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# Causalities of the Taiwan Stock Market

## I Introduction

Physicists are interested in studying stock markets as complex systems. Almost all questions asked can be summarized as searching for price formation theories. Previous researches shown the distribution of price change has pronounced tail distribution in contrast to Gaussian distribution expected. Furthermore, the auto-correlation of price change decays exponentially with a characteristic time scale around 5 minutes. Stock crash or rally have also been identified by physicists as a kind of herd behaviourEZ .

Johansen and Sornette considered fitting most stock markets for the bubbles using Landau expansions of the indexJS1 . They showed evidence that market crashes as well as large corrections are preceded by speculative bubbles with two main characteristics: a power law acceleration of the market price decorated with log-periodic oscillations. For most markets the log-frequency $`\omega /2\pi `$ is close to unity. However, most data analysis were done for the index of more mature market like S & P 500. Not all market indexes are defined in the same way. Could different weighting methods reach the same conclusion? Will government intervention play a role in the conclusion? Johansen and Sornette further found emergent markets have larger fluctuations. They extended the expansion up to third order and successfully predicted Nikkei raise in the year 2000JS2 . However, why do these fluctuations exist? The log-periodic oscillation appeared in a wide class of out of equilibrium dynamic systems, like ruptures in heterogeneous media, historic analysis of earthquakes data, and world population. Canessa tried to establish universality for the exponents from a renormalization group theoryEC , and used a stochastic theory to show that the log-periodicities are a consequence of transient clusters introduced by an entropy-like term. As entropy in thermodynamics corresponds to the information in an information theory. The possibility to arrive at the log-periodic oscillation therefore suggests the log-periodic oscillation is a consequence of information exchange between different species of a large systemEC2 .

The effect of volume is less analyzed in the literature. Volume is a measure of market liquidity while index means the price. Gopikrishnan et al.GPGS  analyzed the statistical properties of number of shares traded of a particular stock at a given time interval from an empirical rule saying that it takes volume to push the index. Bonanno et al.BLM  also analyzed the number of shares traded of selected stocks and find a power spectrum of approximately $`1/f`$.

In the present work we considered the volume effects of Taiwan stock market (TAIEX). In particular, the cause-effect relation between the volume time series and the index time series is analyzed. Taiwan stock market is one of the largest emerging markets. Johansen and Sornette did not studied it because of availability of trading information. In the present work we tried to make up this missing piece.

When people talk about the volume involved, sometimes they mean the number of shares traded, sometimes the amount of money involved. We consider money flow to be more important than share number flow if the whole market is considered, since the person or institute involved should have fixed amount of money.

## II Basic Properties

Taiwan has two stock markets. TAIEX is the major marketTAIEX . TAIEX definition is taken the yearly average of 1966 as 100. All stocks traded are taken into account.

We analyzed our daily data of TAIEX from January 3, 1991 to December 30, 2000, which include 2814 trading days for a ten years period. Intra-day time is treated as continuous. Within our data time, several significant events can be identified. In August 26, 1997, the market reached a local peak 10116.84. The highest index happened at February 17, 2000 with an index 10202.2. The lowest point is at January 7, 1993 with an index 3135.56.

In order to compare Taiwan stock market with other countries we need to know some basic properties studied in other markets. The first properties are of course daily index and volume histories. They are plotted in Fig.(1).

One of the most studied properties is volatility. It is found to be a good measure for long time behaviour and riskLGCMPS . It is also the key input parameter for all option pricing models. Many different quantitative definitions of volatility are used in the literature. Following Liu et al. we define the price change $`G(t)`$ as the change in the logarithm of the index,

$$G(t)\mathrm{ln}Z(t+\mathrm{\Delta }t)\mathrm{ln}Z(t)\frac{Z(t+\mathrm{\Delta }t)Z(t)}{Z(t)},$$
(1)
where $`\mathrm{\Delta }t`$ is the sampling time interval. The absolute value of $`G(t)`$ describes the amplitude of the fluctuation, as shown in Fig. (2). The large values of $`|G(t)|`$ correspond to the crashes and big rallies. None of the $`|G(t)|`$ ever be larger than $`0.07`$ because government regulation limited maximum daily changes to $`7\%`$.

We define the volatility as the average of $`|G(t)|`$ over a time window $`T=n\mathrm{\Delta }t`$, i.e.,

$$V_T(t)\frac{1}{n}\underset{t^{}=t}{\overset{t+n1}{}}|G(t^{})|,$$
(2)
in which $`n`$ is the moving window size. Fig. (3) shows the calculated volatility $`V_T(t)`$ for a large averaging window $`T=30`$days.

Fig. (4) shows the probability density function $`P(V_T)`$ of the volatility for several values of $`T`$ with $`\mathrm{\Delta }t=1`$day. The 10-day data is further fitted with Gaussian distribution in Fig. (5). Apparently the data distribution deviates from the Gaussian curve in many places. The right hand side heel has much higher probability than the Gaussian fit.

An important property need to be investigated for any time series analysis is its stationarity. Most empirical analysis assumes the time series to be stationary. A time series is stationary if its mean value and its variance do not vary systematically over timeDNG . For TAIEX we choose a window of 1000 trading days, say, and calculate the corresponding mean value and variance. The result is plotted in Fig. (6). We find the averages of both index and volume have clear upward trend, while the variances of index oscillate. The volume average and its variance curves have a turning point around the year 1995, which marks a fundamental change of Taiwan economics. The index curve is further fitted with a linear curve. The slope is $`1.6`$, which means if an investor holds a index portfolio for over 1000 days her expectation to profit is 1.6 point/day.

Another test for stationarity is based on sample autocorrelation function, $`\rho _k=\gamma _k/\gamma _0`$, in which $`\gamma _k=(Y_t\overline{Y})(Y_{t+k}\overline{Y})`$ is the covariance at lag $`k`$. If $`\rho _k`$ decays very fast with increasing $`k`$, the time series is stationary. The resulting correlogram is plotted in Fig.(7). Apparently, the index time series is more stochastic than the volume time series. The results of Fig.(6) and Fig.(7) are consistent.

## III crashes

In this section, we follow Johansen and Sornette to fit the index changes and obtain future trends prediction. However, our analysis differs from theirs in labeling the date. They convert all dates into decimal numbers. We labeled only by trading dates. Our labeling method will be more reliable in dating, since trading days spread irregularly amount years.

Johansen and Sornette wrote down the first, second, and third order Landau expansion of the index starting or ending at the historical high $`t_c`$. The first order expansion reads:

$$p_1\left(t\right)A+B\tau ^\alpha +C\tau ^\alpha \mathrm{cos}\left[\omega \mathrm{ln}\left(\tau \right)+\varphi \right].$$
(3)
in which $`\tau =|tt_c|`$ is the absolute value of time difference from the critical time of the highest index $`t_c`$. The parameter $`\varphi `$ correspond to the time unit used, while the parameter $`A,B,`$and $`C`$ are units determined by the index as well as the historical period. Only $`t_c,\alpha ,`$ and $`\omega `$ are the key parameters: $`\alpha `$ stands for the power law acceleration, while $`\omega `$ quantifies for the log-periodic oscillation. Numerically, $`A`$ is roughly the index at $`t_c`$.

Our fitting start from January 7, 1993 to February 17, 2000.

The result is shown in Fig.(8). The fitting does not appears good, since it is only a first order approximation while the fitting period is about 7 years. There exits a fitting solution with $`t_c`$ far beyond the highest index point. However, we cannot take that solution because it is obviously incorrect. The fitted $`t_c`$ has to come before the highest point.

A theory will only be useful if it can also predict for the future. We used the same equation to fit from February 17,2000 in Fig.(9).

We find the future is promising. However, in both cases the $`\omega `$ were found to be much higher than the previous authors’.

## IV Causality Test

It is well known to the practitioner, as an empirical rule, that volume changes come before price change. A rule of thumb is that higher index will come after huge volume, and if the volume is reaching a minimum the bottom of the index will not be far. However, how much ahead? What kinds of correlation do they posses? Why is there a lag? This kind of dual series with one influencing the other has been analyzed in the econometric literature for GNP (gross national product)-money supply relation, for exampleDNG ; GSM . It is called causality as in the literature of physics. We have already known our time series are non-stationary. In order for the causality test to be meaningful, the two time series have to be cointegrated, i.e. their wave-lengths of variation have to be of the same order. Fig.(6)(b) and Fig.(7) show their time scale differs but not far.

In the econometrics literature a linear functional form is used for the regression of these two time series. Furthermore, because the future cannot cause the past, we can write down a functional form for the future index, $`I_t`$ and the future trading volume, $`V_t`$, as

$`I_t`$ $`={\displaystyle \underset{i}{}}a_iV_{ti}+{\displaystyle \underset{j}{}}b_jI_{tj}+u_t`$ (4)
$`V_t`$ $`={\displaystyle \underset{i}{}}l_iV_{ti}+{\displaystyle \underset{j}{}}k_jI_{tj}+v_t.`$ (5)
We fitted for 90-days from the history using the above functional form. The result is plotted in Fig.(10). Both the index fitting and the volume fitting show stronger dependence on the index history than on the volume history. However, only the previous trading day shows significance. Another plot is made for the index difference and the corresponding volume for the future index difference, $`I_t`$ and the future trading volume, $`V_t`$, as

$`\delta I_t`$ $`={\displaystyle \underset{i}{}}a_iV_{ti}+{\displaystyle \underset{j}{}}b_j\delta I_{tj}+u_t`$ (6)
$`V_t`$ $`={\displaystyle \underset{i}{}}l_iV_{ti}+{\displaystyle \underset{j}{}}k_j\delta I_{tj}+v_t.`$ (7)
The result is plotted in Fig.(11).

