration containing a dislocation for different values of the Lame coefficients. A fit to the form of Eq. 6 yields

$$\frac{F}{K_0|𝐛|^2}=0.0395(2)\mathrm{log}(r)$$
(28)
in agreement within of $`1\%`$ with the analytical result $`\frac{1}{8\pi }=0.03979`$. The small deviation may be attributed to the neglect of higher order terms in the continuum calculation. Core energies may be computed from the intercept in fig 3. The results are summarized in table 1. It should be noted that core energies for crystals with the same Young modulus are different.

The results of the same analysis for single disclinations are shown in table 2. The most accurate determination yields

$$\frac{F}{R^2K_0s^2}=0.00785(1),$$
(29)
both for plus and minus disclinations (Results for $`\lambda =\mu `$ were first obtained with less accuracy by ). Although the coefficient is off from the analytical result Eq. 7 by a significant amount, it is remarkably universal as a function of the elastic constants. The energies are also the same for both plus and minus disclinations within a $`0.1\%`$ accuracy (more accurate results do show that sevenfold defects have a marginally lower energy). There is, however, a term that grows linearly with $`R`$ in the discretized energy. This term is quoted also in table 2.

It is also instructive to compare the continuum strain solution $`𝐫_A`$ Eq. 2 with the configuration from the discrete calculation. The difference will be quantified from the function

$$E(r_b)=\frac{|𝐫_b𝐫_A|}{|𝐫_b|+|𝐫_A|}$$
(30)
and it is plotted in fig. 4. The relative error is always below $`0.01\%`$, becoming as low as $`10^6\%`$.

## 4 Scaling Relations for Grain Boundaries

The degrees of freedom defining a grain boundary of dislocations are (see fig. 5):

* $`m`$: number of arms.
* $`l_{gb}`$: Length of the grain boundary from the central disclination.
* $`\mathrm{\Psi }`$: angle of the grain with some specified crystallographic axis.
* $`D`$: spacing of dislocations within each grain.

The spacing $`D`$ does not generally need to be restricted to be constant. The linear size of the system is $`R`$.

It is convenient to define the dimensionless variable

$$x=l_{gb}/R,$$
(31)
which by definition satisfies $`0x1`$. $`x=1`$ implies that grains reach the boundary while $`x=0`$ implies no dislocations. Eq. 11 will be generalized (for zero temperature) by assuming that for intermediate values of $`x`$ the following scaling behavior holds

$$E=K_0R^2𝒬(x,m,D,\mathrm{\Psi })$$
(32)
where as $`x0`$ $`𝒬`$ approaches Eq. 7. This scaling law however, may break down if the sub-leading linear terms in $`R`$ become comparable. The condition expressing this situation is given by (see Eq. 12).

$$𝒬(x_c)\frac{\pi x_c}{3R}f,$$
(33)
If the term square in $`R`$ vanishes, this equation must hold for some $`x_c`$ and scaling will break down for all $`x>x_c`$.

If the square term in $`R`$ does not cancel, then the scaling relation must hold for large $`R`$ as well. That will be the case for spacings $`D`$ not satisfying Eq. 10. The $`𝒬`$ function should exhibit a minima roughly at the critical $`x_m`$ where the additional angle added by the dislocations compensates the missing or additional angle by the disclinations. The critical $`x_m`$ is given by

$$x_m=2D\mathrm{sin}(\pi /(6m)),$$
(34)
with the additional constraint $`x_m<1`$. Therefore the $`𝒬`$ should exhibit a minima for $`x_m`$.

The angle $`\mathrm{\Psi }`$, defined as the angle of the grain with respect a crystallographic axis, for an m-grain boundary commensurate with the p-fold symmetry of the central disclination will be constrained to

$$0\mathrm{\Psi }<\frac{\pi }{m}.$$
(35)
A straight-forward analytical calculation shows that $`𝒬`$ should be independent of $`\mathrm{\Psi }`$. It will be shown that this result ignores the constraints imposed on the Burgers vector by the underlying lattice.

## 5 Numerical study of grain Boundaries

### 5.1 Some computational details

The calculations have been done by relaxing an initial configuration consistent with the given distribution of defects using the conjugate gradient method. The numerical accuracy was tested by checking the convergence of the final results as a function of the tolerance error in the algorithm. Whenever different initial configurations consistent with the given distributions of defects were tried, the final result was found to be identical. The energies were computed to a seven digit precision or more.

For each value of the parameters, results were obtained for linear sizes ranging from $`R=10`$ to $`R=200`$ corresponding to typical volume sizes from $`247`$ to $`140000`$ monomers. Those lattices are, in many cases, larger than some experimental systems available. Free boundary conditions were incorporated by allowing the system to reach its natural extend without any external constraint.

The code has been written in C++ using objected oriented design. This provides the flexibility of incorporating any potentially new geometry, distribution of defects or discretization energy at any future time with a very minute effort. The code has some limitations too, one of them being that non-integer spacings (cases were dislocations within the grain should be slightly non-constant to mimic fractions of the lattice spacing) have not been implemented effectively. Typical minimizations of a system with $`R=100`$ (total number of monomers $`M=25000`$) take 9 minutes at a $`10^{10}`$ precision and 5 minutes at $`10^5`$ precision in a Dell 1.80 GHz dual Xeon procesor running Linux Red Hat. Further computational details will be presented elsewhere.

### 5.2 Scaling as a function of $`l_{gb}`$ and $`D`$

A plus disclination will be placed at the center of the crystal and grain boundaries will be fixed to have angle $`\mathrm{\Psi }=\pi /5`$ and number of arms $`m=5`$. The energy will be investigated as a function of the parameters $`l_{gb}`$ and $`D`$. The elastic constants will be chosen as $`\lambda =\mu `$.

The energy of relaxed configurations is plotted in fig. 7 as a function of the scaling variables. the $`𝒬`$ function is plotted for a plus-disclination and a $`m=5`$ grain boundary with spacing $`D=5`$. The plots follow very well the ansatz in Eq. 32, with obvious deviations for values of $`x`$ closer to 1.

In order to determine the coefficient of the linear term in R, defined as $`f`$ in Eq. 12, it will be assumed that the points on fig. 7 for $`x1`$, which clearly do not scale, are described by Eq. 12. The results are plotted in fig. 7 and one obtains for the $`f`$-coefficient

$$f=0.081(5).$$
(36)
Since we are not looking for a high precision value for the $`f`$-coefficient, two values for $`l_{gb}`$ were included for any given $`R`$. This provides strong evidence of the robustness of the fit. The theoretical value of the $`f`$ coefficient arises from a grain boundary contribution Eq. 56 and a core energy which may be estimated from a single dislocation (given in table 1). The two contributions give

$$f=0.063\text{(Grain Boundary)}+0.029\text{(Core Energy)}=0.092,$$
(37)
considering the approximations involved (basically linear elasticity theory and non-interacting grains), the agreement with Eq. 36 is acceptable.

The value obtained for $`f`$ may be cross-checked by assuming that the scaling behavior will break down when the value for the linear term is, say one third, of the square term. The intersection of the straight lines in fig. 7 provide a visual solution to Eq. 33 and an estimate of the critical $`x_c`$ as a function of $`R`$ in reasonable self-consistent agreement, particularly for large values of $`R`$.

