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# On the theorem converse to Jordan’s curve theorem.

## Introduction.

Approximately three years ago author was collided with the following question: what are the sufficient conditions for a compact set in the plane to be homeomorphic to the two-dimensional disk? In addition, it was desirable to express supposed answer in the terms of local properties of the frontier complementary domains.

In this terms it is possible instead of considering a compact set to pass to the investigation of its frontier. Then the previous question could be restated in the form: what are the sufficient conditions for a compact set in the plane to be a simple closed curve?

Famous Jordan’s curve theorem states that a simple closed curve in the plane has two complementary domains, of each of which it is the complete frontier. But the important conditions given in this theorem are not sufficient. The counterexample is so called polish curve (see the slight modification of it below, example 1.2).

Shoenflies theorem says that an arbitrary homeomorphism of a simple closed curve in the plane onto the unit circle could be extended to a homeomorphism of the plane onto itself. Every point of the unit circle is accessible from the both complementary domains. Hence an arbitrary point of a simple closed curve must be accessible from the components of a complement. The conditions of a sort are found to be the sufficient for a compact set in the plane to be a Jordan curve.

So, the following theorem holds true: if a closed set has two complementary domains in $`^2`$, from each of which it is at every point accessible, it is a simple closed curve. The author’s papers \[P1\] and \[P2\] was devoted to the proof of this theorem (it was formulated there in rather different terms).

But the result given in \[P1\] and \[P2\] was turned out to be not new. It is known as theorem converse to Jordan’s curve theorem (see \[K\], \[N\]). Kuratovsky in his book \[K\] gives somewhat stronger statement: if for a closed set could be found two complementary domains in $`^2`$, from each of which it is at every point accessible, it is a simple closed curve. But the analysis of Newman’s proof given in \[N\] allows to conclude that it is suitable for the more general case stated by Kuratovsky.

Author asks the natural question whether it is possible to weaken the requirements of theorem converse to Jordan’s curve theorem.

This problem appears to be nontrivial. For example the set of points on the polish curve accessible from the both complementary domains is open and dense (in particular it is massive). But this set appears to be ”badly disposed” in it.

Let $`K`$ be a compact set in the plane the complement of which has two components $`W_1`$ and $`W_2`$. It proves out to be useful to consider separately the sets $`A_1`$, $`A_2`$ of points of $`K`$, accessible from $`W_1`$ and $`W_2`$, respectively. And if the both of them are ”well disposed” in $`K`$ then $`K`$ is a simple closed curve.

It is interesting that if a set $`K`$ is connected and its subsets $`KA_1`$ and $`KA_2`$ are zero-dimensional then the sets $`A_1`$ and $`A_2`$ are ”well disposed” in $`K`$ and $`K`$ is a simple closed curve.

It appears that the concept of ”well disposed” subset is connected with one topological property of the space $`K`$ (with the topology induced from the plane).

Namely, let $`(X,𝒯)`$ be a topological space. Denote by $`C(X)`$ the weakest from topologies on $`X`$ with the following property: for each opened subset $`W`$ of $`(X,𝒯)`$ every connected component of $`W`$ is opened in the topology $`C(X)`$.

In these terms the sets $`A_1`$ and $`A_2`$ will be ”well disposed” in $`K`$ if $`A_1`$ and $`A_2`$ are dense in $`K`$ in the topology $`C(K)`$.

In what follows we will define the concept of ”well disposed” subset in a compact set in the plane and will give one generalization of theorem converse to the Jordan’s curve theorem.

Finally, I wish to express my deep gratitude to Yu. B. Zelinskiy and V. V. Sharko for statement of a problem and formulation of corrolary 1.1, and to M. A. Pankov for a number of valuable remarks.

## 1 Statement of main results.

First we give some notations and definitions being used in what follows.

Let $`F`$ be a set in the plane. We shall denote the frontier of $`F`$ by $`F`$ and the closure of $`F`$ by $`\overline{F}`$.

Let $`x^2`$ and $`\epsilon >0`$. Denote

$$U_\epsilon (x)=\{y^2|\rho (x,y)<\epsilon \}.$$

Let $`U`$ be an open subset of the plane. Three following definitions (see \[N\]) are useful to study the local properties of $`U`$.

###### Definition 1.1

A simple continuous curve $`\phi :I^2`$ is called an end-cut of $`U`$ in a point $`xU`$, if $`\phi (0)=x`$ and $`\phi ((0,1])U`$.

###### Definition 1.2

Call a point $`xU`$ accessible from $`U`$, if there exists an end-cut of $`U`$ in the point $`x`$.

###### Definition 1.3

A cross cut of the domain $`U`$ is a simple continuous curve $`\psi :I^2`$ such that $`\psi (0)`$, $`\psi (1)U`$ and $`\psi ((0,1))U`$.

And now we are ready to begin the main account.

### 1.1 Definition and elementary properties of $`d`$-sets.

Let $`K`$ be a compact subset of the plane dividing it into two connected domains. Let us name such set two-sided.

In what follows we shall denote complementary domains of a two-sided set $`K`$ by $`W_1`$ and $`W_2`$. We shall also denote by $`A_i`$ a set of points of $`K`$, accessible from $`W_i`$, $`i=1,2`$.

###### Designation 1.1

Let $`F`$ be a set in $`^2`$. Let $`xF`$ and $`U`$ be a neighborhood of $`x`$ (not necessarily open). Designate by $`F(U,x)`$ the connected component of $`FU`$ which contains $`x`$.

###### Proposition 1.1

Let $`F`$ be a subset of the plane. Let $`U_1`$, $`U_2`$ be two neighborhoods of point $`xF`$ and $`U_2U_1`$.

Then $`F(U_2,x)F(U_1,x)`$.

$``$ The connected component of a point $`x`$ in $`FU_1`$ is by definition the maximal connected subset of $`FU_1`$, which contains $`x`$.

The connected set $`F(U_2,x)`$ lies in $`FU_1`$ and contains $`x`$. Therefore, $`F(U_2,x)F(U_1,x)`$. $``$

###### Definition 1.4

Let $`F`$ be a set in the plane. We shall say that a subset $`R`$ of $`F`$ is sufficiently dense in $`F`$ if for all $`xF`$ and every opened neighborhood $`U`$ of $`x`$ a set $`F(U,x)R`$ is not empty.

###### Remark 1.1

It is easy to see that definition of sufficiently dense subset could be reformulated in the following way: a subset $`R`$ of a set $`F`$ in the plane is sufficiently dense in $`F`$ if for any opened set $`U`$ every connected component of a set $`FU`$ contains a point from $`R`$.

###### Definition 1.5

Two-sided set $`K`$ is called $`d`$-set if both $`A_1`$ and $`A_2`$ are sufficiently dense in $`K`$.

Let us deduce some simple properties of $`d`$-sets.

###### Proposition 1.2

Let $`K`$ be a $`d`$-set.

For any $`xK`$ and its open neighborhood $`U`$ the sets $`A_1`$ and $`A_2`$ are dense in $`K(U,x)`$.

Specifically, the sets $`A_1`$ and $`A_2`$ are dense in $`K`$.

$``$ Let $`yK(U,x)`$ and $`V`$ be any open neighborhood of $`y`$. Designate the set $`VU`$ by $`V_0`$.

From property $`d`$ follows that there exist $`y_1`$, $`y_2K(V_0,y)`$, such that $`y_iA_i`$, $`i=1,2`$.

But $`K(V_0,y)K(U,y)=K(U,x)`$. Therefore, $`y_1`$, $`y_2K(U,x)V`$. $``$

###### Proposition 1.3

Let $`K`$ be a two-sided set.

If the sets $`A_1`$ and $`A_2`$ are dense in $`K`$, then $`K`$ is the common boundary of it’s complementary domains, that is

$$K=W_1=W_2.$$
(1.1)
In particular, any $`d`$-set complies with the relation 1.1.

$``$ Obviously, $`W_iK`$, $`i=1,2`$.

On the other hand, $`A_iW_i`$, $`i=1,2`$. So $`K=\overline{A_i}W_i`$, $`i=1,2`$, since the sets $`W_i`$ are closed by the definition. $``$

For convenience of further account we shall give following

###### Definition 1.6

Let $`K`$ be a two-sided set. If $`A_1`$ and $`A_2`$ are dense in $`K`$ we shall say that $`K`$ is the simple set.

It follows from proposition 1.2 that $`d`$-sets are simple.

###### Proposition 1.4

Each simple set is connected.

$``$ This statement is a direct corollary of the previous statement and the following theorem: if the domains $`W_1`$ and $`W_2`$ in the plane do not meet, but $`W_1W_2`$, then $`W_1`$ is connected (see \[N\], theorem V.14.1). $``$

### 1.2 $`d`$-sets and theorem, inverse to Jordan’s curve theorem.

The famous Jordan’s curve theorem says, that a simple closed curve in the plane has two complementary domains, of each of which it is the complete frontier.

There is a natural question: under what conditions two-sided set $`K`$ in the plane will be a Jordan curve?

Answer to this question gives the theorem, converse to Jordan’s curve theorem, which states that a two-sided set, all points of which are accessible from both components of the complement, is a simple closed curve (see \[N\], theorem VI.16.1).

The requirement of this theorem that all points of $`K`$ were accessible from both complementary domains turns out to be surplus.

How it is possible to weaken this condition?

Trivial direct check shows, that for any domain in $`^2`$ points accessible from it are dense in the frontier of this domain. Therefore, taking account of proposition 1.3 it seems natural to require that sets $`A_i`$ of points, accessible from the complementary domains $`W_i`$, $`i=1,2`$, were dense in $`K`$. This requirement could not be weakened, as shows the following example.

###### Example 1.1

$$\begin{array}{cccc}K\hfill & =& \{\text{the unit circle in }^2\}\hfill & +\\ & +& \{\text{an isolated point in }W_1\}\hfill & +\\ & +& \{\text{an isolated point in }W_2\}.\hfill & \end{array}$$

But even if the sets $`A_1`$ and $`A_2`$ are dense in $`K`$ it is not sufficient for $`K`$ to be a Jordan curve.

###### Example 1.2

Consider a union $`K`$ of following sets

$$\begin{array}{ccc}K_1& =& \{0\}\times [1,1],\hfill \\ K_2& =& \left\{(x,y)^2\right|x(0,1],y=\mathrm{sin}\frac{\pi }{x}\mathrm{sin}\pi x\},\hfill \\ K_3& =& \left\{(x,y)^2\right|x(0,1],y=\mathrm{sin}\frac{\pi }{x}+\mathrm{sin}\pi x\}.\hfill \end{array}$$

It could be shown that $`K`$ is the simple set and each point of the curve $`K_2K_3`$ is accessible from both components of complement.

However, the set $`K`$ is not arcwise connected (components of it’s linear connectivity are $`K_1`$ and $`K_2K_3`$).

Also $`K`$ is not $`d`$-set. If $`\epsilon <1`$ then

$$K(U_\epsilon (0),0)=\{0\}\times (\epsilon ,\epsilon )$$

for circular neighborhood $`U_\epsilon (0)`$, and this set does not contain any point accessible from the limited complementary domain of $`K`$.

This example can be used as an argument for the benefit of introduction of $`d`$-sets.

Let $`F`$ be a set in the plane. Since the topology on the plane has a denumerable base of opened sets, we can find a denumerable subset dense in $`F`$.

Hence, natural question arises: what is minimal cardinality of sufficiently dense subsets of $`F`$?

The following example shows that there exists a simple set in $`^2`$ such that every its sufficiently dense subset is of cardinality continuum.

###### Example 1.3

(See \[K\], section 48.I, examp. 4) Let $`C_0`$ be the Cantor set situated at the axes $`\xi _1`$ of the plane $`(\xi _1,\xi _2)`$ and $`C_1`$ be the same set disposed on the line $`\xi _2=1`$. Connect every point of $`C_0`$ with the appropriate point in $`C_1`$ by vertical interval. Add to $`C_0`$ the adjacent intervals of length $`1/3`$, $`1/3^3,\mathrm{}`$ and to $`C_1`$ add the adjacent intervals of length $`1/3^2`$, $`1/3^4,\mathrm{}`$. We receive the continuum $`K_0`$ with a connected complement.

Let

$$K_1=\left\{(\xi _1,\xi _2)^2\right|(\xi _11/2)^2+(\xi ^21)^2=1/4,\xi _21\}.$$

The arc $`K_1`$ is the cross-cut of $`K_0`$, so the continuum

$$K=K_0K_1$$

is two-sided (see lemma 2.3). It is not difficult to show that the set $`K`$ complies with the equality (1.1), hence $`K`$ is the simple set. In fact, $`K`$ is not a $`d`$-set.

It could be verified that for an opened set

$$V=\times (0,1)$$

every connected component of $`VK=C\times (0,1)`$ is $`\{c\}\times (0,1)`$, where $`cC`$ is a certain element of the Cantor set $`C`$.

So, the set $`VK`$ has a continuum connected components and from remark 1.1 it follows that every sufficiently dense subset of $`K`$ must have cardinality continuum.

The main aim of the further considerations is to prove following theorem and it’s corollary.

###### Theorem 1.1

Every $`d`$-set in the plane is a simple closed curve.

###### Corrolary 1.1

Let $`K`$ be a connected two-sided subset of the plane. If sets $`KA_1`$ and $`KA_2`$ are zero-dimensional then $`K`$ is a simple closed curve.

### 1.3 Proof of corollary 1.1.

Corollary 1.1 is a consequence of theorem 1.1 and two following lemmas.