The figure suggests the index difference time series indeed received slightly higher influence from the previous index difference and the previous volume. However, these effects are pretty small. Furthermore, these peaks will be changed with the truncation of the time series.

## V conclusion

We tried to find the correlation between the volume of transactions involved and stock market fluctuations beyond simply considering temporal price series, using Taiwan stock market as an example in the present work.

We find TAIEX volatility spread relatively uniformly in the past ten years, which can also be found in the stationarity test. The distribution of price change shows fat-heel behaviour.

A slightly higher influence coefficient is found in the index difference fitting with previous index and previous volume. Johansen and Sornette’s result suggests us to try regression with log-periodic functional forms in the future. However, it does not seem meaningful to go beyond 90-days for the time lag, since companies will have their seasonal reports by that time.


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# 1 INTRODUCTION

## 1 INTRODUCTION

GL 2789 is an infrared source that coincides with an optical reflection nebula and the star-like object V645 Cyg . The optical image contains the star-like condensation N0 and several filamentary nebulae, the brightest of which is called N1. Cohen  suggests that this object is associated with a young O7 star at a distance of 6 kpc that is surrounded by a bipolar nebula. Humphreys et al.  concluded that the optical spectrum of the nebulosity around V645 Cyg corresponded to that of an A star surrounded by a shell, and estimated a smaller distance to the object of about 3.5 kpc (see also Goodrich ). In both cases, the mass of the star was estimated to be 10 $`M_{}`$. V645 Cyg is located at the center of a molecular cloud that emits CO and NH3 lines, with the CO line emission showing signs of a bipolar outflow . The optical object V645 Cyg is also located at the center of a source of thermal radio continuum emission about $`7^{\prime \prime }`$ in size . Lada et al.  discovered H2O masers with radial velocities of $`48.9`$ km/s and $`44.5`$ km/s, whose position was determined with an accuracy of 0′′.2 and coincides with the position of the optical component N0. The VLA observations of Tofani et al.  obtained 13 years later showed H2O masers with radial velocities of $`43.3`$ km/s and $`41.0`$ km/s at the same position. OH maser emission at 1665 MHz at radial velocities ranging from $`45`$ km/s to $`41.6`$ km/s was detected by Morris and Kazés . Slysh et al.  detected a class II maser in the $`5_16_0A^+`$ methanol line at 6.7 GHz at radial velocities from $`43.5`$ km/s to $`40.5`$ km/s. Since maser emission is associated with early stages of stellar evolution, the presence of OH, H2O, and methonol masers suggests that V645 Cyg is a protostar or young stellar object. Investigations of the fine structure of the maser sources could shed light on mechanisms for interactions between the young star or protostar and its surrounding medium. Here, we present the results of high-angular-resolution (milliarcsecond-scale) studies of the structure of the H2O and methanol masers associated with this source.

## 2 OBSERVATIONS

The H2O-maser observations of GL 2789 were carried out at 22 GHz on the VLBA on June 5, 1996 as part of a prelaunch survey for the VSOP space-VLBI project . The VLBA consists of ten 25-m radio telescopes located at various points on US territory, and provides a maximum baseline length of about 8000 km. The observations were conducted in a snapshot mode with the individual scans being five minutes in duration. The resulting synthesized beam was 0.3$`\times `$0.95 mas. The total recorded bandwidth of 8 MHz was divided into 512 spectral channels during the correlation of the data, providing a spectral resolution of 15.6 kHz per channel or 0.21 km/s. The sensitivity achieved during the five-minute accumulation time was 100 mJy/beam. The delay and bandpass calibration was performed using observations of the continuum sources 3C 273 and 3C 84. The post-correlation reduction included amplitude calibration and fringe fitting. The fringe fitting was carried out in two stages: (1) the residual delays for the radio telescopes were determined using the continuum sources and (2) the residual fringe rate was determined for each of the sources individually using its strongest spectral features. We also applied a correction for the Doppler shift of each telescope.

Observations of the class II methonol maser in the $`5_16_0A^+`$ transition were carried out at 6.7 GHz on the European VLBI network (EVN) in 1998 and 2000. Five telescopes equiped with 6.7-GHz receivers participated: the 100 m Effelsberg, 25 m Jodrell Bank, 32 m Medicina (Noto in 2000), 25 m Onsala, and 32 m Torun antennas. In 1998 and 2000, GL 2789 was observed during four and three 10-min scans, respectively. The resulting synthesized beams were $`4.3\times 8.2`$ mas. The recorded bandwidth of 2 MHz was divided into 1024 spectral channels, providing a spectral resolution of 1.95 kHz or 0.088 km/s. The sensitivity of the observations was 400 mJy/beam. The delay and bandpass calibration was conducted using observations of several continuum sources. The post-correlation reduction of the methanol observations was carried out in the same way as the reduction of the H2O-maser data.

The subsequent processing of the data consisted of determining the absolute coordinates of the masers and the relative positions of the maser spots, and constructing images of the spots themselves. This was carried out in the AIPS package.

## 3 RESULTS

### 3.1 Spectra

Figure 1 presents the spectra of the H2O (solid) and methonol (dotted) masers observed in 1998. Each spectrum contains four features, however the H2O maser occupies a broader velocity interval than the methanol maser. The entire methanol spectrum is located in the red half of the H2O radial-velocity spectrum. No methanol maser feature coincides in radial velocity with any of the H2O maser features. A comparison with the earlier observations of Lada et al.  and Tofani et al.  shows that the H2O spectra experienced substantial variations. In 1998, the brightest feature had a radial velocity of $`51.5`$ km/s, while the brightest features in 1979  and 1992  had radial velocities of $`50.2`$ km/s and $`43.3`$ km/s, respectively. Features at radial velocities of $`39`$ km/s and $`41.5`$ km/s have also appeared. The methanol maser spectrum for the 1998 EVN observations differs markedly from a spectrum observed at Medicina in 1995, but nearly coincides with the spectrum obtained by Szymczak et al.  in 1999. While the brightest feature in 1995 had a radial velocity of $`43.6`$ km/s and a flux of 19 Jy, the brightest features in 1998, 1999, and 2000 were at radial velocities of $`42.5`$ km/s (flux 7.5 Jy), $`40.9`$ km/s (flux 7 Jy), and $`40.4`$ km/s (flux 27 Jy), respectively. At the same time, the character of the spectrum remained nearly unchanged, always containing the same four features, with only their relative fluxes varying.

### 3.2 Absolute coordinates

We determined the absolute coordinates of the masers using the method of fringe-rate mapping. Figure 2a shows the result of measuring the absolute coordinates of the H2O feature at $`51.8`$ km/s. Each line corresponds to the locus of possible source positions for which the fringe rate for one of the VLBA baselines is equal to the measured value. The number of lines is equal to the number of baselines (the number of pairs of antennas). Since the VLBA consists of ten antennas, the number of baselines is 45. The point of intersection of all the lines corresponds to the true position of the source. The accuracy of the absolute coordinates of H2O masers obtained in this way varies from fractions of an arcsecond to several milliarcseconds. The coordinates of the methanol masers were determined in the same fashion.

Table 1 presents the coordinates of the brightest maser features. The table presents the coordinates obtained from both our 1998 and 2000 methanol observations, which agree within their errors ($`<2\sigma `$). The coordinates of the H2O maser coincide with those presented by Lada et al.  and Tofani et al.  within their errors, although they correspond to different spectral features. The accuracy for the H2O maser coordinates provided by our observations was more than an order of magnitude higher than for the observations of Lada et al.  and Tofani et al. . The methanol maser is shifted relative to the H2O maser by 0′′.08$`\pm `$0′′.07 to the east and 0′′.09$`\pm `$0′′.05 to the south. The coordinates of both masers coincide with those for the optical object N0 and the source of continuum radio emission, which are known with much lower accuracy. Nevertheless, we can assert with certainty that the masers are located within the extended continuum radio source, which has a diameter of 7′′.

### 3.3 The Images

#### 3.3.1. The H2O maser

To construct the image of the H2O maser, we performed self-calibration of the VLBA data using the strongest spectral feature, at a radial velocity of $`51.8`$ km/s. We were not able to calibrate using external sources, i.e., strong point-like continuum sources, since the amplitude and phase characteristics of the array did not remain sufficiently constant between observations of the calibrator and maser sources, due to changing conditions in the atmosphere. During the self-calibration on a maser feature, the amplitude and phase characteristics of the antennas were determined simultaneously with the image of the maser itself, and variations in these characteristics and in the atmospheric characteristics were removed from the data.

Figure 2b shows the coverage of the $`uv`$ plane for the observations of GL 2789. Since each of the individual observations was short (5 min), the tracks corresponding to individual pairs of antennas are represented by short segments of ellipses that appear nearly like dots. We can see that the range for $`u`$ (horizontal direction) is appreciably larger than the range for $`v`$ (vertical direction). This is due to the locations of the antennas in the VLBA, whose extent in the east–west direction is somewhat larger than in the north–south direction. As a result, the synthesized beam has an elliptical shape with a 3:1 axial ratio.