Three regions may be clearly identified from fig. 7:

* ($`x0`$): The energy is dominated by the strains of the central disclination and the effect of adding additional defects is negligible.
* ($`0<<x<x_c`$): The inclusion of more defects dramatically lowers the energy.
* ($`x>x_c`$): The core energy contribution sets in and scaling breaks down, the energy grows linearly with $`R`$, as apparent from fig. 7.

It should be noted from fig. 7 that if the intermediate region could be extrapolated to to $`x1`$ before the core energy terms would become noticeable, the energy would go to zero as $`(x1)^2`$, that is, independent of the linear size $`R`$.

A typical relaxed final configuration is shown in fig. 13. The plot is only for a small region around the central disclination, but it clearly shows that for regions away of the defects the triangles forming the crystal are almost equilateral (unstrained).

### 5.3 Scaling function for non-optimal $`D`$ values at fixed $`m`$ and $`\mathrm{\Psi }`$

The $`𝒬`$ function for $`D`$ values significantly different than $`D_{crit}=\frac{5}{3}\pi `$ are plotted in fig. 9 ($`D=3`$) and fig. 9 ($`D=7`$).

For $`D<D_{crit}`$ the scaling function has a minima as a function of $`x`$ in reasonable agreement with the value predicted by Eq. 34. As it is very apparent from fig. 9 the energy grows quadratically (compare with fig. 9) with the system size, even in the presence of the grain boundaries. The fit gives

$$\frac{E}{K_0R^2}=0.0055(4).$$
(38)
This result should be compared with the theoretical estimate Eq. 53 for $`\mathrm{\Pi }=0`$, $`D=3`$, $`m=5`$

$$\frac{E}{K_0R^2}=0.0039.$$
(39)
Although the result is not too different, the quantitative agreement is not very good. This may be attributed to assuming linear elasticity, which as already seen is not very accurate if disclinations are involved.

The energy for $`D=7`$ does not exhibit a minima because that should appear for values of $`x>1`$. The total energy for $`D=7`$ is significantly larger than for $`D=5`$, as it becomes apparent from the relative scale of the y-axis of the plot. The theoretical estimate Eq. 53 for $`\mathrm{\Pi }=0`$, $`D=7`$, $`m=5`$ is

$$\frac{E}{K_0R^2}=0.0011.$$
(40)
The result in fig. 11 approaches this limit, although the statistics are not as good as in for $`D=3`$.

### 5.4 Dependence on the orientation of the grain $`\mathrm{\Psi }`$

The dependence on the angle $`\mathrm{\Psi }`$ is plotted in fig. 11 for angles $`\mathrm{\Psi }=0,\frac{\pi }{10},\frac{\pi }{5}`$. Typical final relaxed configurations are shown in fig. 13 ($`\mathrm{\Psi }=\pi /5`$) and fig. 13 ($`\mathrm{\Psi }=0`$). The final relaxed configurations for $`\mathrm{\Psi }=\frac{\pi }{5}`$ are very regular while the dislocations for the angle $`\mathrm{\Phi }=0`$ display a rather jagged pattern. Provided that the total Burgers vector is zero, the only difference in the energies arises from the grain boundary terms. Therefore, the energy difference in the results fig. 11 should be attributed to the constraints induced by the lattice to the Burgers vector.This point might be substantiated numerically with a more comprehensive calculation, but this has not been done, partly because the angle $`\mathrm{\Psi }`$ is not well defined for values of $`m`$ different than 5. The previous considerations reflect that the optimal angle for $`m=5`$ grain boundaries is given by $`\mathrm{\Psi }=\pi /5`$.

### 5.5 Dependence on the number of arms $`m`$

The analysis for different value of $`m`$ will be restricted to the optimal spacing values Eq. 9 and to the more relevant case $`x1`$ ($`l_{gb}R`$). Some representative relaxed configurations are shown in fig. 15-17. Similarly as it was found in the investigation of the dependence on $`\mathrm{\Psi }`$ subsect. 5.4 the constraint that dislocations can only be oriented along directions defined by the triangular lattice is the origin of additional frustration, leading to jagged arrangements which follow the ideal orientations only approximately.

The results corresponding to the energy are shown in fig. 18. For finite radius, the smaller values for $`m`$ are clearly favored. As $`R`$ becomes large the values for the energy become degenerate (within the numerical accuracy) in $`m`$ for $`m`$ within the range $`m=25`$. An evaluation of the $`H`$ function in Eq. 12 points out that the $`m=2`$ result should have the lowest energy. However, the difference in energy for arms $`m=26`$ are small compared with the core energy contribution, and at this precision, contributions from second order elasticity theory which have not been included may become important.

For larger $`m`$ the results show a larger energy, which is in qualitative agreement with the logarithmic dependence given by Eq. 13. Numerical results for large $`m`$ become increasingly difficult because it is difficult to direct the dislocations along the correct directions and also, because of the small number of dislocations per arm involved. A study including larger volumes than the ones performed here is necessary for more rigorous results. Finite size effects have been predicted to be negligible quadratically as a function of $`m`$ (see Eq. 12). The convergence is roughly consistent with that dependence.

### 5.6 Scaling collapse for minus disclinations

Results for minus disclinations have not been computed with the same accuracy as for positive ones. Nevertheless, the same trends as for fivefold defects are observed, as shown in fig. 20. The data collapses well to the assumed form Eq. 32, and the overall energy in the intermediate region is smaller than for fivefold defects.

## 6 Universality of the Results

The main assumption in the scaling forms for the energy Eq. 32 is that the only dependence on the elastic constants arises from the Young modulus. This is also true for all sub-leading terms, except for the core energy coefficient $`c`$ as it is obvious from table 1. Therefore, we will present the results by subtracting out the core energy contribution, and the results should then become universal.

Energy values for $`x1`$ plotted this way are shown in fig. 20. Except for very small systems, the universality hypothesis holds very well. Although cannot be conveyed from the plot, the energies for different Poisson ratio collapse to the same universal result with an accuracy less than $`0.1\%`$. This proves that the assumed form for the energy dependence is indeed universal, independent of the microscopic details of the lattice.

This universality of the $`𝒬`$ function is also remarkable since the present calculation goes beyond linear elasticity, not only through the quadratic term in displacements kept in the strain tensor Eq. 23, but also through the higher powers of the strain tensor implicitly neglected in going from the discrete energy Eq. 19 to the continuum result Eq. 1. Those non-linear elasticity terms have shown to be quite important when disclinations are involved, and yet, do not seem to disturb in any way the scaling form assumed for the $`𝒬`$ function. It seems reasonable then to assume that the results presented are not only universal with respect the two elastic constants, but also with respect to higher order terms in the elastic energy.

## 7 The Spherical Cap

Although the results presented in this paper are interesting on their own, much of the motivation for carrying out such a project arises as an effort to provide efficient computational tools for investigating crystals on frozen geometries. We will therefore present a brief outline of some preliminary results for that problem. This will also provide a broader perspective of the versatility of the method.

Screening of disclination by grain boundaries is not the only mechanism available if disclinations are allowed to buckle out of the plane: Gaussian curvature without the need of additional grain boundaries is also a viable mechanism .