###### Lemma 1.1

Let $`F`$ be a compact connected subset of the plane. Let $`X`$ be a closed neighborhood of a point $`xF`$, such that $`FX\mathrm{}`$.

Then $`F(X,x)X\mathrm{}`$.

$``$ Fix $`yFX`$. It is known (see \[N\], theorem IV.5.1), that for every $`\epsilon >0`$ points $`x`$ and $`y`$ can be connected with the $`\epsilon `$-chain in the set $`F`$, i. e. final sequence

$$x=z_1,z_2,\mathrm{},z_k=y$$

of points could be found in $`F`$ to comply with the condition

$$\rho (z_i,z_{i+1})<\epsilon ,i=1,\mathrm{},k1.$$

For every $`n`$ select $`1/n`$-chain in $`F`$

$$x_1^n,\mathrm{},x_{k(n)}^n,n,$$

connecting points $`x`$ and $`y`$.

Since $`yX`$, for every $`n`$ in the sequence $`\{x_i^n\}_{i=1}^{k(n)}`$ could be found an element which does not belong to $`X`$. Therefore, for all $`n`$ indexes $`j(n)\{1,\mathrm{},k(n)1\}`$ are defined to meet the conditions

* $`x_i^nX`$, $`i=1,\mathrm{},j(n)`$;
* $`x_{j(n)+1}^nX`$.

The set $`FX`$ is compact, being the closed subset of the compact set $`F`$. Therefore sequence $`\{x_{j(n)}^n\}_n`$ has a limit point $`x_0XF`$. Without loss of generality we shall suppose that $`x_{j(n)}^nx_0`$ (otherwise, it is always possible to pass to a subsequence).

Since $`x_{j(n)+1}^nX`$ and $`\rho (x_{j(n)}^n,x_{j(n)+1}^n)0`$ then $`\rho (x_{j(n)}^n,^2X)0`$. Therefore, $`\rho (x_0,^2X)=0`$ and $`x_0X`$.

On the other hand, for every $`\epsilon >0`$ there exist $`n_1`$ and $`n>n_1`$, such that $`1/n_1<\epsilon `$ and $`\rho (x_{j(n)}^n,x_0)<\epsilon `$. Then points $`x`$ and $`x_0`$ could be connected in $`FX`$ by the $`\epsilon `$-chain

$$x=x_1^n,x_2^n,\mathrm{},x_{j(n)}^n,x_0.$$

Consequently, (see \[N\], theorem IV.5.4) points $`x`$ and $`x_0`$ belong to one connected component of the set $`FX`$. $``$

###### Lemma 1.2

Let $`K`$ be a connected two-sided subset of the plane. If sets $`B_1=KA_1`$ and $`B_2=KA_2`$ are zero-dimensional then $`K`$ is $`d`$-set.

$``$ Fix $`xK`$ and open neighborhood $`U`$ of $`x`$. Let us show that $`K(U,x)A_1\mathrm{}`$.

The set $`K`$ divides the plane into two connected components. Therefore it consists more than of one point. Take $`\epsilon >0`$ such that $`U_{2\epsilon }(x)U`$ and $`KU_{2\epsilon }(x)\mathrm{}`$.

According to lemma 1.1 there exists $`yK(\overline{U_\epsilon (x)},x)\overline{U_\epsilon (x)}`$. From proposition 1.1 it follows that $`yK(U,x)`$. Besides, $`yKU_\epsilon (x)`$.

The set $`B_1`$ is zero-dimensional. Therefore the space $`B_1`$ admits a base of open sets $`\{V_\alpha \}_{\alpha \mathrm{\Lambda }}`$ such that $`V_\alpha =\mathrm{}`$ in space $`B_1`$ (in relative topology) for all $`\alpha \mathrm{\Lambda }`$.

Let $`xB_1`$. Then $`xV_\beta `$ and $`V_\beta U_\epsilon (x)`$ for some $`\beta \mathrm{\Lambda }`$.

$`V_\beta `$ is an open-closed subset of space $`B_1`$. If $`V=B_1V_\beta \mathrm{}`$, the sets $`V`$ and $`V_\beta `$ will form a partition of space $`B_1`$.

Assume that $`K(U,x)B_1`$. Since $`yU_\epsilon (x)`$ then $`yV`$ and $`V\mathrm{}`$. Therefore, the sets $`V_\beta K(U,x)`$ and $`VK(U,x)`$ form a partition of the set $`K(U,x)`$ contrary to it’s connectedness.

So $`K(U,x)A_1\mathrm{}`$. The relation $`K(U,x)A_2\mathrm{}`$ is proved similarly.

By virtue of arbitrariness in the choice of a point $`xK`$ and its neighborhood $`U`$ we conclude that $`K`$ is $`d`$-set. $``$

### 1.4 On an accessibility of a point of a simple subset of the plane from a component of its complement.

It is easy to see that theorem 1.1 is direct corollary of theorem, inverse to Jordan’s curve theorem, and the following statement.

###### Theorem 1.2

Let $`K`$ be a simple subset of the plane. If for some $`xK`$ and every open neighborhood $`U`$ of $`x`$ the set $`K(U,x)A_1`$ is not empty, the point $`x`$ is accessible from $`W_1`$.

Plan of the proof of theorem 1.2.

If it is known that the point $`x`$ is accessible from $`W_1`$, theorem holds true. Therefore we shall assume further that $`(K(U,x)A_1)\{x\}\mathrm{}`$ for every open neighborhood $`U`$ of $`x`$.

Fix $`x_1(K(U_1(x),x)A_1)\{x\}`$.

Suppose for some $`n`$ there are already selected $`n`$ different points $`x_1,\mathrm{},x_n`$ such that $`x_iK(U_{1/i}(x),x)A_1`$ and $`x_ix`$, $`i=1,\mathrm{},n`$. Let

$$\epsilon _1=\underset{i\{1,\mathrm{},n\}}{\mathrm{min}}\rho (x_i,x),\epsilon =\mathrm{min}(\epsilon _1,\frac{1}{n+1}).$$

Select $`x_{n+1}(K(U_\epsilon (x),x)A_1)\{x\}`$. Proposition 1.1 implies the inclusion $`x_{n+1}K(U_{1/(n+1)}(x),x)`$.

By application of this procedure consequently for all $`n`$ we shall receive the sequence $`\{x_n\}_n`$, with pairwise different elements which complies with the condition

$$x_n(K(U_{1/n}(x),x)A_1)\{x\},n.$$

We fix for every $`n`$ an end-cut $`\alpha _n:I^2`$ of the domain $`W_1`$ in the point $`x_n`$ (that is simple continuous curve, for which $`\alpha _n(0)=x_n`$ and $`\alpha _n((0,1])W_1`$).

Following statement which will be proved in the next section holds true.

###### Lemma 1.3

There exists a family of cross-cuts $`\{\beta _n:I^2\}_{n=2}^{\mathrm{}}`$ of the domain $`W_1`$ which complies with the following properties

* a cross-cut $`\beta _n`$ connects points $`x_n`$ and $`x_{n+1}`$, $`n2`$;
* $`\beta _n(I)U_{1/(n1)}(x)`$, $`n2`$;
* for every $`n2`$ exists $`\tau _n>0`$, such that $`\alpha _2([0,\tau _2])\beta _2(I)`$ and $`\alpha _n([0,\tau _n])(\beta _{n1}(I)\beta _n(I))`$, $`n3`$.

Let $`\{\beta _n\}_{n=2}^{\mathrm{}}`$ and $`\{\tau _n\}_{n=2}^{\mathrm{}}`$ be collections of cross-cuts and parameter values from lemma 1.3. From this lemma follows that for every $`n2`$

$$\alpha _n(\tau _n)U_{1/(n1)}(x)$$

and the points $`\alpha _n(\tau _n)`$ and $`\alpha _{n+1}(\tau _{n+1})`$ are contained in the same connected component of $`U_{1/(n1)}(x)W_1`$. Therefore points $`\alpha _n(\tau _n)`$ and $`\alpha _{n+1}(\tau _{n+1})`$ can be connected in the set $`U_{1/(n1)}(x)W_1`$ by a simple polygonal line $`J_n`$ with the final number of links (see \[N\], theorem V.6.3). We designate

$$Q_n=\underset{k=2}{\overset{n}{}}J_k,A=\underset{n=2}{\overset{\mathrm{}}{}}Q_n=\underset{n=2}{\overset{\mathrm{}}{}}J_n.$$

Obviously, the set $`Q_n`$ is connected and closed for every $`n2`$. Therefore the set $`A`$ is connected as the union of the connected sets with a common point $`\alpha _2(\tau _2)`$.

Since $`AQ_nU_{1/(n1)}(x)`$, $`n2`$, then $`\overline{A}=A\{x\}`$. Being a closure of the connected set, $`\overline{A}`$ is connected and on a construction $`\overline{A}\{x\}W_1`$.

The further proof is based on the following statement (see \[N\], theorem VI.14.3).

###### Lemma 1.4

Let $`a^2`$ and $`A`$ be the union of a sequence of segments, $`x_ny_n`$, such that $`x_na`$, $`y_na`$. Then if $`a`$ is connected in $`\overline{A}`$ to a point $`b`$ ($`ba`$), there is a simple arc in $`\overline{A}`$ with end-points $`a`$ and $`b`$.

From this lemma follows that there is a simple continuous curve $`\alpha :I\overline{A}`$ connecting points $`x`$ and $`\alpha _2(\tau _2)`$. Since $`\overline{A}\{x\}W_1`$, the arc $`\alpha `$ is an end-cut of the domain $`W_1`$ in the point $`x`$. $`\mathrm{}`$

So it suffices to prove lemma 1.3 for completion of the proof of theorem 1.2.

## 2 Cross-cuts of complementary domains of simple sets in the plane.

Lemma 1.3 from the previous section is based on one local property of simple sets which will be studied now.

###### Theorem 2.1

Let $`K`$ be a simple set, $`xK`$. Let for some $`\epsilon >0`$ points $`y_1`$, $`y_2K(\overline{U_\epsilon (x)},x)`$, $`y_1y_2`$, be accessible from a complementary domain $`W_1`$ of $`K`$. Let

$$\alpha _i:I^2$$

be an end-cut of $`W_1`$ in the point $`y_i`$, $`i=1,2`$.

For any $`\epsilon _1>\epsilon `$ there exists cross-cut

$$\beta :I^2$$

of $`W_1`$ with end-points $`y_1`$, $`y_2`$, such that

* $`\beta (I)U_{\epsilon _1}(x)`$;
* $`\alpha _i([0,\tau _i])\beta (I)`$, $`i=1,2`$, for some $`\tau _1`$, $`\tau _2(0,1)`$.

Proof of theorem 2.1 will be decomposed into several steps.

Suppose $`\epsilon _1>\epsilon `$ is given. Fix $`\epsilon _2(\epsilon ,\epsilon _1)`$.

1. There exists a cross-cut $`\beta _0:I^2`$ of $`W_1`$ which meets condition (ii) of theorem.

Since $`y_1`$, $`y_2U_{\epsilon _2}(x)`$, there exists $`\tau _0(0,1)`$ meeting the relations $`\alpha _i([0,\tau _0])U_{\epsilon _2}(x)`$, $`i=1,2`$, and $`\alpha _1([0,\tau _0])\alpha _2([0,\tau _0])=\mathrm{}`$.

Points $`z_1=\alpha _1(\tau _0)`$, $`z_2=\alpha _2(\tau _0)`$ are contained in the open connected set $`W_1`$. It is known that any domain in $`^2`$ is arcwise connected. Therefore, there exists simple arc

$$\gamma :IW_1$$

connecting points $`z_1`$ and $`z_2`$.

Designate

$$\tau _i=\mathrm{min}\{\tau |\alpha _i(\tau )\gamma (I)\},i=1,2.$$

Nonempty closed sets $`\{0\}=\alpha _i^1(y_i)`$ and $`\alpha _i^1(\gamma (I))`$ do not intersect, hence $`\tau _i(0,\tau _0]`$, $`i=1,2`$.

Values $`t_i[0,1]`$ are uniquely defined, such that $`\alpha _i(\tau _i)=\gamma (t_i)`$, $`i=1,2`$. Consider a simple arc

$$\beta _0:I^2,$$

$$\beta _0(t)=\{\begin{array}{cc}\alpha _1(4t\tau _1),\hfill & t[0,1/4],\hfill \\ \gamma (2(t1/4)t_2+2(3/4t)t_1),\hfill & t[1/4,3/4],\hfill \\ \alpha _2(4(1t)\tau _2),\hfill & t[3/4,1].\hfill \end{array}$$

This curve will be the desired cross-cut.

If, besides, $`\beta _0(I)U_{\epsilon _1}(x)`$, then theorem is proved. Therefore, we shall suppose further that

$$\beta _0(I)U_{\epsilon _1}(x)\mathrm{}.$$

2. We shall examine one special case. Let $`K\overline{U_\epsilon (x)}`$. It is clear that $`KU_{\epsilon _1}(x)`$ then.

The following statement (see \[N\], theorem V.9.3) holds true.

###### Lemma 2.1

If a closed set $`F^2`$ is contained in a domain $`D`$ and $`D_1,D_2,\mathrm{}`$ are the components of $`^2F`$, the components of $`DF`$ are $`DD_1,DD_2,\mathrm{}`$.