The self-calibration procedure yielded an image of the reference feature at $`51.8`$ km/s, as well as images of all the remaining features with radial velocities from $`38.0`$ km/s to $`55`$ km/s. The maser spots are concentrated primarily in two groups. The southern group contains features with radial velocities from $`49`$ km/s to $`55`$ km/s, while radial velocities in the northern group are from $`38`$ km/s to $`42`$ km/s. Figures 3 and 4 present images of the maser spots of the northern and southern groups in all channels where there was an appreciable signal. These images are super-resolved; i.e., the images were convolved with a beam 0.1 mas in size. This is admissible in the presence of high signal to noise. A map of the masers in the southern group constructed for all the channels is shown in Fig. 5a, an analogous map for the northern group is shown in Fig. 5b, and a combined map is shown in Fig. 5c. We can see that the southern group of maser spots forms a structure that is elongated in the east–west direction, while the northern group is elongated roughly north–south. Within the northern group, the radial velocity decreases from south to north, contrary to the general tendency for the radial velocity for the maser as a whole to grow from south to north. One weak feature with a radial velocity of $`50.5`$ km/s has a peculiar location, separated from the southern group by about 5.6 mas to the southwest. In all, we detected eight maser spots in the image of GL 2789. Their mutual locations relative to the reference feature at $`51.8`$ km/s are presented in Table 2 and shown in Fig. 5d. This maser source was the most compact of all those observed during the survey: the maximum distance between individual features does not exceed 10 mas.

The spots themselves are very compact, and are not resolved even on the longest VLBA baselines. Figure 6 shows the dependence of the correlated flux on the baseline length for one of the spots. We can see that the correlated flux is nearly independent of the baseline length, indicating that this maser spot is not resolved by any of the baselines. The remaining spots are also unresolved. The upper limit to their angular size is 0.05 mas (or 50 $`\mu `$arcsec), and the corresponding lower limit to their brigthness temperature is $`2\times 10^{13}`$ K.

3.3.2. The Methanol maser. The mapping of the methanol maser was carried out in the same way as for the H2O maser. The four spectral features visible in Fig. 1 correspond to four maser spots (Table 3), as we can see in Fig. 7a, which presents the image made from the 1998 data. The spots are located roughly along a north–south line and form two groups of two spots. The distance between the groups is about 100 mas, and the radial velocity of the southern group is 2.5 km/s higher than that of the northern group. As for the H2O maser spots, the spots themselves are not resolved; their sizes are less than 2 mas, corresponding to a lower limit for the brightness temperature of $`1.4\times 10^9`$ K. Figure 7b shows the map of the GL 2789 methanol maser emission obtained using the 2000 data. Since the methanol observations were carried out twice with a time interval of two years, we can estimate possible changes in the relative positions of the spots. A comparison of the two images indicates that the distances between the spots did not change significantly, by less than 2 mas, which is within the observational errors. The position of spot $`B`$ changed by 2.5 mas in the line wings. The intensity and profile of the line corresponding to spot $`B`$ also varied. These variations may indicate a weakening of the previous spot $`B`$ and the appearance of another spot near the old position at a slightly different velocity.

## 4 MODEL FOR THE MASERS

Figure 7c shows the relative positions of the H2O and methanol masers. In both masers, the spots are distributed roughly along a north–south line, with the center of the methanol maser shifted 90 mas south from the center of the H2O maser. The accuracy of the position of the methanol maser relative to the water maser is not high, so that it is reasonable to suppose that both masers are located approximately on a north–south line similar to those corresponding to the structure of the maser spots. The maximum distance between the methanol-maser components is roughly a factor of ten greater than for the H2O maser, while the difference in radial velocities is about a factor of three smaller. The radial velocity of the molecular cloud associated with GL 2789, $`45.6`$ km/s, is within the interval of velocities for the H2O maser and at the blue edge of the velocity interval for the methanol maser. The radial-velocity gradients for the methanol and H2O masers have different signs: while the methanol radial velocity decreases in the direction of the H2O maser, from south to north, the H2O radial velocity increases from south to north.

The variations of the radial velocity in the north–south direction are shown in Fig. 7d. These properties can be explained using a model in which the masers lie in a Keplerian disk viewed nearly edge-on rotating around the supposed central star. The position of the star, which may correspond to the optical object N0, is not known with sufficient accuracy to establish the parameters of the Keplerian orbit. As we can see from Table 1, both masers coincide with the object N0 to within the accuracy of its coordinates, 0′′.2. From general considerations, it seems likely that the H2O masers are closer to the star than the methanol maser. This is supported by their large radial-velocity dispersion, consistent with the idea that the H2O masers move in Keplerian orbits at closer distances to the star, and the smaller linear scale of the H2O maser source, about 50 AU (while the size of the region of methanol-maser emission is of the order of 600 AU). In addition, the H2O maser requires a higher gas temperature (300–400 K) and higher density ($`10^9`$ cm-3), while the methanol masers require temperatures not exceeding 100 and gas densities not exceeding $`10^7`$ cm-3.

It is natural to suppose that the gas temperature and density are higher closer to the star than further from it. The opposite velocity gradients for the H2O and methanol masers are consistent with a disk model only if the star is located between the northern and southern components of the H2O maser. In that case, the opposite radial-velocity gradient for the H2O maser can be explained by the fact that the masers are distributed in the direction toward the star and have radial velocities that are close to the systematic radial velocity of the star. The methanol masers arise in directions tangential to the disk and have radial velocities equal to the velocity of rotation of the disk at the corresponding distance from the star. In GL 2789, we see only emission from the side of the disk that is moving away from the observer and experiences a red shift. Components arising in regions of the disk that are approaching and have blue shifts are not visible for some reason, possibly due to differences in the pumping conditions.

Figure 8 shows a schematic of the disk and the distribution of the masers and star. In this model, if the mass of the star is 10 $`M_{}`$, the H2O masers are located at a distance $`R=41.1`$ AU, while the methanol masers are at distances between 200 AU and 800 AU, for the adopted distance to the source of 6 kpc. This follows from the relation for a Keplerian disk

$$\frac{dV}{dx}=30\text{ km s}^1\text{AU}^1\sqrt{M/R^3},$$
(1)
where $`\mathrm{\Delta }V`$ is the observed radial-velocity interval ($`\mathrm{\Delta }V=17.3`$ km/s for the H2O maser), $`\mathrm{\Delta }`$ is the apparent extent of the maser source ($`\mathrm{\Delta }=8`$ mas (or 48 AU), $`M`$ is the mass of the star in solar masses, and $`R`$ is the distance from the star to the H2O maser in AU. This model is similar to the model for a disk associated with a black hole in the nucleus of the galaxy NGC 4258 . In that case, H2O masers observed at radial velocities close to the systematic velocity of the galaxy are distributed near the direction toward the center of the disk, with high-velocity features located at tangential points of the disk. In our model, in contrast to the model for NGC 4258, the H2O masers are observed only in the direction toward the center of the disk, and the role of the high-velocity features is played by the methanol masers, which show only blue features.

The disk model for the H2O and methanol masers in GL 2789 can be verified if time variations in the radial velocities of the H2O components can be detected: in the model, the expected acceleration is 1.1 km/s per year, and the proper motion of the H2O masers spots should be 0.52 mas/yr. Both effects are associated with rotation of the disk, whose linear velocity is 14.8 km/s at a distance of 41.1 AU from a star with a mass of 10 $`M_{}`$, where the H2O masers are located. The acceleration and proper motion of the methanol masers should be small, since they are observed in the tangential direction. The disk model predicts a Keplerian dependence of the radial velocity of the methanol masers on their distance from the star, $`VR^{\frac{1}{2}}`$. The results of observations shown in Fig. 7d are consistent with the Keplerian model, although the number of points is too small to draw definitive conclusions. No proper motions of the methanol maser spots relative to the reference feature were detected, as was noted above, and an upper limit to the proper motion of 2 mas over 2 yrs corresponds to an upper limit for the linear velocity of the relative motion of the maser spots of 28.5 km/s. This limit is consistent with the absence of proper motion during tangential motion of the maser spots.

We can also consider other models for the GL 2789 maser sources. Historically, the first models for H2O masers associated with massive stars were expanding-envelope models . This type of model is also of interest for GL 2789, since it is known from optical observations that the star emits a stellar wind with a velocity of more than 600 km/s . However, such high velocities are not observed in the H2O and methanol maser lines. Torrelles et al.  suggest H2O masers as associated with one-sided jets ejected by the star. Such a jet is observed in the radio continuum of W75N . However, no jets have been detected in the case of GL 2789; in addition, the radio continuum source is much larger than the maser-emission region , and is probably associated with the region of the stellar wind that is traced by the SII optical lines. The dimensions of the region of SII emission and of the region of radio-continuum emission coincide, as do the estimates of the mean density in this zone derived from these observations, of the order of $`2\times 10^4`$ cm-3. The analysis of the SII line profile performed by Hamann and Persson  led them to conclude that, in addition to its stellar wind, V645 Cyg possesses a dense circumstellar disk. This was based on the presence of only blue components in the SII line profile, corresponding to material moving toward the observer. The red wing associated with the stellar-wind material moving away from the observer was absent from the SII spectrum, and Hamann and Persson  proposed that the emission in the red wing was screened by the disk. The presence of a disk is also supported by the emission in the KI, FeI, and CaII lines, which arise in comparatively cool material with a density of the order of $`10^{10}`$ cm-3.

Figure 6 of  shows a model with a disk surrounding the star, together with an extended region of stellar wind radiating in SII and Hα lines. In this model, the H2O and methanol masers could be located in the disk proposed by Hamman and Persson . Since the densities required for the H2O, and especially the methanol, masers are lower than the density of the inner part of the disk derived from optical line data, these masers must be located in a lower-density region of the disk, at larger distances from the star.

In this model, the bipolar flow observed in GL 2789  is emitted perpendicular to the disk and moves away from the star and masers at very large distances or tens of thousands of AU.

## 5 DISCUSSION

The detection of a class II methanol maser and the demonstration that it is associated with the optical object V645 Cyg, as well as the confirmation of the connection between this object and the H2O maser, provide additional arguments that V645 Cyg is a young stellar object. The source of thermal radio emission surrounding this object is most likely not a classical HII region, and instead a region filled with stellar wind.