An spherical cap of aperture angle $`\gamma `$ will have a Gaussian curvature $`K=\frac{\gamma ^2}{R^2}`$. Therefore, for large $`\gamma `$ the Gaussian curvature will suffice to screen out the disclination and no additional dislocations will be needed. The limit of vanishingly small $`\gamma `$ has been discussed at length in this paper. Disclinations are screened out by grain boundaries going all the way to the boundary of the spherical cap. Therefore, for intermediate values of $`\gamma `$, structures of grain boundaries interpolating within these two cases should be observed .

The result of a minimization for large $`\gamma `$ is illustrated in fig. 21. It is found that, opposite to what happens for the flat case, additional dislocations actually increase the elastic energy of the system. One should notice that the triangles next to the boundaries are equilateral, which implies that the strains are very small (and so is the energy). A more detailed presentation of the results for crystals on spherical caps (positive curvature) including an investigation of the intermediate regime as well as a similar analysis for some minimal surfaces (negative curvature) will be presented elsewhere.

## 8 Conclusions

### 8.1 summary of the paper

The advantages of the computational method presented are:

1. Crystals with boundaries can be treated very efficiently.
2. There are no long range interactions. An entire sweep over the whole system may be performed with a time proportional to the total volume of the system.
3. The calculations may be extended to additional geometries with a negligible additional effort (only introducing the coordinates defining the geometry).
4. The convergence of the results (at zero temperature) is fast an stable.
5. The results are very universal, valid for a wide range of potentials. Microscopic details only enter via the elastic constants.

We provided a very detailed analysis for the problem of the dislocation cloud screening a disclination. It has been found that the system composed from a disclination charge $`s`$ and $`m`$-radial grain boundaries of dislocations separated a distance $`D`$ behaves as a single disclination with an effective charge

$$s_{eff}=sm\frac{b}{D}.$$
(41)
If $`s_{eff}=0`$ then the total energy of the system grows linearly with the system size, similarly as for an infinitely long linear grain boundaries composed of dislocations only. The systems exhibits a remarkable universality with respect the elastic constants (up to core energy terms) and higher order elastic terms. The analytical expressions derived have been compared with the numerical results, and when disclinations are involved the discrepancy occasionally may be as large as $`25\%`$. Linear elasticity theory does not provide accurate quantitative estimates for the energetics of some problems involving disclinations.

### 8.2 Implications for Other problems

We will briefly discuss some of the implications the results found in this paper have for the problems presented in the introduction. It has been shown that for very small systems, grain boundaries with the smaller number of arms have the lowest energy. This is a general result in agreement with other continuum calculations  in the context of the sphere. The experimental results in Colloidosomes do show the same trends . It would be very interesting to image larger Colloidosomes and analyze how the defect structures are changed, although that seems difficult in view of the equilibration times involved.

It has also been shown that if disclinations appear in a crystal phase, grain boundaries of dislocations should follow. Isolated disclinations are almost forbidden at zero temperature. At finite temperatures some properties of the grain will change, but for distances close enough to a disclination, the huge strains that dominate the energy will make additional dislocations inevitable. Strings ($`m=2`$ grains) or higher $`m`$ grains should surround the disclinations, even at finite temperature. Most of these grains will have a non-zero disclination charge (positive or negative). This qualitative picture seems in agreement with recent numerical  an experimental results , where the correlation functions do show agreement with the KTHNY scenario (and therefore with the unbinding of disclinations) while the typical snapshots of configurations in equilibrium contain grain boundaries with non-zero disclination charge. Theories based on grain boundaries  ignore the possibility of having non-zero disclination charge from the very beginning. It has been shown in this paper that grain boundaries with non-zero disclination charge have energies comparable as grain boundaries of pure dislocations (with total disclination charge zero), provided the spacing within dislocations is fine tuned appropriately. A complete discussion of the temperature effects is obviously of great interest but it is beyond the scope of this paper.

### 8.3 Outlook

Some issues in this work need either further understanding or just higher precision data:

* Dynamic defect distribution: A global minimization for dislocation positions and orientations would directly provide the minimum energy configurations. This is a difficult task since it has been shown that the energy has many almost degenerate local minima.
* Non-integer spacings: Dislocations with non-integer spacings like $`D=5\frac{\pi }{3}=5.23`$, which imply that every third dislocation must be separated an additional lattice constant, have not been implemented. This may be of some importance in connection with Eq. 10.
* The degeneracy of the energy as a function of $`m`$ values should be further refined, since the accuracy of the results do not allow to discriminate for small values of $`m`$.
* The effects of an applied pressure has not been investigated numerically.

The computational method presented can be used to compute the energy of any distribution of defects in a two dimensional crystal. Results are in progress to investigate the effects of curvature and the interactions between disclinations.

We hope that the considerable detail presented in this paper will not obscure the main results obtained, but on the contrary, will provide convincing arguments for the utility of the present approach. The code used in this paper will be made publicly available. It may be also requested from the author.

ACKNOWLEDGMENTS

Many parts of this work arised as a result of many clarifying discussions with David Nelson, whom I cannot thank enough. I also acknowledge many interesting discussions with M. Bowick. I acknowledge S. Rotkin for explaining the interest of this problem in the context carbon nanotubes. This work has been supported by Iowa State University start-up funds.

## Appendix A Energy of a disclination

The stresses of a single disclination at the origin may be computed from the Airy function of a disclination

$$\chi =\frac{Gs}{2}(AR^2+r^2\mathrm{log}(r)),$$
(42)
where $`s=\frac{\pi }{3}q_i`$,$`G=\frac{K_0}{4\pi }`$ and $`A`$ is an undetermined constant.

The stresses for a disclination are given by

$`\sigma _{yx}^D`$ $`=`$ $`Gs\left[{\displaystyle \frac{xy}{r^2}}\right]`$
$`\sigma _{yy}^D`$ $`=`$ $`Gs\left[{\displaystyle \frac{1}{2}}+A+{\displaystyle \frac{x^2}{r^2}}\mathrm{log}(l_{gb}/r)\right]`$ (43)
$`\sigma _{xx}^D`$ $`=`$ $`Gs\left[{\displaystyle \frac{1}{2}}+A+{\displaystyle \frac{y^2}{r^2}}\mathrm{log}(l_{gb}/r)\right],`$
The stress along the radial direction is

$$\sigma _{rr}=\frac{K_0}{4\pi }(A+\frac{1}{2}+\mathrm{log}(r))$$
(44)
therefore, writing $`A=1/2+\frac{4\pi \mathrm{\Pi }}{K_0}\mathrm{log}(R)`$, the stress at the boundary $`R`$ is $`\sigma _{rr}=\mathrm{\Pi }`$, and $`\mathrm{\Pi }`$ is interpreted as the two dimensional pressure the material.

Plugging Eq. A into Eq. 1, the energy becomes

$$F=\frac{s^2}{32\pi }K_0R^2+\frac{\pi \mathrm{\Pi }^2}{8}R^2,$$
(45)
where $`=\mu +\lambda `$ is the two dimensional bulk modulus. The result that the stress tensor Eq. A has an energy given by the expression Eq. 45 will be used quite frequently.