From this statement follows, that points $`z_1=\alpha _1(\tau _0)`$, $`z_2=\alpha _2(\tau _0)`$ are contained in the same connected component of the opened set $`U_{\epsilon _1}(x)K`$ (namely, in $`W_1U_{\epsilon _1}(x)`$). Therefore, there exists a simple arc

$$\gamma :IW_1U_{\epsilon _1}(x),$$

with the end-points $`z_1`$ and $`z_2`$.

Repeating argument of the previous step we conclude that there exists a cross-cut

$$\beta _0:IU_{\epsilon _1}(x)$$

of $`W_1U_{\epsilon _1}(x)`$ with the end-points $`y_1`$, $`y_2`$, satisfying to a condition (ii) of theorem.

Hence, if $`K\overline{U_\epsilon (x)}`$, then theorem is true.

In all further argument we shall assume that

$$K\overline{U_\epsilon (x)}\mathrm{}.$$

3. The set $`K(\overline{U_\epsilon (x)},x)\beta _0(I)`$ is connected and divides the plane into two connected domains $`V_1`$ and $`V_2`$, one of which is contained in $`W_1`$.

First we prove following

###### Lemma 2.2

Let $`K`$ be a simple set. For any proper closed subset $`\stackrel{~}{K}K`$ it’s complement $`^2\stackrel{~}{K}`$ is connected.

$``$ Let $`yK\stackrel{~}{K}`$. There exists $`\epsilon (y)>0`$, such that $`U_{\epsilon (y)}(y)\stackrel{~}{K}=\mathrm{}`$. According to proposition 1.3, we can find $`z_1`$, $`z_2U_{\epsilon (y)}(y)`$, such that $`z_i(y)W_i`$, $`i=1,2`$.

Designate by $`J_i(y)`$ the segment with end-points $`y`$ and $`z_i(y)`$, $`i=1,2`$. Obviously, $`J_i(y)\stackrel{~}{K}=\mathrm{}`$, $`i=1,2`$. The set

$$Q(y)=W_1W_2J_1(y)J_2(y)$$

is connected and $`Q(y)\stackrel{~}{K}=\mathrm{}`$.

We fix a point $`zW_1`$. Since $`zQ(y)`$ for every $`yK\stackrel{~}{K}`$, the set

$$Q=\underset{yK\stackrel{~}{K}}{}Q(y)=^2\stackrel{~}{K}$$

is connected. $``$

Being the union of the connected sets which have a common point $`y_1=\beta _0(0)`$, the set $`K(\overline{U_\epsilon (x)},x)\beta _0(I)`$ is connected.

Under the definition $`K(\overline{U_\epsilon (x)},x)`$ is the connected component of a set $`\overline{U_\epsilon (x)}K`$. Therefore, it is closed in $`\overline{U_\epsilon (x)}K`$. Since $`\overline{U_\epsilon (x)}K`$ is closed in $`^2`$, $`K(\overline{U_\epsilon (x)},x)`$ is closed in $`^2`$.

Applying lemma 2.2, we conclude that the complement

$$Q=^2K(\overline{U_\epsilon (x)},x)$$

is connected.

Obviously, the curve $`\beta _0`$ is the cross-cut of $`Q`$.

The following statement holds true (see \[N\], theorem V.2.7).

###### Lemma 2.3

If both the end-points of a cross-cut $`L`$ in a domain $`D`$ of $`^2`$ are on the same component of $`^2D`$, $`DL`$ has two components, and $`L`$ is contained in the frontier of both.

This lemma implies that the set

$$Q\beta _0(I)=^2(K(\overline{U_\epsilon (x)},x)\beta _0(I))$$

has two components $`V_1`$ and $`V_2`$, and that

$$\beta _0(I)(V_1V_2).$$
(2.1)
Since

$$W_2\left(K(\overline{U_\epsilon (x)},x)\beta _0(I)\right)=\mathrm{},$$
(2.2)
then $`(V_1V_2)W_2\mathrm{}`$. Without loss of generality, we can assume that $`W_2V_2\mathrm{}`$.

$`W_2`$ is connected, therefore from the relation (2.2) it follows that $`W_2V_2`$. Otherwise we should receive a partition $`W_2V_1`$, $`W_2V_2`$ of $`W_2`$.

Relation (1.1) implies an equality $`W_1=^2\overline{W_2}`$. On the other hand, $`\overline{W_2}\overline{V_2}^2V_1`$. Therefore,

$$V_1^2\overline{V_2}^2\overline{W_2}=W_1.$$

4. Now we shall describe a structure which will allow us to construct a cross-cut $`\beta `$ of $`QU_{\epsilon _1}(x)`$, contained in a set $`\beta _0(I)V_1`$.

It is known, that for any simple continuous curve in the plane there exists a homeomorphism of $`^2`$ onto itself, mapping this curve onto a segment (see \[N\], paragraph VI.17). Fix homeomorphism

$$f_0:^2^2$$

which maps the curve $`\beta _0`$ onto a segment $`[2,2]\times \{0\}`$.

Easy to see that it is possible to select such homeomorphism $`\phi :`$, that the composition

$$f=(\phi \times id)f_0:^2^2$$

will satisfy to the following requirements:

* $`f(y_1)=f\beta _0(0)=(2,0)`$, $`f(y_2)=f\beta _0(1)=(2,0)`$;
* $`f\beta _0(1/4)=f\alpha _1(\tau _1)=(1,0)`$, $`f\beta _0(3/4)=f\alpha _2(\tau _2)=(1,0)`$.

Under these conditions it is obvious (see step 1) that

$$\begin{array}{ccccccc}f\beta _0([0,1/4])& =& f\alpha _1([0,\tau _1])& =& [2,1]\times \{0\}& & f(U_{\epsilon _2}(x)),\\ f\beta _0([3/4,1])& =& f\alpha _2([0,\tau _2])& =& [1,2]\times \{0\}& & f(U_{\epsilon _2}(x)).\end{array}$$

Since $`f`$ is the homeomorphism and the set $`U_{\epsilon _2(x)}`$ is open in $`^2`$, there exists $`\delta _1>0`$ meeting the relations

$$U_{\delta _1}(f\beta _0(1/4))f(U_{\epsilon _2}(x))\text{and}U_{\delta _1}(f\beta _0(3/4))f(U_{\epsilon _2}(x)).$$

Fix also $`\delta _2>0`$, such that

$$U_{\delta _2}([1,1]\times \{0\})f(K(\overline{U_\epsilon (x)},x))=\mathrm{}.$$

We can do it, since $`f(K(\overline{U_\epsilon (x)},x))`$ and $`f\beta _0([1/4,3/4])`$ are disjoint compact sets.

Let $`\delta =\mathrm{min}(\delta _1,\delta _2)`$.

Consider the following subsets of $`U_\delta ([1,1]\times \{0\})`$.

$$\begin{array}{ccc}P_1& =& (\{1\}\times [0,\delta /2])([1,1]\times \{\delta /2\})(\{1\}\times [0,\delta /2]),\\ P_2& =& (\{1\}\times [\delta /2,0])([1,1]\times \{\delta /2\})(\{1\}\times [\delta /2,0]).\end{array}$$

Let us set on these two polygonal lines a parametrization $`\mu _i:IP_i`$, $`i=1,2`$, converting them to simple continuous curves, such that

$$\begin{array}{c}\mu _1(0)=\mu _2(0)=f\beta _0(1/4)=(1,0),\\ \mu _1(1)=\mu _2(1)=f\beta _0(3/4)=(1,0).\end{array}$$

Consider in addition a segment $`JU_\delta ((1,0))`$ with the end-points $`(1\delta /2,0)f\alpha _1([0,\tau _1])`$ and $`(1,\delta /2)\mu _1(I)`$.

Let $`\mu :S^1^2`$ be a simple closed curve, defined by a relation

$$\mu (t)=\{\begin{array}{cc}\mu _1(2t),\hfill & t[0,1/2],\hfill \\ \mu _2(22t),\hfill & t[1/2,1].\hfill \end{array}$$

The curve $`\mu `$ divides the plane into two domains. Designate a limited component of the complement $`^2\mu (S^1)`$ by $`V_{in}`$ and unlimited component by $`V_o`$. Obviously,

$$V_{in}=(1,1)\times (\delta /2,\delta /2)U_\delta ([1,1]\times \{0\}).$$

Therefore, $`f(K(\overline{U_\epsilon (x)},x))V_0`$.

Segment $`[1,1]\times \{0\}=f\beta _0([1/4,3/4])`$ divides a rectangle $`V_{in}`$ into two domains. Designate by $`V_{in}^+`$ the domain contained in the upper half-plane and the other domain by $`V_{in}^{}`$.

By a construction $`V_{in}f(K(\overline{U_\epsilon (x)},x))=\mathrm{}`$. Therefore, according to relation (2.1), $`V_{in}f(V_1)=V_{in}f(V_2)=f\beta ((1/4,3/4))=(1,1)\times \{0\}`$. Consequently, one from domains $`V_{in}^+`$, $`V_{in}^{}`$ is contained in $`f(V_1)`$, the other is a subset of $`f(V_2)`$.

We shall suppose that $`V_{in}^+f(V_1)`$. Otherwise we can replace $`f`$ by $`if`$, where $`i:^2^2`$, $`i:(x_1,x_2)(x_1,x_2)`$, is an inversion relative to the first coordinate axes.

Since

$$\mu _i(I)f\left(K(\overline{U_\epsilon (x)},x)\beta _0(I)\right)=\mu _i(0)\mu _i(1),i=1,2,$$

then

$$\mu _1((0,1))f(V_1),\mu _2((0,1))f(V_2).$$

5. Consider a simple closed curve

$$\gamma :S^1^2,$$

$$\gamma (t)=x+\epsilon _2\mathrm{exp}(2\pi it),$$

being the boundary of a neighborhood $`U_{\epsilon _2}(x)`$.

Let us designate

$$\theta =f^1\mu :^2^2.$$

The following statement (see \[N\], example VI.16) holds true.

###### Lemma 2.4 (Kerékjártó’s Theorem)

If two simple closed curves, $`J_1`$ and $`J_2`$, have more than one common point, all the residual domains of $`J_1J_2`$ are Jordan domains.

Show that the curves $`\gamma `$ and $`\theta `$ meet the condition of this lemma.

Since $`\beta _0(I)U_{\epsilon _1}(x)\mathrm{}`$ (see step 1) and $`\epsilon _2<\epsilon _1`$ then $`\beta _0(I)\overline{U_{\epsilon _2}(x)}\mathrm{}`$. On a construction, $`\beta _0(I)\overline{U_{\epsilon _2}(x)}\beta _0((1/4,3/4))f^1(V_{in})`$.

Fix $`z_0\beta _0(I)\overline{U_{\epsilon _2}(x)}`$. The boundary of the domain $`f^1(V_{in})`$ is a Jordan curve $`\theta `$. Therefore $`\theta (S^1)\overline{U_{\epsilon _2}(x)}\mathrm{}`$. Really, the set $`f^1(V_o)`$ is not limited, hence there exists $`z_0^{}f^1(V_o)(^2\overline{U_{\epsilon _2}(x)})`$. A set $`^2\overline{U_{\epsilon _2}(x)}`$ is arcwise connected, so the simple continuous curve $`\psi :I^2\overline{U_{\epsilon _2}(x)}`$ could be found to connect points $`z_0`$ and $`z_0^{}`$. Domains $`f^1(V_o)`$ and $`f^1(V_{in})`$ are disjoint, $`z_0f^1(V_{in})`$, $`z_0^{}f^1(V_o)`$, and $`\theta (S^1)=f^1(V_{in})=f^1(V_o)`$. Therefore, $`\psi (I)\theta (S^1)\mathrm{}`$.

Let $`z_1`$ be contained in $`\psi (I)\theta (S^1)\theta (S^1)\overline{U_{\epsilon _2}(x)}`$.

On the other hand, $`z_2=\beta _0(1/4)=\theta (0)U_{\epsilon _2}(x)`$ on a construction.

Points $`z_1`$ and $`z_2`$ divide Jordan curve $`\theta `$ into two simple arcs with common end-points

$$\theta _i:I^2,i=1,2,$$

such that

$$\begin{array}{c}\theta _i(0)=z_1U_{\epsilon _2}(x),\theta _i(1)=z_2^2\overline{U_{\epsilon _2}(x)},i=1,2;\\ \theta _1(I)\theta _2(I)=\{z_1\}\{z_2\},\end{array}$$

It is not difficult to see, that $`\theta _iU_{\epsilon _2}(x)\mathrm{}`$, $`i=1,2`$. Consequently, the intersection $`\gamma (S^1)\theta (S^1)`$ contains not less than two points and for the curves $`\gamma `$ and $`\theta =f^1\mu `$ lemma 2.4 is applicable.

6. Let $`V_K`$ be a complementary domain of $`\theta (S^1)\gamma (S^1)`$ containing $`K(\overline{U_\epsilon (x)},x)`$.

Let

$$\eta :S^1^2$$

be a simple closed curve bounding the domain $`V_K`$.

On the construction a connected set

$$\begin{array}{cccc}K_0& =& K(\overline{U_\epsilon (x)},x)\beta _0([0,1/4)(3/4,1])& =\\ & =& K(\overline{U_\epsilon (x)},x)\alpha _1([0,\tau _1))\alpha _2([0,\tau _2))& \end{array}$$

is contained in $`V_K`$. Therefore, $`\beta _0(1/4)`$, $`\beta _0(3/4)V_K=\eta (S^1)`$. Similarly,

$$(K_0f^1(J))f^1((1,\delta /2))$$

is the subset of $`V_K`$, hence $`x_0=f^1((1,\delta /2))V_K=\eta (S^1)`$. Since $`x_0f^1\mu _1((0,1))V_1`$, then $`V_1V_K\mathrm{}`$.