Another important characteristic of this young stellar object is the presence of a cool circumstellar disk, in which compact sources of H2O, methanol, and possibly OH maser emission are immersed. In , which was dedicated to the methanol masers in W3(OH), it was suggested that individual features in the methanol and OH spectra were generated in extended envelopes surrounding ice planets. It is natural to suppose that such planets are located in a disk and move in Keplerian orbits. The chemical composition of these extended envelopes reflects the composition of the interstellar dust grains, or more precisely of their mantles. It is known that the mantles of dust grains consist primarily of ice, and methanol is the second most abundant ice material after water. For example, in the direction toward the high-mass protostars GL7009S and W33A, the abundances of methanol ice relative to water ice are $`30\%`$ and $`522\%`$ for GL7009S and W33A, respectively . The methanol abundance in the direction of NGC 7538 IRS9 is 25$`\%`$ , and is $`8.7\%`$ in the direction of GL 2136 . In other sources that have been studied, the methanol abundances does not exceed several per cent .

In cool disks surrounding protostars and very young stars, dust grains can adhere to larger bodies, ultimately reaching the dimensions of small planets. This is how the objects in Kuiper’s belt were formed in the solar system. At sufficiently close distances from the star, water and methanol evaporate from the surfaces of planets and leave the gravitational fields of these planets if their masses are sufficiently low. Envelopes consisting primarily of water and methanol will thus form around these planets, whose extent can be much larger than the dimensions of a planet. This same picture is observed in miniature in our solar system, with cometary nuclei in place of ice planets. With approach toward the Sun, ice and methanol are evaporated from the surfaces of cometary nuclei, forming extended envelopes.

The water in such envelopes dissociates into atoms of hydrogen and molecules of OH, and conditions favorable for water, OH, and methanol maser emission are created: (a) rather high abundances, reaching 90% for water and OH and about 10% for methanol ”— much higher than in the interstellar medium; (b) high column densities of water and methanol molecules ”— $`10^{16}`$ cm-2 for methanol and $`10^{18}`$ cm-2 for H2O for an envelope $`10^9`$ cm (10 000 km) in size ”— required to create high optical depths and, accordingly, high maser amplifications; (c) the required ranges of temperature and density ”— from 400 K and $`10^9`$ cm-3 for the H2O masers to 100 K and $`10^610^7`$ cm-3 for the OH and class II methanol masers; (d) intense radiation near the rotational transitions of these molecules (submillimeter wavelengths and the far infrared), provided by reprocessing of the radiation of the young star by the dust.

These conditions are adopted in standard models for maser pumping. It is obvious that comets in the solar system are too small to form such extended dense envelopes; the optical depth in lines of H2O and methanol is too low, and no maser emission is observed. In GL 2789, the planets responsible for the water-vapor line emission move in Keplerian orbits at a distance from the star of about 40 AU, with each of the eight maser spots (Table 2) corresponding to a separate planet. The OH and methanol masers are located further from the star, at distances of 200–800 AU. At such large distances, the orbits of planets may not be located in a disk, due to possible perturbations in their motions. This could explain the presence of individual maser spots outside the disk.

This simple model can easily be verified using further observations. This requires monitoring of the radial velocities and positions of the maser spots to measure accelerations and linear translations due to the Keplerian motion. The most suitable masers for such observations are the H2O masers, which should be in the orbits that are closest to the star and move with the highest speeds. The corresponding estimates are presented in the previous section. In the model presented here, the period of revolution of the planets responsible for the H2O maser emission is about 83 yrs. Therefore, using spectral and angular measurements with sufficiently high accuracy, it should be possible to determine the accelerations and velocities of the maser spots over fairly short time scales, less than one year. Such measurements must be conducted often due to the strong variability of the H2O maser emission. However, on short time scales, the accuracy of measurements such as proper-motion measurements could prove to be insufficient, even using arrays with the longest possible baselines, such as the VLBA.

One possibility is the use of ground–space interferometers, which can attain angular resolutions exceeding that of ground-based interferometers by a factor of a few, or even an order of magnitude more than this. The measurement of proper motions using ground–space interferometers requires that the masers have sufficiently small angular sizes ”— smaller than the width of the interferometer fringe. We have shown that the maser spots in GL 2789 are very compact, and are not resolved by the VLBA (Fig. 2b, Fig. 6). Therefore, they may be suitable for measurements using a ground–space interferometer. Other models with expanding components or jets predict that the spots should move uniformly and linearly, which could also be verified using observations with very high angular resolution.

## 6 CONCLUSION

The linear structure of the H2O and methanol masers is in best agreement with a disk model. If the mass of the star is 10 $`M_{}`$ and it is located at a distance of 6 kpc, the H2O maser components are located about 40 AU from the star, with the methanol masers at distances of 200–800 AU. The physical objects responsible for the emission of individual maser spectral features could be ice planets surrounded by extended water–methanol envelopes moving in Keplerian orbits around the star. Such planets are similar to the objects of Kuiper’s belt in the solar system. This model can be verified using observations with high angular resolution, using either ground-based or ground–space interferometers.

## 7 ACKNOWLEDGEMENTS

The authors affiliated with the Astro Space Center (VIS, MAV, and IEV) carried out this work in the framework of the RadioAstron project with partial support from the Russian Foundation for Basic Research (project code 01-02-16902), INTAS (grant 97-11451) and the State Centers for Science and Technology program ”Astronomy” (grant 1.3.4.2). The observational data presented here were obtained using the VLBA of the National Radio Astronomy Observatory (USA), which is supported by the National Science Foundation and is operated under contract to Associated Universities, Inc., and also on the European VLBI Network, which is a consortium of European and Chinese radio astronomy institutes supported by the various national science councils.

Translated by D. Gabuzda


text:
# Transport properties of granular metals at low temperatures

## Abstract

We investigate transport in a granular metallic system at large tunneling conductance between the grains, $`g_T1`$. We show that at low temperatures, $`Tg_T\delta `$, where $`\delta `$ is the single mean energy level spacing in a grain, the coherent electron motion at large distances dominates the physics, contrary to the high temperature ($`T>g_T\delta `$) behavior where conductivity is controlled by the scales of the order of the grain size. The conductivity of one and two dimensional granular metals, in the low temperature regime, decays with decreasing temperature in the same manner as that in homogeneous disordered metals, indicating thus an insulating behavior. However, even in this temperature regime the granular structure remains important and there is an additional contribution to conductivity coming from short distances. Due to this contribution the metal-insulator transition in three dimensions occurs at the value of tunnel conductance $`g_T^C=(1/6\pi )\mathrm{ln}(E_C/\delta )`$, where $`E_C`$ is the charging energy of an isolated grain, and not at the generally expected $`g_T^C1`$. Corrections to the density of states of granular metals due to the electron-electron interaction are calculated. Our results compare favorably with the logarithmic dependence of resistivity in the high-$`T_c`$ cuprate superconductors indicating that these materials may have a granular structure.

A great deal of research in the current mesoscopic physics focuses on understanding properties of granular metals(see experiment ; Simon ; Efetov02 ). The interest is motivated by the fact that while their properties are generic for a wealth of strongly correlated systems with disorder, granular metals offer a unique experimentally accessible tunable system where both the interaction strength and degree of disorder can be controlled.

The key phenomenon revealing the most of the underlying physics is transport, where the effects of interactions play a crucial role. The processes of electron tunneling from grain to grain that govern electron transfer, are accompanied by charging the grains involved after each electron hop to another grain. This may lead to a Coulomb blockade, and one justly expects this effect to be of the prime importance at least in the limit of weak coupling. It makes it thus clear, on a qualitative level, that it is the interplay between the the grain-to-grain coupling and the electron-electron Coulomb interaction that controls transport properties of granular metals; yet, despite the significant efforts expended, a quantitative theory of transport in metallic granular systems is still lacking.

A step towards formulation such a theory was made recently in \[ Efetov02, \]. It was shown that depending on the dimensionless tunneling conductance $`g_T`$ one observes either exponential-, at $`g_T1`$, or logarithmic, at $`g_T1`$ temperature dependence of conductivity. The consideration in \[ Efetov02, \] was based on the approach developed by Ambegaokar, Eckern and Schön (AES) AES  for tunnel junctions. This technique however, as shown in Efetov , applies only at temperatures $`T>g_T\delta `$, where $`\delta `$ is the mean energy level spacing in a single grain, in this regime the electron coherence does not extend beyond the grain size. At low temperature region, $`Tg_T\delta `$, the effects of the electron coherent motion at distances much exceeding the single grain size $`a`$ must be included, thus this important regime is not described by the AES approach Efetov .

Although experimentally the low temperature regime is well within the experimental reach experiment ; Simon , it has never been addressed theoretically so far. The important question whether the system is a metal or becomes an insulator, in other words, whether the conductivity of the granular metals at large conductances remain finite in the limit of $`T0`$ is still open.

In this Letter we investigate the low-temperature conductivity of granular samples focusing on the case of large tunneling conductance between the grains, $`g_T1`$. To this end we develop a technique that goes beyond the AES approach and includes effects of coherent electron motion at distances larger than the size of the grain. Without the Coulomb interaction the granular system would be a good metal in the limit, $`g_T1`$, and our task is to include the charging effects into the theory. We find that at temperatures, $`Tg_T\delta `$ properties of the granular metal depend on the dimensionality of the array, and corrections to the conductivity and density of states due to the effects of Coulomb interaction are similar to those obtained in Ref. Altshuler,  for a homogeneous metal. Thus at low temperatures the systems behaves essentially as a homogeneous metal contrasting the case of large temperatures, $`Tg_T\delta `$ considered in Ref. Efetov02 .