## Appendix B Analytical proof of the optimal dislocation spacing

We will first compute the stresses generated by a finite grain boundary of length $`l_{gb}`$, with dislocations within the grain separated by distance $`D`$.

The stresses of a dislocation of Burgers vector $`b`$ located at the $`y`$ axis at point $`(0,z)`$ are given by

$`\sigma _{xy}`$ $`=`$ $`Gbx{\displaystyle \frac{x^2(yz)^2}{(x^2+(yz)^2)^2}}`$
$`\sigma _{yy}`$ $`=`$ $`Gb(yz){\displaystyle \frac{x^2(yz)^2}{(x^2+(yz)^2)^2}}`$ (46)
$`\sigma _{xx}`$ $`=`$ $`Gb(yz){\displaystyle \frac{3x^2+(yz)^2}{(x^2+(yz)^2)^2}},`$
where $`G=\frac{K_0}{4\pi }`$, where $`K_0`$ is the Young modulus. The total stresses will be computed from the methods used in dislocation pile-ups . One obtains

$`\sigma _{xy}`$ $`=`$ $`{\displaystyle \frac{Gb}{D}}{\displaystyle _{l_{gb}}^0}𝑑zx{\displaystyle \frac{x^2(yz)^2}{(x^2+(yz)^2)^2}}`$ (47)
$`=`$ $`{\displaystyle \frac{Db}{H}}\left[{\displaystyle \frac{yx}{y^2+x^2}}{\displaystyle \frac{(y+l_{gb})x}{x^2+(y+l_{gb})^2}}\right]`$
A similar calculation yields

$`\sigma _{yy}`$ $`=`$ $`{\displaystyle \frac{Gb}{D}}\left[{\displaystyle \frac{x^2}{y^2+x^2}}+{\displaystyle \frac{x^2}{x^2+(y+l_{gb})^2}}+{\displaystyle \frac{1}{2}}\mathrm{log}({\displaystyle \frac{x^2+(y+l_{gb})^2}{x^2+y^2}})\right]`$ (48)
$`\sigma _{xx}`$ $`=`$ $`{\displaystyle \frac{Gb}{D}}\left[{\displaystyle \frac{x^2}{y^2+x^2}}{\displaystyle \frac{x^2}{x^2+(y+l_{gb})^2}}+{\displaystyle \frac{1}{2}}\mathrm{log}({\displaystyle \frac{x^2+(y+l_{gb})^2}{x^2+y^2}})\right].`$
If the grain is now rotated and angle $`\theta `$ the stresses at distances $`r<<l_{gb}`$ will be (where $`r=\sqrt{(}x^2+y^2`$):

$`\sigma _{yx}`$ $`=`$ $`{\displaystyle \frac{Gb}{D}}\left[\mathrm{sin}\theta \mathrm{cos}\theta +{\displaystyle \frac{xy}{r^2}}\right]`$
$`\sigma _{yy}`$ $`=`$ $`{\displaystyle \frac{Gb}{D}}\left[{\displaystyle \frac{x^2\mathrm{cos}^2\theta }{r^2}}+{\displaystyle \frac{y^2\mathrm{sin}^2\theta }{r^2}}+\mathrm{log}(l_{gb}/r)\right]`$ (49)
$`\sigma _{xx}`$ $`=`$ $`{\displaystyle \frac{Gb}{D}}\left[{\displaystyle \frac{x^2\mathrm{cos}^2\theta }{r^2}}{\displaystyle \frac{y^2\mathrm{sin}^2\theta }{r^2}}+\mathrm{log}(l_{gb}/r)\right]`$
Adding together $`m`$ arms separated an angle $`\frac{2\pi }{m}`$, one obtains

$`\sigma _{yx}^G`$ $`=`$ $`m{\displaystyle \frac{Gb}{D}}\left[{\displaystyle \frac{xy}{r^2}}\right]`$
$`\sigma _{yy}^G`$ $`=`$ $`m{\displaystyle \frac{Gb}{D}}\left[{\displaystyle \frac{x^2+y^2}{2r^2}}+\mathrm{log}(l_{gb}/r)\right]`$ (50)
$`\sigma _{xx}^G`$ $`=`$ $`m{\displaystyle \frac{Gb}{D}}\left[{\displaystyle \frac{x^2y^2}{2r^2}}+\mathrm{log}(l_{gb}/r)\right],`$
where the identity $`_{l=1}^m\mathrm{cos}^2(\frac{2\pi l}{m})=_{l=1}^m\mathrm{sin}^2(\frac{2\pi l}{m})=m/2`$ has been used.

The stresses for a disclination have already been computed A with result

$`\sigma _{yx}^D`$ $`=`$ $`Gs\left[{\displaystyle \frac{xy}{r^2}}\right]`$
$`\sigma _{yy}^D`$ $`=`$ $`Gs\left[{\displaystyle \frac{1}{2}}+A+{\displaystyle \frac{x^2}{r^2}}\mathrm{log}(l_{gb}/r)\right]`$ (51)
$`\sigma _{xx}^D`$ $`=`$ $`Gs\left[{\displaystyle \frac{1}{2}}+A+{\displaystyle \frac{y^2}{r^2}}\mathrm{log}(l_{gb}/r)\right].`$
The total stresses are

$`\sigma _{yx}^D`$ $`=`$ $`G(s{\displaystyle \frac{b}{D}}m)\left[{\displaystyle \frac{xy}{r^2}}\right]`$
$`\sigma _{yy}^D`$ $`=`$ $`G(s{\displaystyle \frac{b}{D}}m)\left[{\displaystyle \frac{x^2}{r^2}}\mathrm{log}(l_{gb}/r)\right]+\mathrm{\Pi }`$ (52)
$`\sigma _{xx}^D`$ $`=`$ $`G(s{\displaystyle \frac{b}{D}}m)\left[{\displaystyle \frac{y^2}{r^2}}\mathrm{log}(l_{gb}/r)\right]+\mathrm{\Pi },`$
where the external pressure $`\mathrm{\Pi }`$ is given by $`\mathrm{\Pi }=((A1/2)s+\frac{b}{2H}m)G`$. Using Eq. 45 for the modified disclination charge $`s_{eff}=s\frac{b}{D}m`$, one finds

$$F=\frac{s_{eff}^2}{32\pi }K_0R^2+\frac{\pi \mathrm{\Pi }^2}{8\pi }R^2,$$
(53)
Therefore, perfect screening implies $`s_{eff}=0`$,

$$s=\frac{b}{D}m$$
(54)
and there is no external pressure $`\mathrm{\Pi }=0`$, the system of disclination plus grain boundary does diverge quadratically with the system size. It can also be proved that within the same approach, the term linear in system size vanishes also. It should be emphasized that Eq. 54 is a linear order result. One should expect that if all orders were included, some modifications should occur, among them formula Eq. 54 should become Eq. 10

## Appendix C Energy of a Grain boundary of dislocations

The energy of a linear grain boundary of $`n`$ dislocations with Burgers vector perpendicular to the grain is a well known result . Here we just outline the aspects important for this paper. The total energy is given by

$$E=\frac{K_0a^2}{8\pi }nd^2𝐫\sigma _{xy},$$
(55)
where $`\sigma _{xy}`$ is the stress tensor of the dislocations in the $`xy`$ direction. The final result of the energy is

$$E=\frac{K_0a^2}{4\pi D}H(\frac{2\pi a}{D})R,$$
(56)
where $`a`$ is the lattice constant and

$$H(x)=\mathrm{log}(1e^x)+\frac{x}{e^x1},$$
(57)
for small $`x`$, (dislocations separated a distance $`D>>a`$), the usual formula $`H(x)=\mathrm{log}(x)+1`$ follows. If $`x`$ is not small enough, the formula Eq 57 must be used.