The curve $`\eta `$ is divided by points $`\beta _0(1/4)`$ and $`\beta _0(3/4)`$ into two arcs

$$\eta _i:I^2,i=1,2,$$

such that

$$\begin{array}{c}\eta _i(0)=\beta _0(1/4),\eta _i(1)=\beta _0(3/4),i=1,2,\\ \eta _1(I)\eta _2(I)=\{\beta _0(1/4)\}\{\beta _0(3/4)\}.\end{array}$$

Let $`\eta _1`$ be that from these two curves, which contains the point $`x_0`$.

7. We shall show, that $`\eta _1((0,1))V_1`$.

The set $`V_1`$ is connected, so it will be enough to prove that $`\eta _1((0,1))V_1=\mathrm{}`$. We shall check a somewhat stronger relation

$$\eta _1((0,1))\left(K(\overline{U_\epsilon (x)})\beta _0(I)\right)=\mathrm{}.$$

Since $`K_0V_K`$, then $`\eta _1(I)K_0=\mathrm{}`$ and

$$\eta _1((0,1))\left(K(\overline{U_\epsilon (x)})\beta _0([0,1/4][3/4,1])\right)=\mathrm{}.$$

On the other hand, the sets $`K(\overline{U_\epsilon (x)},x)`$ and $`\beta _0((1/4,3/4))`$ are contained in the different components of $`^2\theta (S^1)`$, namely,

$$\begin{array}{c}K(\overline{U_\epsilon (x)},x)V_Kf^1(V_o),\\ \beta _0((1/4,3/4))f^1(V_{in}).\end{array}$$

Therefore,

$$\eta _1((0,1))\beta _0((1/4,3/4))\overline{V_K}f^1(V_{in})\overline{f^1(V_o)}f^1(V_{in})=\mathrm{}.$$

8. Recall that $`V_1W_1`$ and arcs $`\alpha _1`$, $`\alpha _2`$ are end-cuts of the domain $`W_1`$ in the points $`y_1`$ and $`y_2`$, respectively. Since

$$\begin{array}{c}\alpha _i([0,\tau _i))V_KU_{\epsilon _2}(x),i=1,2,\\ \eta _1(I)V_K,\\ \alpha _1(\tau _1)=\eta _1(0),\alpha _2(\tau _2)=\eta _1(1),\end{array}$$

then a simple arc

$$\beta :I^2,$$

$$\beta (t)=\{\begin{array}{cc}\alpha _1(4t\tau _1)=\beta _0(t),\hfill & t[0,1/4],\hfill \\ \eta (t/2+1/4),\hfill & t[1/4,3/4],\hfill \\ \alpha _2(4(1t)\tau _2)=\beta _0(t),\hfill & t[3/4,1]\hfill \end{array}$$

is the cross-cut of the domain $`W_1`$, which complies with all the requirements of theorem 2.1. $`\mathrm{}`$

Proof of lemma 1.3. From proposition 1.1 follows, that

$$K(U_{1/(n+1)}(x),x)K(U_{1/n}(x),x)K(\overline{U_{1/n}(x)},x)$$

for all $`n`$. Therefore $`x_n`$, $`x_{n+1}K(\overline{U_{1/n}(x)},x)`$, $`n`$.

Apply now for all $`n2`$ theorem 2.1 to the values $`\epsilon =1/n`$, $`\epsilon _1=1/(n1)`$, points $`y_1=x_n`$, $`y_2=x_{n+1}`$ and end-cuts $`\alpha _n`$, $`\alpha _{n+1}`$. We receive a sequence $`\{\beta _n\}_{n=2}^{\mathrm{}}`$ of cross-cuts of the domain $`W_1`$ and two sequences of positive numbers $`\{\tau _n^{}\}_{n=2}^{\mathrm{}}`$, $`\{\tau _n^{\prime \prime }\}_{n=2}^{\mathrm{}}`$, connected by relations

* $`\beta _n(I)U_{1/(n1)}(x)`$, $`n2`$;
* $`(\alpha _n([0,\tau _n^{}])\alpha _{n+1}([0,\tau _n^{\prime \prime }]))\beta _n(I)`$, $`n2`$.

Assume $`\tau _2=\tau _2^{}`$, $`\tau _n=\mathrm{min}(\tau _n^{},\tau _{n1}^{\prime \prime })`$, $`n3`$. Then the sequences $`\{\beta _n\}`$ and $`\{\tau _n\}`$ satisfy to lemma 1.3. $``$

## 3 Concluding remarks.

Theorems 1.1 and 1.2 could be reformulated in an other way. In order to do that we shall consider different topology on a two-sided subset of the plane.

###### Definition 3.1

Let $`(X,𝒯)`$ be a topological space. Let $`\{U_\alpha \}_{\alpha A}`$ be a base of opened sets in $`X`$.

For every $`\alpha A`$ let $`\{V_{\alpha \beta }\}_{\beta B(\alpha )}`$ be the family of all connected components of the set $`U_\alpha `$.

The topology induced by the family $`\{V_{\alpha \beta }\}_{\alpha A,\beta B(\alpha )}`$ will be designated by $`C(X,𝒯)`$ (or by $`C(X)`$ if the original topology on $`X`$ is clear from context).

###### Remark 3.1

This topology could be informally characterized by the following property: for each opened subset $`W`$ of $`(X,𝒯)`$ every connected component of $`W`$ is opened in the topology $`C(X,𝒯)`$.

Moreover, as it could be seen from definition 3.1 $`C(X,𝒯)`$ is the weakest topology on $`X`$ meeting this property.

So, this remark could be used as the alternative definition of the topology $`C(X,𝒯)`$.

###### Remark 3.2

It could be easily verified that the space $`(X,𝒯)`$ is locally connected if and only if the topologies $`𝒯`$ and $`C(X,𝒯)`$ coincide.

Using definition 3.1 theorems 1.1 and 1.2 could be reformulated in the following form

###### Theorem 3.1

Let $`K`$ be a two-sided subset of the plane. If the sets $`A_1`$ and $`A_2`$ are dense in $`K`$ in the topology $`C(K)`$ then $`K`$ is the simple closed curve.

###### Theorem 3.2

Let $`K`$ be a simple subset of the plane. Then the sets $`A_1`$ and $`A_2`$ are closed in the topology $`C(K)`$.

For a special class of spaces the topology $`C(X,𝒯)`$ is mentioned in \[K\], chapter 6, section 49.VII (see also \[M\]).

Namely, let $`(X,\rho )`$ be a metric space with the following property: for every $`a,bX`$ there exists a connected subset $`AX`$ such that $`a,bA`$ and

$$diamA=\underset{x,yA}{sup}\rho (x,y)<\mathrm{}.$$

Then so called relative distance

$$\rho _r:X\times X_+,$$

$$\rho _r(a,b)=inf\{diamA|a,bA\text{ and }A\text{ is connected}\}$$

is well defined and appears to be a metric.

###### Proposition 3.1

Topology induced by the distance function $`\rho _r`$ coincides with the topology $`C(X)`$.

$``$ Fix $`xX`$. For $`\epsilon >0`$ designate by $`X(U_\epsilon (x),x)`$ the connected component of $`x`$ in the set $`U_\epsilon (x)`$.

Then in accord with definition 3.1 the family $`\{X(U_\epsilon (x),x)\}_{\epsilon >0}`$ forms a base of opened neighborhoods of the point $`x`$ in the topology $`C(X)`$.

On the other hand let us denote

$$V_\epsilon ^r(x)=\{yX|\rho _r(x,y)<\epsilon \}$$

for every $`\epsilon >0`$.

Then by easy direct verification we receive

$$V_{\epsilon /3}^r(x)X(U_\epsilon (x),x)V_{3\epsilon }^r(x)$$

for every $`\epsilon >0`$.

Q. E. D. $``$


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# Empirical properties of the variety of a financial portfolio and the single-index model

## I INTRODUCTION

Financial markets can be regarded as model complex systems . They are open systems composed of many non-equivalent sub-units interacting in a nonlinear way. They are continuously monitored and a huge amount of carefully recorded financial data are now accessible for analysis and modeling of market micro-structure. This allows to perform empirical analyses elucidating statistical regularities that can be used to test models of financial activities . These tests provide information about the strengths and weaknesses of the various models pointing out the aspects that need to be improved to obtain a better model.

Stylized facts observed in financial markets mainly refer to the statistical properties of asset returns and volatility and to the degree and nature of cross-correlation between different assets traded synchronously or quasi synchronously and belonging to given portfolios. Recently, we have proposed to model the different behavior observed in the stock returns of a portfolio by considering the statistical properties (shape, moments, etc.) of the ensemble return distribution of stocks simultaneously traded in a market. Our studies  have shown that the statistical properties of the ensemble return distribution are roughly conserved in normal days of activity of the market whereas during crash and rally they change in a systematic way.

The single-index model  is not adequate to model some of these findings. Specifically, it fails in describing the statistical properties of the standard deviation (called by us variety) of the ensemble return distribution and it misses to quantitatively reproduce the symmetry breaking of the empirical return distributions observed during crash and rally days . On the other hand the same model is a rather attractive because it describes pretty well several stylized facts related to the first moment of the ensemble return distribution.

In the present study we investigate the empirical behavior of the variety with respect to the theoretical predictions of the single-index model. We find that variety is only mimicked at a “zero-order” by the single-index model and significant discrepancies are observed in the statistical properties of this variable both in extreme days and in periods of normal activity of the market.

## II The ensemble return distribution in normal and extreme days

In our empirical analysis we investigate the statistical properties of the ensemble return distribution obtained for a portfolio of stocks traded in a financial market. The investigated market is the New York Stock Exchange (NYSE) during the 12-year period from January 1987 to December 1998. This time period comprises 3032 trading days. Here we present empirical analyses of two different sets of stocks. The first is the set of all the stocks traded in the NYSE. For this statistical ensemble the number of stocks is not fixed because the total number of assets $`n`$ traded in the NYSE is rapidly increasing in the investigated time period and ranges from $`1128`$ in 1987 to $`2788`$ in 1998. The second set is the set of $`1071`$ stocks which are continuously traded in the NYSE in the considered period. The total number of financial records processed exceeds $`6`$ millions.

The variable investigated in our analysis is the daily price return, which is defined as

$$R_i(t)\frac{Y_i(t)Y_i(t1)}{Y_i(t1)},$$
(1)
where $`Y_i(t)`$ is the closure price of $`i`$th asset at day $`t`$ ($`t=1,2,..`$). In our study we consider only the trading days and we remove the weekends and the holidays from the data set. Moreover we do not consider price returns which are in absolute values greater than $`50\%`$ because some of these returns might be attributed to errors in the database and may affect in a considerable way the statistical analyses. For each set of stocks, we extract the $`n`$ returns of the $`n`$ stocks at each trading day and we consider the probability density function (pdf) of price returns. The distribution of these returns describes the general activity of the market at the selected trading day. In the periods of normal activity of the market, the central part of the distribution is conserved for a long time. In these periods the shape of the distribution is systematically non-Gaussian and approximately symmetrical . During crashes and rallies the ensemble return distribution changes abruptly shape. In a previous study  we have shown that the ensemble return distribution becomes asymmetric in critical days. Specifically, in crash days the ensemble return distribution becomes negatively skewed whereas in rally days the distribution becomes positively skewed. The change of the symmetry properties is not the only change of the pdf observed in crash and rally days. In fact during critical days the central moments of the pdf assume values rather different from the typical ones.

To illustrate the change of the distribution in crash and rally days and in the nearby time periods we select the three biggest crashes present during the time period of our database. They correspond to – (i) the black Monday crash of 19th October 1987 when the Standard and Poor’s 500 index had a $`20.4\%`$ return, (ii) the crash of 27th October 1997 when the Standard and Poor’s 500 index had a $`6.9\%`$ return, and (iii) the crash occurring at 31st August 1998 when the Standard and Poor’s 500 index had a $`6.8\%`$ return. Related to these crash days there are also relevant rally days. This is because the days of greatest rallies of our database occur just one or few days after crashes. In the 1987 time period, in addition to the rally days, a second crash of $`8.3\%`$ of the Standard and Poor’s 500 index occurred at 26th October 1987 . The statistical behavior of stock market indices during crashes has also been investigated under a different perspective in Ref. .

Figure 1 shows the contour plot of the logarithm of ensemble return distribution of the three above mentioned crash days in a $`200`$ trading days time interval centered at day of the crisis. The contour plots of the three crises show analogies and differences. An analogy is observed by considering that the time period after the crisis is clearly characterized by a degree of high instability in the shape of the ensemble return distribution. This is shown by the behavior of the contour lines which are more parallel before crises (negative values of the trading day index in Fig. 1) than after crises. An “aftershock” period lasting more than 50 trading days is clearly detected in two of the three analyzed cases, specifically in the 1987 and in the 1998 crises. Another aspect of this analogy is that the shape of the distribution tends to fluctuate significantly during the days immediately after the crises. A difference can be noted by considering that the onset of the crises is almost abrupt for the 1987 and for the 1997 crises whereas a progressive modification of the shape of the ensemble return distribution is detected in the time period before the 1998 crisis.