This means that at large conductances the 3$`D`$ system is a good metal. On the other hand, at $`g_T1`$ a granular sample is in the insulating state. Therefore a 3D system should exhibit a metal-insulator transition at the critical value of the conductance $`g_T,`$ such that samples with conductances $`g_T>g_T^C`$ are metals and their conductivity remains finite at $`T0`$ while samples with $`g_T<g_T^C`$ are insulators and their conductivity vanishes at $`T0.`$

The main results of our work are as follows: (i) We estimate the critical value $`g_T^C`$ of the tunnel conductance at which the metal-insulator transition in 3$`D`$ occurs as

$$g_T^C=(1/6\pi )\mathrm{ln}(E_C/\delta ),$$
(1)
where $`E_C`$ is the charging energy of an isolated grain. (ii) We find the expression for the conductivity of a granular metal that includes corrections due to Coulomb interaction and holds for all temperatures as long as these corrections are small. The corresponding answer can be conveniently written separating the correction due to the contribution from the large energy scales $`\epsilon >g_T\delta `$ from that coming from the low energy scales $`\epsilon <g_T\delta .`$ Denoting corrections as $`\delta \sigma _1`$ and $`\delta \sigma _2`$ respectively we have

$$\sigma =\sigma _0+\delta \sigma _1+\delta \sigma _2,$$
(2a)
where $`\sigma _0=2e^2g_Ta^{2d}`$, with $`a`$ being the size of the single grain is the classical Drude conductivity for a granular metal (spin included). Correction $`\delta \sigma _1`$ in Eq. (2a) contains the dimensionality of the array $`d`$ only as a coefficient and is given by the following expression Efetov02 ,
$$\frac{\delta \sigma _1}{\sigma _0}=\frac{1}{2\pi dg_T}\mathrm{ln}\left[\frac{g_TE_C}{\mathrm{max}(T,g_T\delta )}\right].$$
(2b)
On the contrary the correction $`\delta \sigma _2`$ in Eq. (2a) that is important only at temperatures $`T<\delta g_T`$ strongly depends on the dimensionality of the array
$$\frac{\delta \sigma _2}{\sigma _0}=\{\begin{array}{cc}\frac{\alpha }{12\pi ^2g_T}\sqrt{\frac{T}{g_T\delta }}D=3,\hfill & \\ \frac{1}{4\pi ^2g_T}\mathrm{ln}\frac{g_T\delta }{T}D=2,\hfill & \\ \frac{\beta }{4\pi }\sqrt{\frac{\delta }{Tg_T}}D=1.\hfill & \end{array}$$
(2c)
Here $`\alpha =_0^{\mathrm{}}𝑑xx^{1/2}[1\mathrm{coth}(x)+x/\mathrm{sinh}^2(x)]1.83`$ and $`\beta =_0^{\mathrm{}}𝑑xx^{3/2}[\mathrm{coth}(x)x/\mathrm{sinh}^2(x)]3.13`$ are the numerical constants. For a $`3D`$ granular system a temperature independent term of the order $`1/g_T`$ has been subtracted in the first line in Eq. (2c).
Corrections $`\delta \sigma _1`$ and $`\delta \sigma _2`$ are of a different origin: the correction $`\delta \sigma _1`$ comes from the large energy scales, $`\epsilon >g_T\delta `$ where the granular structure of the array dominates the physics. The fact that this correction is essentially independent of the dimentionality $`d`$ means that the tunneling of electrons with energies $`\epsilon >g_T\delta `$ can be considered as incoherent. On the other hand, correction $`\delta \sigma _2`$ in Eq. (2c) is similar to that obtained for homogeneous metals long ago Altshuler  and comes from the low energy scales, $`\epsilon g_T\delta `$, where the coherent electron motion on the scales larger than the grain size $`a`$ dominates the physics.

It is important to note that in the low temperature regime all temperate dependence of conductivity comes from the correction $`\delta \sigma _2.`$ At the same time, in this regime the correction $`\delta \sigma _1,`$ though being temperature independent, still exists and can be even larger than $`\delta \sigma _2.`$

When deriving Eqs. (2) we neglected possible weak localization corrections that may originate from quantum interference of electron waves. This approximation is legitimate if a magnetic field is applied as in Ref. experiment  or dephasing is strong due to inelastic processes.

Now we turn to the description of our model and the derivation of Eqs. (2): We consider a $`d`$dimensional array of metallic grains with the Coulomb interaction between electrons. The motion of electrons inside the grains is diffusive and they can tunnel from grain to grain. In principle, the grains can be clean such that electrons scatter mainly on grain surfaces. We assume that the sample in the absence of the Coulomb interaction would be a good metal. For large tunneling conductance we may also neglect the nonperturbative charging effects (discretness of the electron charge) Beloborodov03 , which give an exponentially small (as $`\mathrm{exp}(\mathrm{\#}g_T)`$) contribution to the conductivity. Although we assume that the dimensionless tunneling conductance $`g_T`$ is large, it should be still smaller than the grain conductance, $`g_0,`$ such that $`g_T<g_0.`$ This inequality means that the granular structure is still important and the main contribution to the macroscopic resistivity comes from the contacts between the grains. The limit of the homogeneous metal is reached when the grain conductance, $`g_0`$ becomes of the order of tunneling conductance, $`g_0g_T`$.

The system of weakly coupled metallic grains can be described by the Hamiltonian

$$\widehat{H}=\widehat{H}_0+\widehat{H}_c+\underset{ij}{}t_{ij}[\widehat{\psi }^{}(r_i)\widehat{\psi }(r_j)+\widehat{\psi }^{}(r_j)\widehat{\psi }(r_i)],$$
(3)
where $`t_{ij}`$ is the tunneling matrix element corresponding to the points of contact $`r_i`$ and $`r_j`$ of $`i`$-th and $`j`$th grains. The Hamiltonian $`\widehat{H}_0`$ in Eq. (3) describes noninteracting isolated disordered grains. The term $`\widehat{H}_c`$ describes the Coulomb interaction inside and between the grains. It has the following form

$$\widehat{H}_c=\frac{e^2}{2}\underset{ij}{}\widehat{n}_iC_{ij}^1\widehat{n}_j,$$
(4)
where $`C_{ij}`$ is the capacitance matrix and $`\widehat{n}_i`$ is the operator of electrons number in the $`i`$-th grain. In the regime under consideration one can neglect the coordinate dependence of a single grain diffusion propagator. The electron hopping between the grains can be included using the diagrammatic technique developed in Refs. Beloborodov99, ; Efetov, .

The conductivity of the granular metals is given by the analytical continuation of the Matsubara current-current correlator. In the absence of the electron-electron interaction the conductivity is represented by the diagram (a) in Fig. 1 that results in high temperature (Drude) conductivity $`\sigma _0`$ which is defined below Eq. (2a). First order interaction corrections to the conductivity are given by the diagrams (b-e) in Fig. 1. These diagrams are analogous to ones considered in Ref. Altshuler,  for the correction to the conductivity of homogeneous metals. We consider the contributions from diagrams (b,c) and (d,e) separately: The sum of the diagrams (b,c) results in the following correction to the conductivity

$$\frac{\delta \sigma _1}{\sigma _0}=\frac{1}{2\pi dg_T}\mathrm{Im}\underset{𝐪}{}𝑑\omega \gamma (\omega )\epsilon _𝐪\stackrel{~}{V}(\omega ,𝐪).$$
(5)
where $`\gamma (\omega )=\frac{d}{d\omega }\omega \mathrm{coth}\frac{\omega }{2T},`$ $`\epsilon _q=2g_T_𝐚(1\mathrm{cos}\mathrm{𝐪𝐚})`$ with $`𝐚`$ being the lattice vectors and

$$\stackrel{~}{V}(\omega ,𝐪)=\frac{2E_C(𝐪)}{(\epsilon _𝐪\delta i\omega )(4\epsilon _𝐪E_C(𝐪)i\omega )}.$$
(6)
Here the charging energy $`E_C(𝐪)=e^2/2C(𝐪)`$ is expressed in terms to the Fourier transform of the capacitance matrix $`C(𝐪)`$. Performing the integration over the frequency and summing over the quasimomentum $`𝐪`$ in Eq. (5) with the logarithmic accuracy we obtain the correction (2b). One can see from Eq. (5) that the contribution $`\delta \sigma _1`$ in Eq. (2b) comes from the large energy scales, $`\epsilon >g_T\delta `$ such that at low temperatures the logarithm is cut off on the energy scale $`g_T\delta .`$

To obtain the total correction to the conductivity of granular metal the two other diagrams, (d) and (e) in Fig. 1 should be taken into account. These diagrams result in the following contribution to the conductivity

$$\frac{\delta \sigma _2}{\sigma _0}=\frac{2g_T\delta }{\pi d}\underset{𝐪}{}𝑑\omega \gamma (\omega )\text{Im}\frac{\stackrel{~}{V}(\omega ,𝐪)_𝐚\mathrm{sin}^\mathrm{𝟐}(\mathrm{𝐪𝐚})}{\epsilon _𝐪\delta i\omega }.$$
(7)
In contrast to the contribution $`\delta \sigma _1`$ in Eq. (5), the main contribution to the sum over the quasimomentum $`𝐪`$ in Eq. (7) comes from the low momenta, $`q1/a`$. In this regime the capacitance matrix, $`C(𝐪)`$ in Eqs. (6) and (7) has the following asymptotic form

$$C^1(𝐪)=\frac{2}{a^d}\{\begin{array}{cc}& \mathrm{ln}(1/qa)D=1,\hfill \\ & \pi /qD=2,\hfill \\ & 2\pi /q^2D=3.\hfill \end{array}$$
(8)
Substituting Eq. (8) into Eq. (6), integrating over the frequency and summing over the quasimomentum $`𝐪`$ in Eq. (7) we obtain the result for the correction $`\delta \sigma _2`$ in Eq. (2c). This type of corrections to the conductivity cannot be obtained from the effective AES action.