## Appendix D Relations of base vectors

If $`𝐞_1`$ and $`𝐞_2`$ are the triangular defining the triangular lattice the following relations follow.

$$\underset{b}{}e_{ab}^ie_{ab}^j=3\delta ^{ij},$$
(58)
where the sum is over all nearest neighbors $`b`$. It also follows

$$\underset{b}{}e_{ab}^ie_{ab}^je_{ab}^ke_{ab}^l=\frac{6}{8}(\delta ^{ij}\delta ^{kl}+\delta ^{li}\delta ^{kj}+\delta ^{ki}\delta ^{lj})$$
(59)
and

$$\underset{b}{}e_{ab}^ie_{ab}^je_{ab+1}^ke_{ab+1}^l=\frac{6}{8}(\delta ^{ij}\delta ^{kl}+R^{li}R^{kj}+R^{lj}R^{ki}),$$
(60)
where $`R^{ij}=\mathrm{cos}(\pi /3)\delta ^{ij}+\mathrm{sin}(\pi /3)ϵ^{ij}`$. Similarly,

$$\underset{b}{}e_{ab}^ie_{ab+1}^je_{ab}^ke_{ab+1}^l=\frac{6}{8}(R^{ji}R^{lk}+R^{li}R^{jk}+\delta ^{ki}\delta ^{lj}),$$
(61)
and

$$\underset{b}{}e_{ab}^ie_{ab}^je_{ab}^ke_{ab+1}^l=\frac{6}{8}(\delta ^{ji}R^{lk}+R^{li}\delta ^{jk}+\delta ^{ik}R^{lj}).$$
(62)


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# Fraudulent agents in an artificial financial market

## 1 Introduction

Laws and regulations define fraudulent behaviour in a financial market. Among the many possible instances of fraud, we will focus our attention on insider trading . It must be stressed that the enforcement of insider trading laws took place mainly in the 1990s, as a consequence of advances in the economic theory as well as in the empirical analysis of financial markets. Actually, many papers have been devoted to insider trading: a recent review by Bainbridge, quoted by Bhattacharia and Daouk, lists 261 papers . In the past, various arguments were presented against the introduction and enforcement of insider trading laws. For instance, it has been pointed out that exploiting insider information is the only way to compensate managers. It has been also argued that the insider pushes the stock price faster towards a value, which better reflects the fundamental value of the company. Although the problem of evaluating the social and economical effects of insider trading can only be assessed by means of accurate empirical studies, there are several difficulties to be overcome, mainly due to the fact that several pieces of information on insider trading are confidential. However, after an empirical analysis of stock markets in 103 countries, Bhattacharya and Daouk were able to conclude that enforcement of insider trading laws reduces the cost of equity by about 5% .

In European countries where insider-trading laws are enforced, the scope of the law includes any security listed on a stock exchange, but also face-to-face transactions may be taken into account. The inside information is defined as non-public and price sensitive. Among the enforced subjects there are institutional insiders, other primary insiders and tippees. Some forbidden behaviours are: trading on own account, trading on behalf of third parties and communicating the information to third parties. There may be penal, civil and administrative sanctions, including imprisonment and fines. Fines are computed in relation to the disgorgement: the economic value of the insider information.

There are several methods to compute the disgorgement. The US Security Exchange Commission uses a procedure, which is based on the Event Study Analysis in order to evaluate the return percentage variation caused by the insider information. This is called potential econometric disgorgement. To avoid some pitfalls of the US method, the Italian body (CONSOB) has developed a new probabilistic approach, which will be discussed below.

Insider trading is an instance of information asymmetry in a financial market, which was discussed at length in the literature . Recently, it has been addressed by means of an artificial market . With artificial markets, it is possible to study the effect of information asymmetries in a well-defined and controlled environment.

In this paper, we present a simplified model of insider trading in the Genoa Artificial Stock Market (GASM). The paper is organised as follows. Section 2 is devoted to the methodology of probabilistic disgorgement and to clarify the procedure used here to compute disgorgement in the artificial market. In section 3, the results of the GASM simulations are presented and discussed. Finally, in section 4, the reader can find the main conclusions and the direction for future work on insider trading in artificial financial markets.

## 2 An alternative path to probabilistic disgorgement

As mentioned in the Introduction, the Italian market regulation authority (CONSOB) has recently developed a new approach to unveil the economic value of the information exploited by each insider. CONSOB has called this procedure potential probabilistic disgorgement . The (simplified) procedure consists of the following steps.

At first, two time-horizons are defined, $`\alpha `$ and $`\mathrm{\Theta }`$. The former corresponds to the period in which the insider will build his/her position on the stock; the latter is defined by the day in which the insider information is published and the first, the second or the n-th day after. The number of days considered is related to the liquidity of the stock under investigation and, in a standard insider-trading scheme, it coincides with the instant in which the insider closes his/her position.

The second step rests on two hypotheses. The first one is that the insider cannot control the price dynamics before the occurrence of the event and the second one is that he/she will create a long (short) position, if the event information will induce an increase (decrease) of the stock price. In other words, the insider predicts that the preferential information will move the market more in the period $`\mathrm{\Theta }`$ than it moved in the period $`\alpha `$. Therefore, the parameters of a geometric Brownian motion representing the time evolution of the stock in the period $`\alpha `$ are estimated, by using daily data.

Finally, on this basis, an oscillation band for the price of the stock under study in the time-period is defined by fixing a significance level. The difference between the actual stock price after the insider information is revealed and this band represents the disgorgement.

A slight but important modification in computing the potential probabilistic disgorgement would be replacing the geometric Brownian motion with a process that better represents the leptokurtic behaviour of the return probability density estimate. To this purpose, there are various possible choices. An interesting possibility would be using truncated L vy walks la Koponen  or their generalisation proposed by Boyarchenko and Levendorskii . Here, however, as we use an artificial market, we can directly simulate the behaviour of the same market, with and without the action of the insider. Therefore, in the next section, we shall directly evaluate the impact of insider-trading activities.

## 3 GASM model for insider trading

### 3.1 Brief description of the artificial market

We modelled the behavior of an insider trader in the framework of the Genoa Artificial Stock Market (GASM). In the market, $`N=10,000`$ random traders buy and sell a risky asset in exchange of cash. The decision-making process of each random trader is constrained by the limited financial resources and influenced by the volatility of the market. The resulting price process is characterized by reversion to the mean and exhibits fat-tailed distributions of returns and volatility clustering . The average price (equilibrium price) is given by the ratio of the total amount of cash present in the system and the number of shares of the traded stock. In a closed market, i.e. no cash or shares inflow or outflow in the system, the long-run price average is constant. An increase of the global amount of cash in the system causes an equal increase of the long-run mean value.