In order to characterize more quantitatively the ensemble return distribution at day $`t`$, we extract the first two central moments at each of the $`3032`$ trading days. Specifically, we consider the mean and the standard deviation of the ensemble return distribution defined as

$`\mu (t)={\displaystyle \frac{1}{n}}{\displaystyle \underset{i=1}{\overset{n}{}}}R_i(t),`$ (2)
$`\sigma (t)=\sqrt{{\displaystyle \frac{1}{n}}\left({\displaystyle \underset{i=1}{\overset{n}{}}}(R_i(t)\mu (t))^2\right)}.`$ (3)
The mean value of price returns $`\mu (t)`$ quantifies the general trend of the market at day $`t`$. The standard deviation $`\sigma (t)`$, i.e. the variety  of the ensemble return distribution, measures its width. A large value of $`\sigma (t)`$ indicates that different companies are characterized by rather different returns at day $`t`$. In fact in days of high variety some companies perform great gains whereas others have great losses. The variety of price returns is not constant and fluctuates in time.

Figure 2 shows the variety as a function of the trading day index for the same crises shown in Fig. 1. The behavior qualitatively observed in Fig. 1 is now quantitatively shown in Fig. 2. The abrupt onset of the 1987 and 1997 crises is rather clear, whereas a progressive increase of the variety is observed before the 1998 crisis. The presence of an aftershock period longer than 50 trading days is observed in all three cases. Wild fluctuations of the variety are observed immediately after the 1987 and 1998 crises. In summary during a crisis and in a long period after the crisis the variety of a portfolio of stocks increases significantly. It is worth pointing out that the highest value of the variety is not observed at the crash day but rather at the day immediately after in all the considered cases.

The variety of a portfolio of stocks is not a variable that is invariant to time reversal. Indeed, our analysis of these case studies suggests that the behavior of the market just before and just after crises is rather different with respect to the variety of the portfolio of stocks.

## III Single-index model

We now investigate the theoretical properties of the variety of a portfolio of stocks described in terms of a single-index model. The theoretical predictions will be compared with the results of our empirical observations and with surrogate data in Section 3.2.

The single-index model  is a basic model of price dynamics in financial markets. It assumes that the returns of all stocks are controlled by one factor, usually called the “market”. In this model, for any stock $`i`$ we have

$$R_i(t)=\alpha _i+\beta _iR_M(t)+ϵ_i(t),$$
(4)
where $`R_i(t)`$ and $`R_M(t)`$ are the return of the stock $`i`$ and of the “market” at day $`t`$ respectively, $`\alpha _i`$ and $`\beta _i`$ are two real parameters and $`ϵ_i(t)`$ is a zero mean noise term characterized by a variance equal to $`\sigma _{ϵ_i}^2`$. The noise terms of different stocks are assumed to be uncorrelated for $`ij`$. Moreover the covariance between $`R_M(t)`$ and $`ϵ_i(t)`$ is set to zero for any $`i`$. In this model each stock is correlated with the market and the presence of such a correlation induces a correlation between any pair of stocks.

There are several possible choices concerning the statistical properties of the noise terms $`ϵ_i`$. The customary choice is a Gaussian statistics  but also non-Gaussian statistics  has been considered. For the moment we do not specify the statistical properties of the noise terms explicitly and we only assume that the variance of each $`ϵ_i(t)`$ is finite.

### A Central moments in the single-index model

In our study we perform both ensemble and time averages. In our notation $`<\mathrm{}>`$ indicates ensemble averaged quantity, whereas $`[\mathrm{}]`$ indicates time averaged quantity.

The mean of the ensemble return distribution $`\mu (t)<R_i(t)>`$ is given by

$$\mu (t)=<\alpha _i>+<\beta _i>R_M(t)+<ϵ_i(t)>.$$
(5)
The quantity $`<ϵ_i(t)>`$ is proportional to the sum of $`n`$ uncorrelated random variables with zero mean and finite variance. The central limit theorem ensures that $`<ϵ_i(t)>`$ is Gaussian distributed with zero mean and variance given by $`<\sigma _{ϵ_i}^2>/n`$. The time average of the random variable $`\mu (t)`$ is given by

$$[\mu (t)]=<\alpha _i>+<\beta _i>[R_M(t)].$$
(6)
The determination of higher moments requires the calculation of time and ensemble variances of random variables. In the following, for a random variable $`x_i`$ we indicate its ensemble variance as $`<\mathrm{\Delta }x_i^2><(x_i<x_i>)^2>`$ whereas for a random variable $`x(t)`$ we indicate its time variance as $`[\mathrm{\Delta }x(t)^2][(x(t)[x(t)])^2]`$.

The time variance of $`\mu (t)`$ is

$$[\mathrm{\Delta }\mu (t)^2]=<\beta _i>^2[\mathrm{\Delta }R_M(t)^2]+\frac{<\sigma _{ϵ_i}^2>}{n}.$$
(7)
In deriving this equation we use the property that the covariance between $`R_M(t)`$ and $`ϵ_i(t)`$ is set to zero for any $`i`$. In a similar way we compute $`<R_i^2(t)>`$. By assuming that the ensemble covariance between two of $`\alpha _i`$, $`\beta _i`$ and $`ϵ_i`$ is zero, we find that the square of the variety $`\sigma (t)`$ of Eq. (3) is equal to

$`\sigma ^2(t)=<\mathrm{\Delta }\alpha _i^2>`$ (8)
$`+<\mathrm{\Delta }\beta _i^2>R_M^2(t)+<ϵ_i^2(t)><ϵ_i(t)>^2`$ (9)
Using Eq.(5) to express $`R_M^2(t)`$ as a function of $`\mu (t)`$ we rewrite Eq.(8) as

$`\sigma ^2(t)=<\mathrm{\Delta }\alpha _i^2>+{\displaystyle \frac{<\mathrm{\Delta }\beta _i^2>}{<\beta _i>^2}}(<\alpha _i>^2+<ϵ_i(t)>^2)`$ (10)
$`+<ϵ_i^2(t)><ϵ_i(t)>^2`$ (11)
$`2<\alpha _i>{\displaystyle \frac{<\mathrm{\Delta }\beta _i^2>}{<\beta _i>^2}}\mu (t)+{\displaystyle \frac{<\mathrm{\Delta }\beta _i^2>}{<\beta _i>^2}}\mu ^2(t)`$ (12)
The relation between the square variety and the mean ensemble return is therefore quadratic. This implies that the single-index model predicts a linear increase of the variety for large absolute value of the mean $`\mu (t)`$

$$\sigma (t)\frac{\sqrt{<\mathrm{\Delta }\beta _i^2>}}{<\beta _i>}|\mu (t)|$$
(13)
The proportionality factor of Eq. (10) gives a measure of the inhomogeneity of the portfolio with respect to the market factor. Hence the increase of the variety for large values of $`|\mu (t)|`$ is due to the inhomogeneity of the portfolio in following the market behavior. This result is independent of the statistics of the noise terms.

Equation (10) is valid only for large values of $`|\mu (t)|`$. To obtain a general expression of the square variety as a function of the single-index model parameters we need to make explicit the terms $`<ϵ_i^2(t)>`$ and $`<ϵ_i(t)>^2`$ of Eqs (8) and (9). The term $`<ϵ_i^2(t)>`$ is proportional to the sum of the squares of $`n`$ independent random variables each with mean equals to $`\sigma _{ϵ_i}^2`$ and variance which is dependent on the statistical properties of $`ϵ_i`$. We indicate the time variance of $`ϵ_i^2(t)`$ with $`v_i`$. By applying the central limit theorem one can show that $`[<ϵ_i^2(t)>]`$ is equals to $`<\sigma _{ϵ_i}^2>`$ and the variance of $`<ϵ_i^2(t)>`$ is $`<v_i>/n`$.

Let us now assume that the noise variables $`ϵ_i(t)`$ are Gaussian. In this case the variance of $`ϵ_i^2`$ is given by $`v_i=2\sigma _{ϵ_i}^4`$. By using this property, we conclude that the first two central moments of the random variable $`<ϵ_i^2(t)>`$ are for Gaussian noise terms

$`[<ϵ_i^2(t)>]=<\sigma _{ϵ_i}^2>`$ (14)
$`\left[\mathrm{\Delta }<ϵ_i^2(t)>^2\right]={\displaystyle \frac{2}{n}}<\sigma _{ϵ_i}^4>`$ (15)
The term $`<ϵ_i(t)>^2`$ is the square of a single Gaussian variable and is distributed according to the Gamma function $`f_{a,\nu }`$  with $`a=n/(2<\sigma _{ϵ_i}^2>)`$ and $`\nu =1/2`$. The mean of this term is $`<\sigma _{ϵ_i}^2>/n`$ and the variance is $`2<\sigma _{ϵ_i}^2>^2/n^2`$. Hence, we conclude that

$$<ϵ_i^2(t)><ϵ_i(t)>^2<ϵ_i^2(t)>.$$
(16)
By using Eqs (8), (11-12) and (13) we can explicitly write down the first two temporal moments of the random variable $`\sigma ^2(t)`$

$`[\sigma ^2(t)]=<\mathrm{\Delta }\alpha _i^2>+<\mathrm{\Delta }\beta _i^2>[R_M^2(t)]+<\sigma _{ϵ_i}^2>`$ (17)
$`\left[\mathrm{\Delta }(\sigma ^2(t))^2\right]=`$ (18)
$`<\mathrm{\Delta }\beta _i^2>^2([R_M^4(t)][R_M^2(t)]^2)+{\displaystyle \frac{2}{n}}<\sigma _{ϵ_i}^4>.`$ (19)
The validity of Eq. (14) is independent of the Gaussian assumption for the statistical properties of noise terms. On the other hand, Eq. (15) is valid only for Gaussian noise terms and for a market factor with finite fourth moment.

### B Comparison with empirical and surrogate data

In order to verify the relation between mean and variance predicted by the single-index model we generate surrogate data of an “artificial” market according to Eq. (4). The investigation of empirical data and the associated study of surrogate data are performed by considering the set of $`1071`$ stocks traded continuously in the NYSE in the time period $`19871998`$. By using the ordinary least square method we estimate the model parameters $`\alpha _i`$, $`\beta _i`$ and $`\sigma _{ϵ_i}^2`$ for all the stocks of our ensemble. We recall that the best estimate of the model parameters does not depend on the statistical properties of noise terms. In Table 1 we show the ensemble mean and standard deviation of these parameters. The Standard and Poor’s 500 index is chosen by us as the market factor $`R_M(t)`$. It assumes the following values for the first two temporal moments $`[R_M(t)]=5.8010^4`$ and $`[\mathrm{\Delta }R_M(t)^2]=1.0210^2`$ in the investigated time period. The time series of surrogate data are generated by using the above cited parameters and market factor. To check the role of the statistical properties of the noise terms we consider two different choices for $`ϵ_i(t)`$ –(i) noise terms with Gaussian statistics and (ii) noise terms with non-Gaussian statistics. For the case (ii) we assume that $`ϵ_i(t)=\sigma _{ϵ_i}w(t)`$, where $`w(t)`$ is a random variable distributed according to a Student’s t probability density function

$$P(w)=\frac{C_\kappa }{(1+w^2/\kappa )^{(\kappa +1)/2}},$$
(20)
where $`C_\kappa `$ is a normalization constant. Empirical investigations of real data  indicates a value between $`4`$ and $`6`$ for the power-law exponent of $`P(w)`$ for large values of $`|w|`$. In our simulation we take the most leptokurtic distribution within this interval which corresponds to $`\kappa =3`$.

We analyze the surrogate data in the same way used to investigate empirical data. In Fig. 3 we show the time series of the variety corresponding to the same time periods of Fig. 2 obtained for the surrogate data with Student’s $`t`$ noise terms. The time series of Fig. 3 are rather different from the ones shown in Fig. 2. A similar behavior is observed for the surrogate data with Gaussian noise terms. In Fig. 3 the increases of the variety occurring at the crash day is still evident in all cases but surrogate data are not able to describe the long aftershock period observed in empirical data. In other words the temporal asymmetry with respect to crash day observed in empirical data is not reproduced by the single-index model in spite of the fact that the behavior of $`\mu (t)`$ is well reproduced by the single-index model for all the considered time periods. This suggests that the variety of a stock portfolio is more sensitive to temporal asymmetry than the market factor $`R_M(t)`$. Moreover, a detailed analysis of Fig. 2 shows that the day of highest variety is always the crash days in the surrogate data whereas in Section 2 we noted that the day of highest variety is the day after the crash in empirical data.

To make a quantitative comparison between empirical data, surrogate data and the theoretical predictions of the single-index model we study some statistical properties of $`\mu (t)`$ and $`\sigma ^2(t)`$. Table 2 shows the temporal mean and the standard deviation of $`\mu (t)`$ for (i) empirical data, (ii) single-index theoretical prediction based on Eqs (6) and (7) and using the model parameters of Table 1, (iii) surrogate data with Gaussian statistics of the noise terms, and (iv) surrogate data with Student’s t statistics of the noise terms. The agreement between the results obtained for empirical and surrogate data with the theoretical predictions of the single-index model is pretty good. As stated in section 3.1 the mean and the standard deviation of $`\mu (t)`$ are not significantly affected by the statistical properties of the noise terms. This result has been observed in Ref.  in numerical simulations.