Comparing our results in Eqs. (2) with those obtained in Ref. Efetov02,  using the AES functional we see that the correction to the conductivity obtained in Ref. Efetov02,  is equivalent to the correction $`\delta \sigma _1`$ in Eq. (2a), which corresponds in our approach to the sum of diagrams (b) and (c) in Fig. 1. The correction $`\delta \sigma _2`$ in Eq. (2a) becomes important only at low temperatures, $`T<g_T\delta `$ where AES functional is not applicable. While in our approach both corrections to the conductivity must be small $`\delta \sigma _1,\delta \sigma _2\sigma _0`$ the method of Ref. Efetov02,  gives a possibility to show that for $`Tg_T\delta `$ the dependence of the conductivity is logarithmic so long as $`\sigma /e^2a^{2d}1`$.

It follows from Eq. (2c) that at low temperatures, $`T<g_T\delta ,`$ for a $`3D`$ granular array, there are no essential corrections to the conductivity coming from the low energies since the correction $`\delta \sigma _2`$ is always small. This means that the result for the renormalized conductance, $`\stackrel{~}{g}_T`$ of Ref. Efetov02,  for $`3D`$ samples within the logarithmic accuracy can be written in the following form

$$\stackrel{~}{g}_T(T)=g_T\frac{1}{6\pi }\mathrm{ln}\left[\frac{g_TE_C}{\mathrm{max}(\stackrel{~}{g}_T\delta ,T)}\right],$$
(9)
such that it is valid for all temperatures as long as the renormalized conductance, $`\stackrel{~}{g}_T1`$. One can see from Eq. (9) that for bare conductance, $`g_T(1/6\pi )\mathrm{ln}(g_TE_C/\delta )`$ the renormalized conductance, $`\stackrel{~}{g}_T`$ is always large and the system remains metallic down to zero temperatures. In the opposite limit $`g_T<(1/6\pi )\mathrm{ln}(g_TE_C/\delta )`$, the system flows when decreasing the temperature to the strong coupling regime, $`\stackrel{~}{g}_T1`$ that indicates the onset of the insulating phase. We see that with the logarithmic accuracy the critical value of the conductance $`g_T^C`$ is given by Eq. (1).

In a similar way we can obtain interaction corrections to the density of states (DOS) of granular metal

$$\frac{\delta \nu (\epsilon )}{\nu _0}=\frac{1}{4\pi }\underset{𝐪}{}\text{Im}𝑑\omega \frac{\mathrm{tanh}[(\epsilon \omega )/2T]}{(\epsilon _𝐪\delta i\omega )[\epsilon _𝐪i\omega /4E_C(𝐪)]}.$$
(10)
Here $`\nu _0`$ is the DOS for noninteracting electrons, $`\epsilon _𝐪`$ and $`E_C(𝐪)`$ were defined below Eqs. (5 ) and (6) respectively. Using Eq. (10) for a $`3D`$ granular array we obtain

$$\frac{\delta \nu _3}{\nu _0}=\frac{A}{2\pi g_T}\mathrm{ln}\left[\frac{E_Cg_T}{\mathrm{max}(T,g_T\delta )}\right],$$
(11a)
where $`A=g_Ta^3d^3q/(2\pi )^3\epsilon _𝐪^1`$. For temperatures, $`Tg_T\delta `$ the correction to the DOS (11a) coincides with the one obtained in Ref. Efetov02  using AES approach. It follows from Eq. (11a) that for a $`3D`$ array of grains, as in case with conductivity, the main contribution to the DOS comes from the large energy scales, $`\epsilon >g_T\delta `$.
Using Eq. (10) for a $`2D`$ array we obtain the following result for the correction to the DOS

$$\frac{\delta \nu _2}{\nu _0}=\frac{1}{16g_T\pi ^2}\{\begin{array}{cc}2\mathrm{ln}^2\frac{g_TE_C}{T}Tg_T\delta ,\hfill & \\ \mathrm{ln}\frac{g_T\delta }{T}\mathrm{ln}\frac{gE_0^4}{T\delta ^3}+2\mathrm{ln}^2\frac{E_0}{\delta }Tg_T\delta .\hfill & \end{array}$$
(11b)
Using the relation between the tunneling conductance and the diffusion coefficient, $`D=g_Ta^2\delta `$ one can see that the temperature dependence of the DOS for $`Tg_T\delta `$ given by Eq. (11b) coincides up to the temperature independent constant with the result for the correction to the DOS of the homogeneous metal Altshuler .

A logarithmic dependence of resistivity on temperature was recently found in high-$`T_c`$ compounds $`La_{2y}Sr_yCuO_4`$ and $`Bi_2Sr_{2x}La_xCuO_{6+\delta }`$ in a very strong magnetic field boebinger ; boebinger1 . A possible granularity of these samples was suggested in Ref. Efetov02 . Recently the microscopic granularity was directly experimentally observed in the superconducting state of $`Bi_2Sr_2CaCu_20_{8+\delta }`$ by the STM probe Lang . If we accept that samples studied in boebinger ; boebinger1  are indeed microscopically granular, we can compare the results of the experiments with our predictions. When doing so it is convenient to scale three dimensional conductivity to the conductivity of CuO planes, $`\sigma _{plane}.`$ According to our predictions

$$\frac{d\sigma _{plane}}{d\mathrm{ln}T}=\frac{e^2}{\pi \mathrm{}}k,$$
(12)
where the coefficient $`k=1/2\pi `$ in the low temperature- and $`k=1/d`$ in the high temperature regimes. While in the low temperature regime the application of Eq. (12) is legitimate only under the assumption that electrons in different CuO plane are incoherent, in the high temperature regime the behavior of conductivity according to Eq. (2b) is logarithmic for any dimension. In this regime the real dimensionality $`d`$ should be replaced by $`d=Z/2`$, where $`Z`$ is the (average) number of the contacts of each grain with all the adjacent grains. Describing the data shown in Fig. 3 of Ref. boebinger1  by our log dependencies at temperatue $`T5K`$ we extract $`k0.4,`$ for $`Sr`$ concentration of $`y=0.08`$ for $`La_{2y}Sr_yCuO_4`$ curve ; for the $`Bi_2Sr_{2x}La_xCuO_{6+\delta }`$ compound we find $`k0.2`$ for $`x=0.84`$ $`La`$ concentration, and $`k0.3`$ for $`x=0.76.`$ For each particular curve the values $`k`$ extracted from Fig. 3 of Ref. boebinger1  increase with temperature (especially in case of $`LSCO`$), this is in a complete agreement with our results provided that the “coherent-incoherent” crossover occurs at about $`T5K`$. At higher temperatures $`k`$ noticeably exceeds $`1/2\pi `$, supporting the idea of a granularity of doped cuprates. The questions whether the high values of $`T_c`$ in the superconductors are related to the granular structure and what is the origin of this granularity are beyond the scope of the present work.

In conclusion, we have investigated transport properties of granular metals at large tunneling conductance and obtained corrections to the conductivity, Eqs. (2) and DOS, Eqs. (11) due to electron-electron interaction. We have shown that at temperatures, $`T>g_T\delta `$ the granular structure of the array dominates the physics. On the contrary at temperatures, $`Tg_T\delta `$ the large-scale coherent electron motion is crucial. Comparison our results with experimental data supports the assumption about a granular structure of doped high-$`T_c`$ cuprates.

We thank A. Andreev, A. Koshelev, A. Larkin and K. Matveev for useful discussion of the results obtained. I. B. thanks Materials Science Division of Argonne National Laboratory for hospitality. K. E. thanks German-Israeli programs DIP and GIF for a support. This work was supported by the U.S. Department of Energy, Office of Science through contract No. W-31-109-ENG-38 and by the A.P. Sloan and the Packard Foundations.


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# Experimental observation of fractal modes in unstable optical resonators

## Abstract

We use a spatially resolved cavity ring-down technique to show that the 2D eigenmode of an unstable optical cavity has a fractal pattern, i.e. it looks the same at different length scales. In agreement with theory, we find that this pattern has the maximum conceivable roughness, i.e., its fractal dimension is 3.01 $`\pm `$ 0.04. This insight in the nature of unstable cavity eigenmodes may lead to better understanding of wave dynamics in open systems, for both light and matter waves.

Conventional lasers are based upon stable optical cavities in which the light rays that bounce between the two mirrors are trapped forever and leakage around the mirror edges is negligible. In wave-optics language this picture of bouncing rays corresponds to the well known Hermite-Gaussian eigenmodesSiegman (1986). In contrast, in an unstable cavity (UC), consisting for instance of two convex mirrors that face each other, the combination of the curvatures of the mirrors and their separation is such that the bouncing rays run away from the axis towards the mirror edges and ultimately escape; the escape rate is determined by the magnification $`M`$ of the system. The associated eigenmodes fill the entire volume of the cavity; this has the advantage of optimum energy extraction if an active medium is placed inside the cavity to realize a laser. Another advantage of an unstable-cavity laser is that discrimination against higher-order transverse modes is much better than for a stable-cavity laser; perfect single-mode oscillation is very easily achievedSiegman (1986). These advantages have been known since the early days of laser physicsSiegman (1974), whereas other surprising properties of the UC laser have emerged more recently. In particular we refer here to the much debated phenomenon of UC excess quantum noiseCheng et al. (1996); van Eijkelenborg et al. (1996); New (1995); van der Lee et al. (2000); Petermann (1979) and the prediction that their transverse eigenmodes are fractalsKarman and Woerdman (1998); Karman et al. (1999), i.e., they are invariant under magnificationMandelbrot (1982). While the former effect has been experimentally demonstrated, the latter is still being pursued. What we report here is the first experimental observation of the fractal nature of UC eigenmodes in the optical regime; these results may stimulate extension to matter waves.