### 3.2 A model of insider trading

The price process exhibits a mean-reverting behavior around the equilibrium price; thus a fundamentalist trading strategy with fundamental price equal to the equilibrium price would be profitable . As price sensitive event, the injection of liquidity in the market has been chosen, simulating the action of a central bank. Being the equilibrium price equal to the ratio between the total amount of cash and share number, liquidity injection yields a new higher equilibrium price. A fundamentalist agent, who knows in advance the date of this event, should be able to take profit of this piece of insider information.

We consider a number of different simulations with the following features:

* $`N`$ random traders and 1 insider fundamentalist trader operate in the market; at each time step, each random trader issues orders with probability $`q`$;
* at the beginning of the simulation ($`t=0`$), each random trader receives the same amount of liquidity $`c(0)`$ and number of shares $`a(0)`$, while the insider is given liquidity $`\widehat{c}(0)`$ and zero number of shares $`\widehat{a}(0)`$;
* the initial value of the stock price is set at the equilibrium price:

$$\overline{p}=(Nc(0)+\widehat{c}(0))/Na(0)$$
$`(1)`$
in order to quickly reach the equilibrium state characterized by fluctuations around the equilibrium price;
* background trading is realized by the action of random traders, who issue random buy and sell orders with no information on the timing and magnitude of liquidity injection;
* at a given time $`t^{}`$ the global amount of cash is increased by 10% and the new cash is distributed to agents proportionally to the fraction of the total wealth (cash+number of shares) they own. Thus the equilibrium price increases by 10%:

$$\overline{p}(tt^{})=(1.0+0.1)\overline{p}.$$

Indeed, for $`t<t^{}`$, the equilibrium price is given by eq. (1);
* the insider knows the timing and magnitude of the injection of liquidity in advance; let $`\tau `$ denote this advance;
* the insider is inactive for $`t<t^{}\tau `$ and acts as a fundamentalist trader with the new appropriate fundamental value, $`\overline{p}(tt^{})`$, for $`t^{}\tau t<t^{}`$. This means that in this time period, the insider tries to convert all the cash into stocks. For $`tt^{}`$, the insider issues sell orders if the stock price is greater than the fundamental value $`\overline{p}(tt^{})`$, otherwise he/she keeps its position.

As a final remark, the period $`\alpha `$ discussed in Section 2 corresponds to $`t^{}\tau t<t^{}`$ when the insider builds his/her position, whereas, the periods $`\mathrm{\Theta }`$ in which he/she leaves the market corresponds to $`tt^{}`$.

## 4 Simulations

As already mentioned, the number of random traders operating in the simulations is 10,000. The probability of activation is $`q=0.02`$. The initial amount of liquidity is $`c(0)=100,000`$ units, whereas the initial share number of the risky stock is $`a(0)=1,000`$. As for the insider, his/her activity is characterized by two parameters: initial liquidity, $`\widehat{c}(0)`$, and advance, $`\tau `$. The chosen values for $`\widehat{c}(0)`$ are:

$$\widehat{c}(0)=2^kc(0),k=1,0,1,2,3,4.$$

The chosen values for the advance $`\tau `$ are: 20, 40, 60, 80, 100 time steps. For each value of $`\tau `$ and $`\widehat{c}(0)`$, 25 independent realizations have been simulated, for a total of 750 simulations. Each simulation lasts 2,000 time steps, which in the framework of GASM can be considered as trading days. The insider event occurs at $`t^{}=200`$ days.

In Figure 1, results of a typical simulation are shown. In this particular case, $`\widehat{c}(0)=c(0)`$ and $`\tau =20`$ days. The left-upper plot displays the price variation as a function of time. The effect of the liquidity injection at time $`t^{}=200`$ days is evident: after the injection, the average price increases towards 110 units and then fluctuates around this value. The right-upper plot shows the insider cash as a function of time. Essentially, the insider starts with 100,000 units of cash and ends with nearly 120,000 units, with a return of about 20 %. In a few days after day $`t^{}\tau =180`$, the insider converts all his/her cash into shares. At day $`t^{}=200`$, he/she receives the additional amount of cash like all the random traders. Finally, when the price becomes greater than the new fundamental value (110 units), he/she starts issuing sell orders and succeeds in getting rid of the shares in a few days. The behavior of the insider can be appreciated also in the two bottom plots, where his/her number of shares (left) and his/her total wealth (right) are presented.

In order to compare the gain of the insider with the average performance of random traders, Figures 2, 3 and 4 present the random-trader percentage increase in aggregate cash, capitalization and wealth, respectively, as a function of insider cash and advance. The percentage increase is computed between day 2,000 (the end of the simulation) and day $`t^{}\tau 1`$ (the day before the insider entering into the market). The error-bar half-width corresponds to two standard errors.

In Figure 2, random-trader aggregate cash return is compared with the gain of the insider. In Figure 3, the insider gain is compared with the aggregate wealth return of random traders. No definite trend appears as a function of insider advance, but the insider average gain systematically decreases with increasing initial cash. The reason is that the insider influences more and more the stock price when his/her initial cash grows. In fact, he/she tries to convert his/her cash into shares as soon as possible, and issues buy orders that are larger the richer he/she is. Large buy orders can imply a price increase. If the stock price is higher, the number of shares he/she can buy for a given amount of cash is lower. In other words, if he/she influences the stock price, letting it increase, it becomes no longer true that with a double amount of cash, he/she is able to buy a double amount of shares. The decrease in average cash return of random traders is due to the mechanism of cash distribution within the insider event. When the wealth of the insider is large enough, random traders receive less new cash in aggregate (see Sec. 3.2). In Figure 4, the market capitalization return is shown between day 2,000 and day $`t^{}\tau 1`$. No systematic effect due to insider activity appears. For this reason, also the aggregate wealth return of random traders in Figure 3 does not show any systematic dependence on insider parameters.

## 5 Discussion and conclusion

In this paper, a simple model of insider trading in an artificial market has been presented. Quasi zero-intelligence random traders are acting on a closed market providing a sort of thermal bath implying price fluctuations. A fundamentalist insider gets the information of cash inflow occurring on a future day. He/she tries to exploit this piece of information by using a fundamental strategy. It turns out that the insider is able to earn significantly more money than random traders. Due to the simple strategy implemented, the excess gain of the insider decreases when his/her initial endowment of cash is larger. The simulations presented above show that the Genoa Artificial Stock Market (GASM) can be used to study instances of fraudulent behaviour in financial markets. Future work could focus on the effect of insiders in a market with heterogeneous agents as well as different price formation mechanisms (clearing house vs book, …).


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# Photometric study of two novae in M31

## 1 Introduction

Cataclysmic variables (CVs) are close binary systems consisting of a white dwarf primary and a late-type main sequence secondary star. Novae are a sub-class of cataclysmic variables characterized by the presence of a sudden increase of brightness, called outbursts, due to thermonuclear runway in the envelope of the primary, causing the system brightness to increase typically by 10-20 mag. These are bright objects which reach up to $`M_V`$ -9.0 mag at maximum and their rate of decline is tightly correlated with their absolute magnitude at maximum (McLaughlin 1945). The study of novae in external galaxies is important to infer their distances as these objects are one of the brightest standard candles up to the Virgo cluster (cf. Jacoby et al. 1992 for a review) and tracers of differences in the stellar content among galaxies (cf. Van den Bergh 1988 for a review).