In Table 3 we show the values of the mean and standard deviation of $`\sigma ^2(t)`$ for the same sets of data and theoretical predictions as in Table 2. It is worth pointing out that the theoretical value of the standard deviation of $`\sigma ^2(t)`$ is obtained under the assumption of Gaussian statistics for noise terms. The same quantity diverges under the assumption of Student’s-$`t`$ noise terms with $`\kappa 4`$. We find that the mean value of $`\sigma ^2(t)`$ is approximately reproduced by both Gaussian and Student’s t surrogate data. The theoretical estimation of Eq. (14) with the model parameters of Table 1 is also close to the empirical value. However a different conclusion is obtained for the standard deviation of $`\sigma ^2(t)`$. None of the values obtained from the theoretical estimation and numerical simulation of surrogate data is able to explain the value observed in empirical data. This is not due to the fact that the theoretical prediction is inaccurate because the theoretical prediction well describes the case of surrogate data with Gaussian noise terms. Hence, the different value detected in the empirical analysis of the standard deviation of $`\sigma ^2(t)`$ is a clear manifestation of the limit of the single-index model. This model is able to describe the behavior of $`\mu (t)`$ but it is not able to describe the square variety of the portfolio properly.

To support the above conclusion we now consider in more detail the relation between $`\sigma ^2(t)`$ and $`\mu (t)`$ of the ensemble return distribution. The values of the model parameters are such that Eq. (9) can be approximated as

$`\sigma ^2(t)<\sigma _{ϵ_i}^2>2<\alpha _i>{\displaystyle \frac{<\mathrm{\Delta }\beta _i^2>}{<\beta _i>^2}}\mu (t)`$ (21)
$`+{\displaystyle \frac{<\mathrm{\Delta }\beta _i^2>}{<\beta _i>^2}}\mu ^2(t).`$ (22)
Figure 4 shows the square of the variety $`\sigma ^2(t)`$ as a function of the mean $`\mu (t)`$ for each trading day of the investigated period. In the figure each circle refers to a different trading day. The filled circle are obtained from the real data whereas the empty circles are obtained from surrogate data generated according to Eq. (4) and by using a Gaussian statistics for the noise terms. The dashed line is obtained from Eq. (17) by using the values of the model parameters listed in Table 1. Figure 5 is the same as Fig. 4 but the empty circles are surrogate data obtained by assuming a Student’s t statistics for the noise terms.

The agreement between the results obtained for the Gaussian surrogate data and the theoretical prediction is very good. This is due to the fact that the statistical uncertainty associated to the curve described by Eq. (17) for a set of 1071 stocks is of the order of the standard deviation of the random variable $`<ϵ_i^2(t)>`$. This quantity is the square root of Eq. (12) and it is equal to $`3.810^5`$ for the model parameters of Table 1. This error is very small with respect to the scale of Fig. 4 and therefore the empty circles cluster very close to the dashed line. On the other hand for the single-index model with Student’s t noise terms the standard deviation of $`<ϵ_i^2(t)>`$ diverges and for this reason the dashed curve in Fig. 5 describes well the average behavior of the square variety but large fluctuations around the average behavior are observed.

We finally compare the theoretical prediction and the behavior of surrogate data with the results obtained in the empirical analysis (filled circles in Figures 4 and 5). The empirical data are on average approximately described by the single-index model but the fluctuation of the empirical results around the theoretical line is much larger than the one predicted by the single-index model with Gaussian noise terms and it is larger than the one observed in the simulated surrogate data with Student’s t noise terms. Moreover, in the presence of large values of $`|\mu (t)|`$ the discrepancy between the empirical data and the prediction of the single-index model becomes progressively more pronounced. In particular, for large values of $`|\mu (t)|`$ the square variety is much larger than the value predicted by the single-index model. For large values of $`|\mu (t)|`$, we observe a different behavior in crash and rally days. Specifically, the variety of the portfolio has a relative increase with respect to the theoretical prediction of the single-index model which is larger for rally than for crash days.

## IV Conclusions

The present study investigates the behavior of the variety of a portfolio of stocks in normal and extreme days of market activity. The variety of a portfolio of stocks carries information about the market activity which is not included in simple models of financial markets such as the single-index model. The time evolution of the variety shows a breaking of temporal symmetry at the crash days. In fact aftershock periods of the variety are clearly observed only in empirical data whereas the surrogate data of the single-index model show a time evolution which is approximately time reversal. This is observed even if one uses the empirical time series of the Standard and Poor’s 500 index as market factor. In other words the time series of the variety is showing the time arrow much better than any market factor. Independent evidence of absence of time reversal of the statistical properties of financial time series has been given in Ref.

A second point considered in our study concerns the value of the variety observed in empirical data and the difference between it and the value predicted by the single-index model. The single-index model is able to mimic the average behavior of the square variety but fails in describing quantitatively the correct relation between the square variety and the mean return of the ensemble distribution. In particular the difference between empirical data and theoretical description is more pronounced for large positive values of the mean return of the ensemble distribution. Other significant deviations are also observed for extreme negative values of the mean return. A large spreading around the theoretical curve is observed in the entire $`\mu (t)`$ axis. This spreading cannot be simply explained as statistical uncertainty due to the presence of noise terms. In fact surrogate data both with Gaussian and Student’s $`t`$ noise terms are able to explain only part of the spreading.

A possible interpretation of the deviations of the empirical values of the square variety from the theoretical predictions of the single-index model observed in crash and rally days of financial markets is that the portfolio of stocks undergoes a change of the $`\beta _i`$ parameters in the presence of large movements of the market. Under this interpretation, the different behavior in crash and rally days could reflect the existence of a different degree of homogeneity of the market. In particular, within this framework, empirical data indicates that the market inhomogeneity increases more during rally than during crash days.

## V Acknowledgements

The authors thank INFM and MURST for financial support. This work is part of the FRA-INFM project Volatility in financial markets. F. Lillo acknowledges FSE-INFM for his fellowships. We wish to thank Giovanni Bonanno for help in numerical calculations.


text:
# 1 NNS distribution obtained for the interacting two-electron system described in the text. The solid thick line (dashed line) is 𝑃_{𝐼𝑆}(𝑠) (𝑃_{𝐼𝑇}(𝑠)). The Wigner surmise 𝑃_𝑊(𝑠) is plotted as a thin solid line in order to compare it to the obtained distributions. Inset: NNS distribution 𝑃_{𝑁𝐼}(𝑠) for the non-interacting two-electron systems described in the text (thick line) togheter with the Poisson distribution 𝑃_𝑃(𝑠) (thin line).

Interaction-induced chaos in a two-electron quantum-dot system

A. J. Fendrik, M. J. Sánchez and P. I. Tamborenea

Departamento de Física J. J. Giambiagi

Facultad de Ciencias Exactas y Naturales

Universidad de Buenos Aires

(1428) Buenos Aires, Argentina

A quasi-one-dimensional quantum dot containing two interacting electrons is analyzed in search of signatures of chaos. The two-electron energy spectrum is obtained by diagonalization of the Hamiltonian including the exact Coulomb interaction. We find that the level-spacing fluctuations follow closely a Wigner-Dyson distribution, which indicates the emergence of quantum signatures of chaos due to the Coulomb interaction in an otherwise non-chaotic system. In general, the Poincaré maps of a classical analog of this quantum mechanical problem can exhibit a mixed classical dynamics. However, for the range of energies involved in the present system, the dynamics is strongly chaotic, aside from small regular regions. The system we study models a realistic semiconductor nanostructure, with electronic parameters typical of gallium arsenide.

PACS: 73.23.-b, 73.61.-r, 05.45.G

In a many-body system, it is possible for signatures of quantum chaos to appear due solely to the interactions among its particles. During the last decade, such interaction-induced signatures of quantum chaos have been investigated, for example, in spin-fermion models, in the compound nuclear state with 12 particles in the $`sd`$-shell and in the heavy rare-earth atom of Cerium. In those studies, the evidence for quantum signatures of chaos found in the level-spacing statistics or in the statistical properties of the wave functions was considered to be conclusive. This conclusion is not entirely surprising since all of those systems, having relatively large numbers of particles ($`>10`$), are similar to the complex nuclear systems that motivated the introduction of the ideas of random matrix theory (RMT) in the first place. On the other hand it is not obvious a priori, whether the inclusion of the interaction in few-body systems, like for example currently available semiconductor quantum-dots, leads also to signatures of quantum chaos. In a recent study, the effect of electronic interactions was considered in a parabolically-confined three-electron system. (It is well known that three is the lowest number of interacting electrons necessary to break the integrability in a parabolic quantum dot.) In that study, the crossover from regular to irregular spectra as a function of the interaction strength was found to be incomplete, possibly due to the existence of hidden symmetries not taken into account in the statistical analysis. Therefore, the question of the emergence of signatures of quantum chaos due to interparticle interactions in systems of very few particles remains open.

Closely related to the issue of characterizing the dynamical properties of simple interacting systems is the problem of quantum control with external fields. The manipulation of few particles (electrons and holes) in semiconductor quantum dots is a potentially important technological problem that is receiving increasing attention. In this context, recent theoretical studies have shown interesting effects of single-electron turnstile behavior, and localization and correlations in systems of quantum dots with two interacting electrons in them. In the present Letter we investigate the signatures of quantum chaos in a similar system, ie., two interacting electrons in a quasi-one-dimensional semiconductor quantum dot. We show that the Coulomb interaction between the electrons induces an unambiguos transition from a regular spectrum to a spectrum that follows closely the predictions of RMT for systems whose classical analog exhibits chaotic dynamics.

In order to fully characterize the emergence of chaos due to interactions in this simple system, we also study the dynamics of its classical analog. The Poincaré maps that describe the classical system show a strongly (albeit mixed) chaotic behavior due to the inclusion of the true Coulomb interaction in the system.

We assume that the quantum dot has narrow parabolic confinement in the transversal $`xy`$ dimensions, so that the energies associated with those modes are high compared to the energies of the remaining degree of freedom (Born approximation). The two-electron wave function can then be written as

$$\mathrm{\Psi }(𝐫_1,𝐫_2)=\varphi (x_1)\varphi (y_1)\varphi (x_2)\varphi (y_2)\mathrm{\Phi }(z_1,z_2),$$
(1)
where $`\varphi (x)`$ is the lowest harmonic oscillator energy eigenstate. The energy eigenstates satisfy

$`[H_0(z_1)+H_0(z_2)+V_{1D}(|z_1z_2|)]\mathrm{\Phi }(z_1,z_2)`$ (2)
$`=E\mathrm{\Phi }(z_1,z_2),`$ (3)
where $`H_0(z)=(\mathrm{}^2/2m^{})^2/z^2+V(z)`$ is the single-particle Hamiltonian with $`V(z)`$ being the quantum-dot defining potential. $`m^{}`$ is the effective mass, and $`V_{1D}`$ is the Coulomb interaction given by

$`V_{1D}(|z_1z_2|)`$ $`=`$ $`{\displaystyle 𝑑x_1𝑑y_1𝑑x_2𝑑y_2}`$ (5)
$`{\displaystyle \frac{e^2\varphi ^2(x_1)\varphi ^2(y_1)\varphi ^2(x_2)\varphi ^2(y_2)}{ϵ|𝐫_1𝐫_2|}}.`$
We use the values of the dielectric constant $`ϵ=13.1`$ and $`m^{}=0.067m_e`$ corresponding to gallium arsenide. We choose to work with a quasi-one-dimensional semiconductor quantum dot confined in $`15\AA `$ in the x-y plane and a width of $`800\AA `$ in the z-direction.

In the absence of the interaction term in Eq. (3), the Hamiltonian is a sum of two single-particle one-dimensional Hamiltonians, whose classical counterpart is obviously integrable. The main question we seek to answer is whether the Coulomb interaction between the electrons introduces chaos in the system.

In order to look for signatures of quantum chaos, we follow a standard statistical analysis of the energy spectrum, which consists of the following steps. First we calculate the exact spectrum $`\{E_n\}`$ by diagonalization of the Hamiltonian matrix. The level spectrum is used to obtain the smoothed counting function $`N_{av}(E)`$ which gives the cumulative number of states below an energy $`E`$. In order to analize the structure of the level fluctuations properties one “unfolds” the spectrum by applying the well kwown transformation $`x_n=N_{av}(E_n)`$. From the unfolded spectrum one calculates the nearest-neighbor spacing (NNS) distribution $`P(s)`$, where $`s_ix_{i+1}x_i`$ is the NNS.

We first consider the spectral properties of the non-interacting two-electron problem whose Hamiltonian is $`H_0(z_1)+H_0(z_2)`$. Its eigenstates can be classified by their total spin in singlets and triplets. To compute the NNS distribution we use eigenstates of a given spin. In the inset of Fig. 1 we show the obtained NNS non-interacting distribution $`P_{NI}(s)`$ (histogram) which follows a Poisson distribution (characteristic of an uncorrelated sequence of energy levels) given by $`P_P(s)=e^s`$ and shown for comparison as a solid thin line. Due to the finite dimension of the Hilbert space, $`N_{av}(E)`$ saturates in the highest energy region. Therefore, we compute the NNS distribution using the lowest $`1000`$ eigenvalues. The obtained Poisson distribution is an expected signature of most quantum two-dimensional systems whose classical counterparts are integrable.

To analize the interacting spectrum we diagonalize exactly Eq. (3). We also take into account the symmetry of the spectrum due to the parity of the confining potential and the interaction potential. Therefore, in order to compute the NNS distribution we use eigenstates of a given parity and spin. This kind of decomposition is a standard procedure followed in the analysis of spectral properties of quantum systems whenever the Hamiltonian of the system possesses a discrete symmetry. After unfolding the spectrum the NNS distribution is computed for the even parity states. Again, we consider $`1000`$ eigenstates of the interacting Hamiltonian (whose eigenenergies are lower than the energy of the first transversal mode, for compatibility with the Born approximation).