On an intuitive level the origin of the fractality is rooted in two arguments: (i) an unstable cavity has a round-trip magnification $`M>1`$. (ii) The cavity eigenmode must, by definition, be invariant upon round-trip propagation. The combination of arguments (i) and (ii) implies that an UC eigenmode must be self-similar (i.e. fractal). This line of reasoning must, however, be handled with care since the concept of magnification has its origin in ray-optics, whereas an eigenmode is a wave-optics conceptCourtial and Padgett (2000); moreover, these arguments do not lead to predictions for the fractal dimension.

The starting point to describe the mode structure of an UC is the so-called Virtual Source (VS) method, originally developed by HorwitzHorwitz (1973) and SouthwellSouthwell (1981) . In the VS method a two-mirror UC is unfolded to create a corridor of virtual images of the confining aperture (e.g. the smallest of the two mirrors). A plane wave is injected at the far end of the corridor and the eigenmode is formed by superposition of the diffracted patterns produced by the sequence of virtual apertures. This superposition (i.e. the eigenmode) contains thus rich spatial structure that depends on the shape of the confining aperture.

Very recently, Berry and co-workers formulated an analytical theory for fractal eigenmodesBerry (2001); Berry et al. (2001) and excess quantum noiseBerry (2003), by introducing further approximations to the VS method. This is an important development since it carries the notion of a fractal pattern beyond that of a phenomenological description, yielding insight and allowing predictions; fractality then presents a convenient test of the theory as a whole. Specifically, the theory predicts that in the asymptotic limit $`N_F\mathrm{}`$, the fractal dimension $`D`$ of the fundamental eigenmode is 3 for a wide variety of polygon-shaped confining aperturesBerry (2001) (e.g. a triangle). Here $`N_Fa^2/\lambda L`$ is the Fresnel number, where $`a`$ is the (linear) size of the aperture, $`L`$ is the length of the cavity and $`\lambda `$ is the wavelength of light. This prediction is very surprising since it implies that the 2D transverse intensity profile, when viewed as a mountain landscape, has the maximum topologically allowed roughness. Contrary to what might be expected, diffraction does not smooth out this profile; in fact, diffraction is the cause of the phenomenon.

We stress that experimental verification of this prediction is essential, since the validity of the theory may be questioned at various levels. First, all theoretical efforts so far, be it numerical or analytical, are based upon standard diffraction theory; this is an inherently approximate theory that derives its simplicity (as compared to solving Maxwell’s equations) from using inconsistent boundary conditionsStamnes (1986). Although this is hardly ever a problem in practical cases, questions remain when dealing with an unusual problem such as the UC. On top of this, the VS method is a not a straightforward implementation of diffraction theory but a paraxial model that combines some elements of diffraction theory in an ad hoc fashion. Finally, the adaptation of the VS method by Berry et al. uses additional assumptions in order to arrive at an analytical result: the asymptotic limit $`N_F\mathrm{}`$ must apply and multiple edge reflections as well as corner-point diffraction are neglected.

In the experiment we study the lowest-loss eigenmode of an empty unstable cavity in order to avoid the complications associated with a gain medium. As we do not know how to selectively excite this fundamental mode, we let the cavity do the selection process. Briefly, we use a variant of the cavity-ring-down technique originally developed for molecular spectroscopyO’Keefe and Deacon (1988); Olivier et al. (1999). We inject laser light with an arbitrary transverse profile into the cavity (we do not need to mode match the input beam to our cavity), rapidly switch-off the laser, and then record the spatial profile of the light emitted by the cavity after a certain ring-down time111Of dominant concern is the light emitted by the diode laser after it has been nominally turned off (’afterglow’), for instance due to the recombination of remaining charge carriers in the p-n junction. This is important because the intracavity intensity of the UC has been reduced by many orders of magnitude by the time that the pattern stabilizes. Obviously, one requires any light unintentionally injected in the cavity at that time to be even weaker. As a result of careful optimization of the experimental parameters we obtain on/off ratios of the injected light up to $`10^8`$.

Because we work with an unstable cavity, the round-trip losses are high, in our case of the order of a factor of 2 per round-trip. This is in stark contrast with the usual situation encountered in cavity ring-down spectroscopy where the round-trip losses are exceedingly small. Consequently, the time scale of our experiment is of the order of nanoseconds, instead of microseconds. Since we are specifically interested in details of the spatial distribution of the light transpiring through the cavity mirrors, we use a camera instead of an integrating detector.

We use a positive branch unstable cavity (Fig. 1) consisting of a front convex mirror222For the convex mirror we use a concave mirror (radius of curvature 6) on a glass substrate ($`n=1.5`$) in a reversed way. (effective radius of curvature $`R_2=4`$ m), and a back concave mirror ($`R_1=10`$ m), separated by a distance of 50 cm. Both mirrors have a reflectivity coefficient of 0.9. The confining aperture is positioned near the back mirror; it consists of a regular-polygon shaped hole in a metal sheet. Here we report results for triangular and hexagonal apertures whose typical Fresnel numbers ($`N_F=a^2/\lambda L`$) range around 90, with $`a`$ taken as the radius of the polygon’s inscribed circle, typically around 6 mm. The oscillatory behaviour of the cavity round-trip propagator is characterized by means of the parameter $`A2\pi MF`$333Note that $`A=2\pi N_{coll}`$, where $`N_{coll}`$ is the so called collimated Fresnel number Siegman (1986); note also that Berry et al. Berry (2001); Berry et al. (2001) give an expression for $`A`$ tailored to the case of a confocal UC., where $`FN_F/2g_2`$, $`g_2=1L/R_2`$, and $`R_2`$ is the radius of curvature of the front mirrorHorwitz (1973) . In the present case the parameter $`A`$ takes on values around 500. The confining aperture is 1-1 imaged on the photocatode of a single-photon sensitive camera, whose exposure time ($`2`$ ns) is shorter than the round-trip time of the cavity ($`3`$ ns).

Light from a 75 mW laser diode (Sharp LT024MD0) at $`\lambda `$=786.3 nm is injected into the cavity through one of its mirrors after first being spectrally filtered by means of a monochromator having a 0.3 nm wide transmission window (Fig.1). Due to the low finesse of the UC we do not need to tune our laser to one of its resonances. The experiment consists of rapidly switching-off the diode laser, and after a short delay, making an exposure by triggering the photocathode and intensifier of the single-photon sensitive camera(Princeton Instruments Pi-Max). Many subsequent exposures are superimposed on the camera until the signal-to-noise ratio of the acquired image is sufficiently large, followed by read-out of the camera. For the longest delay of our experiment ($`30`$ ns) we have to accumulate typically $`10^5`$ exposures to arrive at a spatial pattern with sufficient detail.

Experimentally, we find that for our configuration (Fig. 1), the shape of the intra-cavity intensity distribution stabilizes after approximately 7 round-trips. A typical result of a 2D intensity image, together with its 3D representation, is shown in Fig. 2. The 2D picture shows, with fascinating detail, the high-degree of symmetry and structural self-similarity of the intensity pattern, while the corresponding 3D landscape emphasizes its very abrupt topography. It is worth mentioning that MandelbrotMandelbrot (1982) associates fractal dimensions up to 2.4 to earthy looking landscapes; therefore we expect a higher fractal dimension for the weird landscape shown in Fig. 2.

We use the Fourier-transform method to evaluate the fractal dimension of the intensity profile since this allows a direct comparison with the analytical theoryBerry (2001); Berry et al. (2001). The method is based on the fact that the power spectrum of a fractal function $`f(x)`$ follows a power law $`P(k)k^b`$, and that the phase of its Fourier components is random; the fractal dimension $`D`$ can be obtained from the exponent $`b`$ by using the relationFalconer (1990); Berry and Lewis (1980) $`2D=5b`$. It does not matter whether we take for $`f(x)`$ the optical intensity or the field amplitude, both choices lead to the same value of $`D`$Berry (1996).

We follow this procedure for 1D cuts of a typical asymptotical intensity profile. Fig. 3a shows a 1D cut taken 9 roundtrips time after laser shut-down, while Fig. 3b shows its spatial power spectrum. This spectrum shows many ”spikes” due to the discrete nature of the virtual sources; these have been smoothed by averaging over bands of logarithmically constant lengthYates and New (2002). Apparently the power spectrum is described by two power-law contributions dominating at low and high spatial frequencies, respectively. Yates and NewYates and New (2002) have shown that the higher the order of a UC eigenmode, the steeper the power law of its spatial power spectrum is. This leads us to associate the low spatial-frequency range in Fig. 3b with residual light in higher-order modes. The high-frequency contribution is then associated with the fundamental eigenmode; a fit of the latter contribution yields $`D_{cut}=2.01\pm 0.04`$ for the fundamental mode. The fractal dimension $`D`$ of the 2D landscape follows directly from this value, since $`D=D_{cut}+1`$, yielding $`D3`$, in excellent agreement with theoryBerry (2001). This value of the fractal dimension implies that the intensity landscape has the maximum allowed roughness. The inset in Fig. 3b shows that the Fourier components of the 1D cut have indeed random phases, as required for a fractal curve.

To ascertain that our cavity ring-down method indeed selects a single cavity mode, we have investigated whether the observed asymptotical spatial pattern is sensitive to changes in the initial conditions, i.e., to the spatial pattern of the injected light. To do so, we have introduced a piece of Mylar film as diffuser between the monochromator and the cavity, thereby creating a totally different distribution of input phase and amplitude. Figure 4 shows, for a hexagonal aperture inside the UC, the initial and asymptotic profiles of the intensity distribution using a narrow injection beam, and a beam that has been diffused by the thin Mylar film before entering the cavity. The asymptotical spatial patterns are very similar, implying that they correspond to a single mode.