M31, our nearest large galaxy, has been a target of searches for novae since the pioneering work of Hubble (1929). Later Arp (1956), Rosino (1964, 1973), Rosino et al. (1989), Ciardullo et al. (1987), Sharov & Alksnis (1991), Tomaney & Shafter (1992), Rector et al. (1999) and Shafter & Irby (2001) have extended the systematic search for novae in M31. In collaboration with the AGAPE (Andromeda Gravitational Amplification Pixel Experiment) group, we started Cousins $`R`$ and $`I`$ photometric observations of M31 in 1998 to search for microlensing events. Based on the 4 year observations, we have already reported the discovery of new Cepheids and other variable stars (Joshi et al. 2003a). As a microlensing survey program is ideally suited to monitor the flux and temperature variation during transient events, we have extended our search to detect nova outbursts. Here we report photometric light curves of two novae detected in the target field, one each in 2000 and 2001 observing seasons. We show that an increase in flux at longer wavelengths a few weeks after the initial rapid decline is a common phenomenon in the novae light curves.

## 2 Observations

We have undertaken a program called the Nainital Microlensing Survey to detect microlensing events in the direction of M31, at the State Observatory, Nainital, India, since 1998. Cousins $`R`$ and $`I`$ broad band CCD observations of M31 were carried out for an $`6^{}\times 6^{}`$ field in 1998 and an $`13^{}\times 13^{}`$ field during 1999 to 2001 observing seasons using the 104-cm Sampurnanand Telescope at the f/13 Cassegrain focus. The total integrated observing time devoted to the survey ranges from $``$ 30 minutes to 2 hours each night. The $`13^{}\times 13^{}`$ target field ($`\alpha _{2000}`$ = $`0^h43^m38^s`$ and $`\delta _{2000}`$ = $`+41^{}09^{}.1`$) is centered at a distance of $``$ 15 arcmin away from the center of M31. The average seeing during the 141 observed nights spanning 4 years was $``$ 2 arcsec. An overview of the observational detail has been given by Joshi et al. (2003a).

A large database collected during the observing period was planned as:

(a) To search for microlensing events.

(b) To search for variable stars, particularly Cepheids.

(c) To search for other transient events e.g. novae, where a decrease in brightness of 2 to 5 mag within the first two months of the nova evolution can easily be detected in our observations.

We have already published a catalog of variable stars which contains data for 26 Cepheids and 333 red variable stars (Joshi et al. 2003a). We are in the process of analysing some of the possible microlensing candidates found in our data set (Joshi et al. 2003b, 2003c). Here we report the photometry of two novae detected in the target field.

## 3 Data reduction and photometry

Standard techniques were used for data reduction using MIDAS and IRAF software. The dark current correction was not applied due to its negligible contribution during the maximum exposure time of a frame. Cosmic rays (CRs) were removed from each frame independently. We added all the frames of a particular filter taken on a single night and made one frame per filter per night to increase the signal to noise ratio. The CCD frames were processed using the DAOPHOT photometry routine (Stetson 1987). To obtain $`R`$ and $`I`$ standard magnitudes, the photometric calibration was done using Landolt’s (1992) standard field SA98, on a good photometric night of 25/26 October, 2000. A total of 13 secondary stars having $`0.09(RI)1.0`$ were observed over a wide range of airmasses. The typical error in magnitudes at $``$20.0 mag level is $``$ 0.10 and 0.15 mag in $`R`$ and $`I`$ bands respectively. In order to use observations in non-photometric conditions, differential photometry was done assuming that the errors introduced due to colour difference between nova and comparison stars were much smaller than the zero point errors. Further details of the photometric calibration has been given in Joshi et al. (2003a).

## 4 Identification of the novae

We identified two novae in the target field while searching for microlensing events using the pixel technique which was initially proposed to detect microlensing events by Baillon et al. (1993). The implementation of the pixel technique in our data is described in detail by Joshi et al. (2001, 2003c). The two novae detected in our survey, one in 2000 and the other in 2001 observing seasons, are named nova NMS-1 and nova NMS-2 where NMS is an acronym for our project ‘Nainital Microlensing Survey’. The two novae are individually discussed in the following subsections.

### 4.1 Nova NMS-1

The nova NMS-1 having celestial coordinates $`\alpha _{2000}`$ = $`00^h42^m57^s.1`$ and $`\delta _{2000}`$ = $`+41^{}07^{}15^{^{\prime \prime }}.7`$ was reported in the IAU circular by Donato et al. (2001). When we started observations at 18:54 UT on October 18, 2000, the nova was still brightening. We followed it through the 2000-2001 observing season. Fig. 1 shows two images where the nova is unresolved and at maximum brightness.

The photometry of nova NMS-1 has been carried out using the PSF profile fitting technique. Since it was sufficiently bright during the early phase of its eruption and gradually increased its brightness, we carried out photometry on each individual frame of the observations of 18 and 20 October, 2000 (see Table 1). The light curve of nova NMS-1 is shown in Fig. 2. The brightness of the nova increased by $``$ 0.10 mag in the $`R`$ band from 18:54 UT to 19:17 UT and by $``$ 0.23 mag in $`I`$ band from 19:35 UT to 20:07 UT. From a comparison of individual frames taken on that day, it appears that we have captured nova NMS-1 during its peak brightness. The total brightness of the nova increased by $``$ 1.5 mag during October 18-20, 2000 followed by an almost exponential decay. Its rate of decline, $`v_d`$, defined as the rate in mag day-1 at which a nova drops to two magnitudes below maximum brightness, is estimated to be:

$$v_{d,R}0.11\mathrm{𝚖𝚊𝚐}\mathrm{𝚍𝚊𝚢}^\mathrm{𝟷}$$
(1)
$$v_{d,I}0.11\mathrm{𝚖𝚊𝚐}\mathrm{𝚍𝚊𝚢}^\mathrm{𝟷}$$
(2)
for $`R`$ and $`I`$ bands respectively. The observed values of $`v_d`$ suggest that the nova NMS-1 was a fast nova. The maximum magnitude of the nova NMS-1 at peak brightness is $`M_R`$(max) $`7.96`$ and $`M_I`$(max) $`8.02`$ mag in $`R`$ and $`I`$ bands respectively. Here we consider a true distance modulus of 24.49 mag for M31 and a total extinction of 0.63 mag and 0.47 mag towards our observed direction in the $`R`$ and $`I`$ bands respectively (cf. Joshi et al. 2003a). The correlation between observed $`R_{max}`$ and rate of decline is consistent with that illustrated by Capaccioli et al. (1989) for novae in M31.

### 4.2 Nova NMS-2

The nova NMS-2 was already reported in the IAU circular by Li (2001). Fig. 3 shows two images where the nova is at unresolved and maximum brightness phase. The celestial coordinates of the nova NMS-2 are $`\alpha _{2000}`$ = $`00^h43^m03^s.3`$ and $`\delta _{2000}`$ = $`+41^{}12^{}10^{^{\prime \prime }}.8`$. Since this nova was situated at the edge of our target field, it could not be observed in all the images. When we started our observation on October 12, 2001, it was already in a descending phase of brightness.