Since the singlet is the ground state of the two-electron system, we first concentrate on the subspace of spatial wave functions that are symmetric under particle exchange. The interaction affects very clearly the spectrum, resulting in a strong level repulsion: the NNS distribution is in accordance with the predictions of RMT. As a consequence, the obtained NNS distribution $`P_{IS}(s)`$ (histogram shown as a thick solid line in Fig. 1) is well described by the Wigner surmise $`P_W(s)=\frac{1}{2}\pi s\mathrm{exp}(\pi s^2/4)`$, shown for comparison as a thin solid line.

For the triplet states, due to the antisymmetry of the spatial wave functions, it is reasonable to expect that the tendency of the two electrons to avoid each other results in a weaker level mixing. Nevertheless, although some differences with the singlet case would appear for other statistical measures (that are not possible to perform with the number of levels at hand), those differences are not qualitatively visible on the computed NNS distribution $`P_{IT}(s)`$, shown as a dashed line in Fig. 1. Again the obtained histogram fits quite well with the predictions of RMT.

We now turn to the dynamics of the classical counterpart of the two-electron quantum dot system. We consider the classical interaction potential given by $`V_{cl}(|z_1z_2|)=\alpha /\sqrt{(d^2+|z_1z_2|^2)}`$, where the parameters $`\alpha `$ and $`d`$ have been obtained from the best fit to the Coulomb interaction $`V_{1D}(|z_1z_2|)`$, Eq. (5). (The fit is very good at all distances, down to the resolution of the spatial grid used in our numerical calculations.) The classical single particle confining potential $`V_C(z)`$ is a square well of length $`L`$, and we restrict the analysis to bounded motion within this box. In this situation, the effect of the confining potential is to reflect elastically the particles off the boundaries in each bounce, breaking the translational symmetry of the problem. As a consequence, the center of mass momentum is not preserved. Nevertheless, in the absence of interaction each single particle energy is a constant of motion, and therefore the classical problem is integrable. On the other hand, the inclusion of the Coulomb interaction breaks the conservation of the single particle energies and can induce an irregular dymamics in the confined system.

For a total energy $`E=E^{}\alpha /d`$ there is a separatrix in the classical dynamics. That is, for $`E<E^{}`$ the particles never cross each other and the sign of the relative coordinate $`z_2z_1`$ never changes, while for $`E>E^{}`$ it can change.

Denoting $`ϵE/E^{}`$ we write

$$ϵ=\frac{v_{1}^{}{}_{}{}^{2}}{2}+\frac{v_{2}^{}{}_{}{}^{2}}{2}+V_C(z_1^{})+V_C(z_2^{})+\frac{d^{}}{\sqrt{d_{}^{}{}_{}{}^{2}+|z_1^{}z_2^{}|^2}},$$
(6)
where we have defined

$$v_i^{}=v_i\frac{\sqrt{m^{}d}}{\sqrt{\alpha }},z_i^{}=\frac{z_i}{L},d^{}=\frac{d}{L},$$
(7)
with $`i=1,2`$. In this way, for a given value of the reescaled energy $`ϵ`$, the classical dynamics depends only on the parameter $`d^{}`$. Taking into account that $`L=800\AA `$ and the best fit with the quantum Coulomb term $`V_{1D}`$ gives $`d=8\AA `$, we obtain $`d^{}=0.01`$.

In Fig. 2(a) we show for $`ϵ=0.9`$ the Poincaré surface of section $`v_2^{}`$ vs. $`z_2^{}`$, for the motion of one of the particles, taken at times when the other particle bounces off the left boundary of the well (the topology of the Poincaré section does not depend on which particle is selected). The motion is chaotic over most of the accesible phase space for the given energy shell. Fig. 3(a) shows another Poincaré section for $`ϵ=16`$. Again, except for small regions of regular motion, the dynamic is fully chaotic.

Although the two Poincaré sections look qualitatively similar, the trajectories in the plane $`z_2^{}`$ vs. $`z_1^{}`$ are quite different as can be seen from Figs. 2(b) and 3(b). Figure 2(b) (3(b)) shows for $`ϵ=0.9`$ ($`ϵ=16`$) a piece of a trajectory in the $`z_2^{}`$ vs. $`z_1^{}`$ plane corresponding to an initial condition in the chaotic region. In Fig. 2(b) the trajectory never crosses the straight line defined by $`z_2^{}=z_1^{}`$, because for $`ϵ=0.9`$ is always $`z_2^{}>z_1^{}`$. In Ref. the authors perform a classical analysis of the emergence of chaos due to the inclusion of an interparticle screened Coulomb interaction in an infinite well. The classical motion of such a system is qualitatively similar to our classical model only for $`ϵ<1`$.

From the $`1000`$ eigenstates employed to compute the NNS distribution displayed in Fig. 1, only the lowest 5 % have eigenenergies that correspond to $`ϵ<1`$. The eigenenergies of the remaining states correspond to values of $`ϵ`$ ranging from 1 to 16, for which, as we have shown, the classical dynamics is chaotic over most part of the energy shell. Therefore the NNS distribution computed from these states results in a remarkable quantum signature of the underlying classical chaotic dynamics.

For energies $`ϵ>>1`$ the classical regular regions in the Poincaré maps should become predominant over the chaotic ones, because in such a limit the Coulomb term can be considered as a perturbation of the non-interacting two-electron Hamiltonian. Nevertheless, values of $`ϵ>>1`$ are not realistic for quantum wells describing semiconductors nanoestructures.

In conclusion, we show that the Coulomb interaction is responsible for the chaotic dynamics in a quasi-one-dimensional two-electron-quantum dot. This is the first study of a realistic few body system where the emergence of chaos due to interparticle interactions is unmistably demostrated through the analyses of both its quantum spectral properties and the dynamics of its classical counterpart. We believe that the present results also put serious constraints to some models of semiconductors nanoestructures in which the interaction among particles is modeled, for a finite number of particles, as a capacitive term in the form of a constant interaction (CI). The inclusion of the CI gives an interacting Hamiltonian whose spectral properties are those of the non-interacting one. In other words, a Poisson NNS distribution will remain Poissonian after considering the interaction in the CI model.

This work was partially supported by UBACYT (TW35), PICT97 03-00050-01015, Fundación Antorchas and CONICET.


text:
# The Kuiper Belt and Olbers Paradox

## 1. INTRODUCTION

The darkness of the night sky – Olbers Paradox – is one of astronomy’s great mysteries. The conclusion that an infinite universe full of stars and galaxies produces an infinitely bright sky is over four hundred years old. The resolution of the Paradox, an expanding and infinite universe with a finite age, is now a central tenet of Big Bang Cosmology, where galaxy counts and the limiting sky background constrain the evolution of galaxies and the curvature of the universe (e.g., Driver et al. 1995, 1996, 1998; Odewahn et al. 1996). Here we show that local radiation sources, including the Kuiper Belt in our solar system, can also appear to violate Olbers Paradox. Current limits on the sky background set interesting constraints on the mass and size distributions of Kuiper Belt objects (KBOs).

Recent observations have detected many small icy bodies in our solar system outside the orbit of Neptune (Luu & Jewitt (1998)). These KBOs consist of three dynamical classes: (1) classical KBOs with roughly circular orbits and semimajor axes of 41–47 AU, (2) resonant KBOs, also known as Plutinos, in orbital resonance with Neptune (Jewitt, Luu, & Chen 1996), and (3) scattered KBOs with eccentric orbits, $`e`$ 0.5, and perihelion distances of 30–38 AU (Luu et al. (1997)). For an adopted optical albedo, $`\omega `$ 0.04, KBOs with red magnitudes, R $``$ 20–26 mag, have radii of 50–500 km (Luu & Jewitt (1998)).

All optical measurements of individual KBOs are consistent with a simple function for the number counts:

$$\mathrm{log}N(R)=\alpha (RR_0),$$
(1)
where $`N`$ is the cumulative number of KBOs per square degree.111We use number counts throughout. The luminosity function, defined as the number per unit volume per magnitude, is more common in extragalactic astronomy. In the Kuiper Belt, the analog to the luminosity function may vary with distance from the Sun. Recent analyses indicate $`\alpha `$ = 0.5–0.75 and $`R_0`$ = 23.2–23.5 mag in the Kron-Cousins photometric system (Gladman et al. (1998); Jewitt, Luu, & Trujillo 1998; Chiang & Brown (1999)). These results imply a differential size distribution, $`n(r)r^a`$, where $`a`$ = 3.5–4.5 (e.g., Luu & Jewitt (1998)). The total mass in large KBOs with radii 50–500 km is $``$ 0.1–0.2 $`\mathrm{M}_{}`$ for the classical and resonant KBOs (Jewitt et al. 1998; Luu & Jewitt 1998) and $``$ 0.05 $`\mathrm{M}_{}`$ for the scattered KBOs (Trujillo et al. 2000). Coagulation models which form large KBOs from mergers of much smaller objects naturally produce size distributions, $`n(r)r^4`$, and total masses of large KBOs consistent with the R-band observations (Kenyon & Luu 1999a ,b).

Fits to the optical counts of KBOs can conflict with measurements of the known, finite sky brightness. Windhorst, Mathis, & Keel (1992) and Windhorst et al. (1994, 1998) quote on-orbit surface brightness measurements with the Hubble Space Telescope (HST) Wide Field/Planetary Camera 1 (WF/PC-1) and Wide Field Planetary Camera 2 (WFPC2) at ecliptic latitude $``$ 70 for V, $`\mu _V`$ 23.2 mag arcsec-2, and for I, $`\mu _I`$ 22.2 mag arcsec-2. All optical surface brightnesses throughout have units of Vega mag arcsec-2. The surface brightness in the ecliptic plane is roughly 1 mag arcsec-2 brighter, $`\mu _V`$ 22.35 mag arcsec-2 for ecliptic longitude $`\lambda `$ 110–140 and ecliptic latitude $`\beta `$ = 0 (Table 6.2 in the WFPC2 Handbook; Biretta et al. 2000). For KBOs with a Kron-Cousins color of the Sun, V–R = 0.37 mag (Jewitt & Luu (1998); Davies et al. (2000)), the limit to the R-band surface brightness from KBOs in the ecliptic plane is $`\mu _R=22`$ mag arcsec-2. Using equation (1), faint KBOs reach this limit at R $``$ 45–55 mag (see below). Thus, the KBO number counts cannot follow equation (1) to arbitrarily faint magnitudes.

The far-infrared (far-IR) background radiation place additional constraints on the KBO population. Studies of the collisional evolution of KBOs (e.g., Backman, Dasgupta, & Stencel 1995; Teplitz et al. (1999)) show that the size distribution of objects with radii of several microns to several millimeters should have a power law index $`a`$ 3.5. For small Kuiper Belt grains with temperatures $`T_{KBO}`$ 40 K and a total mass in small grains of $``$ $`10^5`$ $`\mathrm{M}_{}`$, far-IR fluxes predicted from these models typically fall below reliably available background measurements at wavelengths longer than $``$ 10 $`\mu `$m, $`I_\nu (\mathrm{FIR})`$ 1–2 $`\times 10^6`$ Jy sr-1 (Fixsen et al. (1998); Hauser et al. (1998)). For grains with $`T_{KBO}`$ 100 K, we show below that this limit provides a better constraint on the properties of small KBO grains than current surface brightness limits set by HST. However, with 1$`\sigma `$ sensitivity limits of $`\mu _V`$ 27 mag arcsec-2 and $`\mu _I`$ 25.4 mag arcsec-2, WFPC2 images can, in principle, detect a Kuiper Belt small grain population which emits less light than the currently available far-IR limits.

Our goal is to quantify the relationship between the optical number counts for bright KBOs and the measured sky-surface brightness at optical and far-IR wavelengths. In §2, we use equation (1) to relate the observed sky-surface brightness to the slope of the optical counts. In §3, we derive a physical model relating observables to the KBO size distribution. We conclude in §4.

## 2. THE OPTICAL SURFACE BRIGHTNESS OF KBOs

For equation (1), the R-band surface brightness for KBOs with magnitude brighter than R is:

$$\mu _R=41.032.5\mathrm{log}\left(\frac{\alpha }{\alpha 0.4}\right)+(12.5\alpha )(RR_0)$$
(2)
for $`\alpha >0.4`$. The surface brightness at other optical and near-IR bands follows from assumptions for $`\omega `$ and the typical color of a KBO. To relate limits on thermal emission to the optical sky brightness, we assume that $`F_{tot}`$ is the total flux density in erg cm-2 s-1 sr-1 received at Earth from KBOs. If the albedo for KBOs is independent of size, then the R-band surface brightness in mag arcsec-2 is:

$$\mu _R=2.5\mathrm{log}\left(\frac{\omega F_{tot}}{A_0F_0}\right)BC(R),$$
(3)
where $`A_0`$ is the number of arcsec2 in a steradian, $`F_0`$ = $`2.48\times 10^5`$ erg cm-2 s-1 is the zero point (Allen 1976), and BC(R) = +0.17 is the bolometric correction (Kenyon & Hartmann 1995). The thermal radiation received from KBOs is $`(1\omega )F_{tot}`$. If KBOs radiate as blackbodies, an absolute upper limit to the flux at frequency $`\nu `$ is the flux at the Planck peak, $`I_{\nu ,m}10^{11}`$ $`T_{KBO}^1(1\omega )F_{tot}`$, where $`T_{KBO}`$ is measured in Kelvins. If we solve equation (3) for $`F_{tot}`$, the thermal emission from KBOs depends only on the albedo, the surface brightness, and the temperature:

$$I_\nu (\mathrm{FIR})=9.5\times 10^{170.4\mu _R}T_{KBO}^1\left(\frac{1\omega }{\omega }\right)\mathrm{Jy}\mathrm{sr}^1.$$
(4)
For a fixed optical brightness, equation (4) predicts that hot KBOs produce less thermal emission than cold KBOs. This counter-intuitive result is correct, because hot KBOs must have a smaller surface area to emit the same bolometric flux as cold KBOs.

Equation (4) has three main uncertainties. From the apparent spread in the optical colors of KBOs (Jewitt & Luu (1998); Davies et al. (2000)), the bolometric correction is uncertain by $`\pm `$ 0.2 mag. Large KBOs and comets with $`\omega `$ 0.04 (e.g., Luu & Jewitt (1998)) contribute little to the optical surface brightness or the thermal emission. If $`\omega `$ 0.2–0.5 for the smallest KBO grains (Backman & Paresce 1993; Backman et al. (1995)), $`I_\nu `$(FIR) is uncertain by a factor of 4. Small KBO grains with $`r`$ 100 $`\mu \mathrm{m}`$ are inefficient radiators and are hotter than larger KBOs at the same distance from the Sun (see Backman et al. 1995; Teplitz et al. 1999). For constant $`F_{tot}`$, $`I_\nu `$(FIR) for small grains is a factor of 2–5 less than the limit in equation (4). We conclude that equation (4) with $`\omega `$ = 0.5 and $`T_{KBO}`$ = 40 K is a reasonable estimate for thermal emission from KBOs with optical number counts defined by equation (1).

The solid lines in Figure 1 indicate how the optical and far-IR surface brightness increase with fainter KBO R-band magnitude, assuming $`R_0`$ = 23.25 mag and $`\alpha `$ = 0.5, 0.6, and 0.7. The dashed lines in each panel show observed limits, $`I_\nu (\mathrm{FIR})`$ = $`10^6`$ Jy sr-1 and $`\mu _R`$ 22 mag arcsec-2. These simple models, which fit the optical counts for R $``$ 26–27 mag, yield optical and far-IR backgrounds much larger than current limits. The vertical tic marks in Figure 1 indicate approximate radii corresponding to selected R magnitudes for KBOs at 40 AU. The limits on optical and far-IR surface brightness require that the size distribution of KBOs turns over for objects with $`r`$ 10 m.

To allow for a shallower size distribution of small KBOs, we consider the surface brightness distribution for number counts that follow a broken power law:

$$\mathrm{log}N(R)=\begin{array}{cc}\alpha _1(RR_0)\hfill & R<R_1\hfill \\ & \\ \alpha _1(R_1R_0)+\alpha _2(RR_1)\hfill & RR_1\hfill \end{array}$$
(5)
Similar forms for broken power laws have been derived for other solar system bodies from observations (e.g., Weissman (1982); Bailey & Stagg (1988)) and theory (e.g., Greenberg et al. (1984); Wetherill & Stewart (1993)). Weissman & Levison (1997) previously proposed a broken power law for KBOs to satisfy constraints from the optical counts and the supply of short period comets.

To construct surface brightness distributions for a broken power law, we adopt $`\alpha _1`$ = 0.6 and $`R_0`$ = 23.25 mag to match the optical number counts. Observations currently require $`R_1`$ 26–27 mag to fit equation (1) to the optical data. We adopt $`R_1`$ = 30 mag for simplicity. The dashed lines in Figure 1 show how this model compares with the observed limits for $`\alpha _2`$ = 0.4–0.5. Models with $`\alpha _2`$ 0.48 satisfy the optical and far-IR sky-background constraints. The allowed power law slope becomes flatter as the knee in the number counts moves to fainter magnitudes.

## 3. PHYSICAL MODEL FOR SURFACE BRIGHTNESS

To understand how the constraints on the optical counts relate to the size distribution of KBOs, we construct a physical model for the observed surface brightness. We adopt a broken power law size distribution:

$$n(r)=\begin{array}{cc}n_0(r/r_0)^{a_1}\hfill & r>r_0\hfill \\ & \\ n_0(r/r_0)^{a_2}\hfill & rr_0\hfill \end{array}$$
(6)
and assume objects are distributed in a ring around the Sun with a surface density, $`\mathrm{\Sigma }A^\beta `$. The ring has an inner radius $`A_1`$ = 40 AU and an assumed outer radius $`A_2`$ = 50 AU. We adjust $`n_0`$ and $`a_1`$ to match the observed optical counts, $`\alpha `$ = 0.6 and $`R_0`$ = 23.25 mag, for an adopted $`\omega `$ = 0.04 and slope parameter $`g=0.15`$ in the standard two-parameter magnitude relation for sunlight scattered by asteroids (Bowell et al. (1989)). The slope parameter $`g`$ relates the brightness of an asteroid at any solar phase angle $`\theta `$ to the brightness at opposition, when $`\theta `$ = 0. We assume $`\theta =`$ 0 for these calculations. The predicted $`\mu _R`$ follows from a sum over all objects projected into a box with an area of 1 arcsec2. To predict thermal emission from these objects, we use equations (4) and (5) of Backman & Paresce (1993) to derive grain temperatures as a function of distance from the Sun. Large objects absorb and radiate as blackbodies with $`T_{KBO}`$ = 278 $`(1\omega )^{1/4}(A/1\mathrm{AU})^{1/2}`$; small grains radiate with an emissivity $`ϵ\lambda ^1`$ and have $`T_{KBO}`$ = 468 $`(1\omega )^{1/4}(A/1\mathrm{AU})^{2/5}r^{1/5}`$ where $`r`$ is the radius in microns (see also Teplitz et al. (1999)). The thermal emission $`I_\nu (\mathrm{FIR})`$ follows from the appropriate sum over all bodies in a solid angle of 1 steradian.

This model ignores the complex orbital distribution of KBOs at 35–50 AU, where the bright end of the optical number counts is directly measured. Properties of KBOs beyond 50 AU are unknown. The relationship between $`\mu _R`$ and $`I_\nu `$(FIR) is independent of our approximations and uncertainties. Our results are insensitive to $`\beta `$, because we fit the observed optical counts. The model predicts smaller far-IR fluxes for grains with an emissivity $`ϵ\lambda ^2`$; current observations cannot distinguish between possible emissivity laws. Although specific predictions for the optical and far-infrared surface brightness are sensitive to other adopted parameters, our main conclusions are independent of these assumptions except as indicated below.

The curves in Figure 2 show how the optical and 100 $`\mu `$m surface brightness increase with fainter KBO R-band magnitude for models with $`\beta `$ = 1.5, $`a_1=4`$, and $`a_2`$ = 3.0, 3.25, and 3.5. Solid lines show results when all objects have $`\omega `$ = 0.04; dot-dashed lines show how the surface brightness changes when the albedo varies smoothly from $`\omega `$ = 0.04 for $`r`$ 1 km to $`\omega `$ = 0.5 for $`r`$ 0.1 km. As expected, the larger albedo produces a brighter optical surface brightness, but a fainter far-IR surface brightness. For models with $`a_2`$ = 3.5, KBOs with a small constant albedo have a limiting optical surface brightness, $``$ 24.5 mag arcsec-2, fainter than the observed sky brightness. This limit, however, is detectable with HST if other background sources can be reliably subtracted. If small KBOs have $`a_2`$ = 3.5 and a large albedo, the predicted $`\mu _R`$ exceeds the observed background at $`R`$ 70 mag. This limit corresponds to objects with $`r`$ 0.03 mm. In both cases, the far-IR surface brightness exceeds the measured sky brightness for $`\lambda `$ 240 $`\mu `$m at $`R`$ 65–70 mag. The predicted far-IR surface brightness lies below measured limits at longer wavelengths.

The far-IR surface brightness at 100 $`\mu `$m flattens in Figure 2 for R $``$ 70 mag, because grains with $`r`$ 100 $`\mu \mathrm{m}`$ radiate inefficiently and are too hot to emit much 100 $`\mu `$m light. If the albedo of these small grains remains large, constraints on the KBO small grain population from optical data are stronger than the COBE constraints for R $``$ 75 mag (i.e., $`r`$ 1–3 $`\mu `$m). Uncertain optical properties for small KBO grains and rapid grain removal processes such as Poynting-Robertson drag make it difficult to use any observation to constrain the mass in KBO grains with $`R`$ 75 mag.

The results in Figure 2 show that the predicted surface brightness is very sensitive to $`a_2`$, the power law slope of the small object size distribution. Models with $`a_2`$ 3.4 are consistent with the surface brightness limits set by COBE for $`\lambda `$ 10 $`\mu `$m and by HST at V and I. Models with $`a_2`$ 3.25 predict background fluxes well below current detection limits at all wavelengths.

## 4. DISCUSSION AND SUMMARY

Our results demonstrate a clear relationship between the optical and far-IR surface brightness from KBOs in the outer solar system. The relation depends only on $`\omega `$ and $`T_{KBO}`$. Direct measurements of $`\mu _R`$ and $`I_\nu `$ from KBOs should yield direct constraints on $`\omega `$ and $`T_{KBO}`$ for small grains. Observations of $`\mu `$ at other optical and near-IR wavelengths measure the colors of small KBOs.

The optical and far-IR surface brightness place useful constraints on the size distribution of small KBOs. To avoid violating Olbers Paradox at optical and far-IR wavelengths, the slope of the optical counts must change from $`\alpha _1`$ 0.6 at $`R`$ 27 mag to $`\alpha _2`$ 0.48 at $`30R50`$ mag. With $`a=5\alpha +1`$, the slope of the KBO size distribution must change from $`a_1`$ 4 for $`r`$ 10 km to $`a_2`$ 3.4 for 1 m $`r`$ 1 km. This conclusion is independent of assumptions about $`\omega `$, $`T_{KBO}`$, or the space distribution of KBOs. If many small KBOs lie beyond 50 AU, the knee in the size distribution must occur at $`r`$ 1 m.

Our upper limit for $`\alpha _2`$ is larger than the usual result for Olbers paradox, $`\alpha _20.4`$. In extragalactic astronomy, galaxies fill an infinite volume nearly uniformly; galaxy counts with $`\alpha `$ 0.4 always produce a divergent sky brightness. For dust grains, the sky brightness converges when the largest objects produce all of the light ($`a3`$, $`\alpha `$ 0.4); the sky brightness diverges when the smallest objects produce all of the light ($`a>3`$, $`\alpha >`$ 0.4). Because dust grains and the disk of our solar system have finite sizes, the sky brightness can converge for $`\alpha >0.4`$. For grains with $`r`$ 0.01 $`\mu `$m at 40–50 AU, models with $`\alpha _2`$ 0.47 do not violate Olbers Paradox. If Poynting-Robertson drag and radiation pressure are effective at removing grains with $`r1\mu `$m, this limit is raised to $`\alpha _2`$ 0.48.

These results support coagulation models for the formation of the Kuiper Belt during the early evolution of our solar system (Kenyon & Luu 1999a,b). In this picture, small objects with $`r`$ 1–100 m collide and merge to form larger objects. In 10–100 million years, coagulation leads to a population of 1–1000 km objects with a size distribution $`n(r)r^4`$. Smaller objects have a shallower size distribution, $`n(r)r^{3.5}`$ (Kenyon & Luu 1999a; Backman et al. (1995)). Orbital evolution of KBOs leads to large collisional velocities and gradual erosion of the Kuiper Belt (Holman & Wisdom (1993)). Collisions between high velocity objects produce debris which adds to the ‘collisional tail’ where $`n(r)r^{3.5}`$ (Davis & Farinella (1997)). Poynting-Robertson drag and radiation pressure remove objects with radii less than 1 mm on timescales roughly proportional to the grain radius, $`10^6`$ yr ($`r`$/1 $`\mu \mathrm{m}`$) (Burns et al. (1979); Backman & Paresce (1993)). Grain removal may lead to a size distribution slightly flatter than $`n(r)r^{3.5}`$ for $`r`$ 1 $`\mu \mathrm{m}`$ to 1 mm at 35–50 AU222In the inner solar system at 1–2 AU, Poynting-Robertson drag and radiation pressure timescales are $``$ 1000 times shorter than in the Kuiper Belt, which leads to rapid removal of grains with radii of 1 mm or smaller. Very small grains in the inner solar system thus make a negligible contribution to the brightness of the night sky.. Our analysis, together with those of previous investigations, demonstrates that the transition from a merger population with $`n(r)r^4`$ to a debris population with $`n(r)r^{3.4}`$ must occur at radii 10–1000 m, where collisions should produce debris instead of mergers.

If other background sources can be reliably subtracted, current and future space missions can detect the integrated scattered light and thermal emission from small KBOs. Direct detection of KBOs in the optical/near-IR or far-IR background would begin to provide stringent tests of collision models. Constraints on the variation of surface brightness with ecliptic latitude or longitude would allow direct measurements of the scale height and orbital distributions of small KBOs. In addition to possible ground-based strategies, the sensitivity of deep HST WFPC2 images is now sufficient to improve constraints on the KBO optical background by a factor of ten. The Space Infrared Telescope Facility can improve the far-IR constraints by a similar factor. The Next Generation Space Telescope will provide direct measurements of individual KBOs near the proposed knee in the size distribution at $`R`$ 28–31 mag and more accurate background measurements in the optical and near-IR. These and other facilities will yield better understanding of the implications of Olbers Paradox in our solar system and beyond.

Comments from M. Geller, M. Holman, B. Marsden, and an anonymous referee improved the accuracy and quality of the manuscript.