Photometry of the nova was carried out during the brighter phase of outburst. We give its $`R`$ and $`I`$ magnitudes in Table 2 and the light curve is shown in Fig. 4. A variation of more than 1.5 mag in $`R`$ band is seen during the first 35 days of its observations. For the nova NMS-2, our photometry is insufficient to characterize its speed class since we do not have any information of its maximum brightness. The brightest magnitude of the nova NMS-2 in our observations is estimated to be $``$ 17.7 mag in both $`R`$ and $`I`$ bands indicating that it must be a star brighter than $`M_R,M_I7.4`$ mag during its peak brightness.

The decay rate for the nova NMS-2 during our observation period is estimated to be:

$$\frac{dM(R)}{dt}0.03\pm 0.003\mathrm{𝚖𝚊𝚐}\mathrm{𝚍𝚊𝚢}^\mathrm{𝟷}$$
(3)
$$\frac{dM(I)}{dt}0.05\pm 0.004\mathrm{𝚖𝚊𝚐}\mathrm{𝚍𝚊𝚢}^\mathrm{𝟷}$$
(4)
for $`R`$ and $`I`$ bands respectively. The small value of the decay rate for the nova NMS-2 suggests that either it was a slow nova or, most likely, we observed it very late after it reached its peak brightness.

A re-brightening in the light curve of the nova NMS-2 from JD $``$ 2452210 to 2452220 is evident in both $`R`$ and $`I`$ bands. This type of re-brightening profile in nova evolution is quite rare but not unique (Bonifacio et al. 2000). However, due to insufficient data points, we are not able to draw any firm conclusion about its exact behaviour. The evolution of $`(RI)`$ colour for the nova NMS-2 is shown in the lower panel of Fig. 4. It becomes bluer with time which is consistent with normal nova behaviour. However, scattering in the data due to poor flat fielding at the edge of frames prevents us from drawing any conclusion about the dust formation in the ejecta.

The detection rate of novae in M31 is $``$ 30 novae per year (Arp 1956, Capaccioli et al. 1989, Shafter & Irby 2001) and 2 novae detected in our survey, keeping our field of view and total observing time in mind, is consistent with these estimates.

## 5 Discussion

The $`R`$ and $`I`$ magnitudes of the nova NMS-1 at the brightest phase are estimated to be -7.96 and -8.02 mag respectively with a rate of decline of $``$ 0.11 mag day-1. A correlation of the rate of decline with the observed peak flux is in good agreement with the maximum magnitude versus rate of decline (MMRD) curve given by Capaccioli et al. (1989) for M31 novae.

It is instructive to analyse the light curves and colour index, to investigate the evolution of the remnant. From the observed light curve of the nova NMS-1 (Fig. 2), it is evident that the flux in $`R`$ and $`I`$ bands decline in a similar way for the first three weeks but the late time evolution is qualitatively different. A difference in the profile of the light curves in two bands is a valuable diagnostic of the physical processes operating in the ejecta. We have neither spectroscopic information nor infra-red photometry, nevertheless, we might estimate the possible evolution of the expanding shell from the $`R,I`$ light curves.

To study the photometric behavior of the nova NMS-1, we divided the declining part of the light curve into three sections as shown in Fig. 5(a1). The initial rapid decline in the flux follows a similar pattern in $`R`$ and $`I`$ bands and the colour remains practically unchanged; essentially this is the phase where emission from a region of progressively lower effective radius is received. However, after about three weeks, the ($`RI`$) colour shows a gradual increase indicating that the region is cooling. After about 40 days, the $`R`$ band flux is still progressively declining similar to that observed for the nova Herculis 1991 (Harrison & Stringfellow 1994) in the $`V`$ band. The $`I`$ band, however, probably shows a slight gradual increase in flux during this period; a rapid rise in the colour index of the nova is seen in Fig. 5(a2). A similar behaviour has been observed in the case of nova Herculis 1991 where an almost constant plateau is seen in $`J`$, $`H`$, $`K`$ and $`L`$ bands (see Fig. 5(b1) and 5(b2)). Although, we have neither sufficient observations in the later stage nor supporting spectroscopy, we still believe that probably there is a signature of the formation of neutral hydrogen. The decrease in $`R`$ band flux but the reverse trend in $`I`$ band flux is likely to be due to the $`H_\alpha `$ absorption and re-radiation in longer wavelengths. There is some reason to speculate this because: a) we see a nearly constant peak Balmer flux of $`10^{37}`$ ergs/sec declining rapidly, b) moderately large velocity gradient in the shell is shown by Balmer lines and c) A Balmer jump in the spectra (cf. Downes et al. 2001) are seen. If such a scenario can be confirmed, it could provide a diagnostic of dust formation during the expansion of wind in the nova.

For the nova NMS-2, we do not have light curve measurements in the initial phase and hence the epoch of peak brightness cannot be estimated. Unlike the nova NMS-1 where we had observations for about three months, the nova NMS-2 could be monitored only for about 40 days and during this period, $`R`$ and $`I`$ flux show a similar trend, except that $`I`$ declines faster. This is consistent with emission coming from a region of lower radius but higher temperature. Probably, the flux in both bands shows a bump similar to that observed in some novae.

What does our light curves imply about the formation of dust in the nova wind? Novae are believed to be a source of dust enrichment in the interstellar medium. However, there are two conflicting views (cf. Bode & Evans, chap9): (1) Graphite or silicate grains can be formed in the cooling wind of nova depending on the chemical composition of white dwarf. (2) The nova environment could be hot and might not be the conducive of dust formation, in which case dust grains already present in the shell could cause an infra-red excess. If the expanding cool wind in the nova can produce grains, we should be able to see the reduction in temperature followed by an infra-red excess. A good monitoring program that tracks the temperature, luminosity as well as possible spectroscopy will be helpful in settling the question. Our limited $`R,I`$ observations suggest that the possible neutral hydrogen formation, when ($`RI`$) increases to about 1 mag from near zero, could act to shield dust grains against evaporation. This might be the reason for the slow increase in $`I`$ band flux despite the drop in $`R`$ band flux which is contributed in part by regions bluewards of the Balmer alpha line.

## 6 Conclusion

We found two novae in our survey carried out during 1998 to 2001 for an $`13^{}\times 13^{}`$ field belonging to the M31 disk population. The rate of decline of nova NMS-1 suggests that it was a fast nova while the decay rate for nova NMS-2 suggests that either it was a slow nova or we observed it at a very late stage after the maximum brightness phase. The nova NMS-1 becomes cooler with time about six weeks after the maximum brightness phase accompanied by a slow increase in $`I`$ band flux, although the $`R`$ band flux still continues to decrease. This is in contrast with the normal behaviour of the novae. We suspect a secondary bump in $`R,I`$ light curves of the nova NMS-2, which is not unusual for normal nova evolution.

Acknowledgments We are grateful to Stéphane Paulin-Henriksson for his help. We thank the anonymous referee for the useful comments. This study is a part of the project 2404-3 supported by Indo-French center for the Promotion of Advanced Research, New Delhi.