Our experimental validation of the analytical theory of eigenmodes of UC’sBerry (2001); Berry et al. (2001); Berry (2003) allows its use in a broader context. This is important since UC lasers play an important role in laser physics; in particular microlasers. The reason is that microlasers (e.g. semiconductor lasers) must be efficient, which implies that the gain must be localized, e.g., to a $`\lambda `$-sized transverse dimension; pumping outside this region is a waste. Because of the gain localization there is gain guiding in addition to the index guiding that is used to realize the $`\lambda `$-sized optical confinement in the first place. The (unavoidable) combination of gain and index guiding leads to a cavity that is effectively slightly unstable, i.e., transversely open to the outside world; and this increases the quantum noise of the device van der Lee et al. (2000). A better insight in the nature of UC eigenmodes may lead to device architectures that minimize this excess noise.

Finally, the issues discussed in this Letter can also be extended to UC’s (or open systems in general) for matter waves. As demonstrated recently, spherical mirrors for atoms can be madeMilner et al. (2001); Friedman et al. (2001) so that an atom-optics based UC is within reach. In fact, an UC for electron waves has already been demonstrated, as a mesoscopic device based upon a 2D electron gas; the unstable nature of this UC determines the conductance of a quantum point contact placed insideHersch et al. (2000); Katine et al. (1997). It remains to be seen what the consequences of ”fractal matter waves” are for the operation of such devices.

###### Acknowledgements.

This work is part of the research program of the ’Stichting voor Fundamenteel Onderzoek der Materie’ (FOM).


text:
# Power law distribution of Rényi entropy for equilibrium systems having nonadditive energy

## 1 Introduction

Rényi entropy

$$S^R=\frac{\mathrm{ln}_{i=1}^wp_i^q}{1q},q0$$
(1)
often applied in the study of multi-fractal and chaotic systems, where $`p_i`$ is the probability that the system is at the state labelled by $`i`$ (Boltzmann constant k=1) and $`w`$ is the total number of the states. In these studies, Rényi entropy was associated with the exponential probability distributions of BGS which as a matter of fact are not the distributions derived from this entropy. Since the proposal of the nonextensive statistical mechanics (NSM), there is a growing interest in Rényi entropy which has been compared to Tsallis entropy $`S^T=\frac{_{i=1}^wp_i^q1}{1q}`$, associated with a $`q`$-exponential distribution $`exp_q(x)=[1+(1q)x]^{1/(1q)}`$, in the discussions of possible nonextensive statistics and the relative fundamental problems such as thermodynamic equilibrium and stability for systems having additive energy or infinite number of states.

Regarding the possible statistics of Rényi entropy, some questions should be asked : $`S^R`$ is additive just as, e.g., the entropies of Boltzmann-Gibbs-Shannon statistics (BGS) for systems having product joint probability, but should it be associated to independent systems having additive energy just as in BGS? Should it be associated to exponential probability distributions as has been done in many works? Are there alternative distributions intrinsic to Rényi entropy if it can be maximized to get thermodynamic equilibrium? If the Rényi statistics is not extensive, what are its possible nonextensive properties? Due to the importance of $`S^R`$ in the study of chaos and fractals and since $`S^R`$ is identical to Boltzmann entropy $`S=\mathrm{ln}W`$ for the fundamental microcanonical ensemble, the possible answers to the above questions would be interesting for both BGS and its possible extensions based on $`S^R`$.

In this paper, I will present a thermo-statistics derived from Rényi entropy for equilibrium systems with nonadditive energy required by the existence of thermodynamic equilibrium. This formalism may be considered as an alternative to BGS and to NSM for canonical systems with additive entropy but nonadditive energy.

## 2 Rényi and Tsallis entropies

There is a monotonic relationship between these two entropies :

$$S^R=\frac{\mathrm{ln}[1+(1q)S^T]}{1q}orS^T=\frac{e^{(1q)S^R}1}{1q},$$
(2)
and, for complete probability distribution ($`_{i=1}^wp_i=1`$) in microcanonical ensemble, $`S^R`$ is identical to the Boltzmann entropy $`S`$ :

$$S^R=S=\mathrm{ln}w$$
(3)
since $`_{i=1}^wp_i^q=w^{1q}`$. Other properties of $`S^R`$ can be found in .

The concavity of $`S^R`$ and $`S^T`$ for $`q>1`$ is shown in Figure 1 and 2, respectively (they are convex and have minimums for $`q<0`$, so we do not consider this case in this paper). It is worth noticing that the two entropies get their maximum at the same time for any $`q`$. But the maximum of $`S^R`$ is $`\mathrm{ln}W`$ and independent of $`q`$, while the maximum of $`S^T`$ is $`\frac{W^{1q}1}{1q}`$ and decreases down to zero when $`q\mathrm{}`$ and increases up to $`W1`$ when $`q0`$. It should be mentioned that $`S^R`$ is not always concave for $`q>1`$, as shown in Figure 1.

Due to the fact that $`S^R`$ is a monotonically increasing function of $`S^T`$, they reach the extremum together (see Figures 1 and 2). One can hope that the maximum entropy (for $`q>0`$) will give same results with same constraints. Indeed, Rényi entropy has been used to derive, by maximum entropy method, the Tsallis $`q`$-exponential distribution within an additive energy formalism. In what follows, we present a thermostatistics based on $`S^R`$ for nonextensive systems having additive entropy and nonadditive energy..

## 3 Canonical distribution of Rényi

We suppose complete distribution $`_{i=1}^wp_i=1`$ and $`U=_{i=1}^wp_iE_i`$ where $`U`$ is the internal energy and $`E_i`$ the energy of the system at the state $`i`$. We will maximize as usual the following functional :

$$F=\frac{\mathrm{ln}_ip_i^q}{1q}+\alpha \underset{i=1}{\overset{w}{}}p_i\gamma \underset{i=1}{\overset{w}{}}p_iE_i.$$
(4)
We get

$$p_i[\alpha \gamma E_i]^{1/(q1)}.$$
(5)
Since $`S^R`$ recovers Boltzmann-Gibbs entropy $`S=_{i=1}^wp_i\mathrm{ln}p_i`$ when $`q=1`$, it is logical for us to require that Eq.(5) recovers the conventional exponential distribution for $`q=1`$. This leads to

$$p_i=\frac{1}{Z}[1(q1)\beta E_i]^{1/(q1)}.$$
(6)
where $`(q1)\beta =\gamma /\alpha `$ and $`Z=_{i=1}^w[1(q1)\beta E_i]^{1/(q1)}`$. We will show the physical meaning of $`\beta `$ later.

Note that the second derivative $`\frac{d^2F}{dp_i^2}=\frac{qp_i^{q2}}{_ip_i^q}[1+\frac{q}{1q}\frac{p_i^q}{_ip_i^q}]`$ is negative for any distribution only when $`q<1`$. In general $`\frac{d^2F}{dp_i^2}`$ may be positive for $`q>1`$ so that the above distribution Eq.(6) is not stable.

This formalism can be applied to an important family of chaotic behaviors described by Lévy flight if we assume $`0q2/3`$. In this case, the first moment $`\overline{x}`$ calculated with the usual expectation is convergent for $`1/2q2/3`$ and can be used as a constraint of maximum entropy to obtain $`p(x)[1+(1q)\beta x]^{1/(1q)}`$. For Lévy flight distribution with large $`x`$, $`px^{1\gamma }`$, one obtain : $`q=\gamma /(1+\gamma )`$ ($`0<\gamma <2`$).

## 4 Mixte character : nonadditive energy and additive entropy

It has been shown that, for thermal equilibrium to take place in nonextensive systems, the internal energy of the composite system $`A+B`$ containing two subsystems $`A`$ and $`B`$ must satisfy

$$U(A+B)=U(A)+U(B)+\lambda U(A)U(B)$$
(7)
which means

$$E_{ij}(A+B)=E_i(A)+E_j(B)+\lambda E_i(A)E_j(B)$$
(8)
where $`\lambda `$ is a constant. Applying Eq.(8) to Eq.(6), we straightforwardly get the product joint probability :

$$p_{ij}(A+B)=p_i(A)p_j(B)$$
(9)
and the additivity of $`S^R`$ :

$$S^R(A+B)=S^R(A)+S^R(B)$$
(10)
if $`\lambda =(1q)\beta `$. So $`S^R`$ is essentially different from $`S^T`$, because in this case $`S^T`$ is nonadditive with $`S^T(A+B)=S^T(A)+S^T(B)+(1q)S^T(A)S^T(B)`$. Note that we do not need independent or noninteracting or weakly interacting subsystems for establishing the additivity of $`S^R`$ or the nonadditivity of $`S^T`$, as discussed in ). So in this formalism, we can deal with interacting systems with nonadditive energy but additive entropy.

## 5 Zeroth law and temperature

It is easy to show that, from Eq.(6),

$$S^R=\mathrm{ln}Z+\mathrm{ln}[1+(1q)\beta U]/(1q).$$
(11)
So we have

$$\beta =[1+(1q)\beta U]\frac{S^R}{U}$$
(12)
or

$$\frac{1}{\beta }=\frac{U}{S^R}(1q)U.$$
(13)
Since $`[1+(1q)\beta U]`$ is always positive ($`q`$-exponential probability cutoff), $`\beta `$ has always the same sign as $`\frac{S^R}{U}`$. $`\beta `$ can be proved to be the effective inverse temperature if we consider the zeroth law of thermodynamics. Let $`\delta S^R`$ be a small change of $`S^R`$ of the isolated composite system $`A+B`$. Equilibrium means $`\delta S^R=0`$. From Eq.(10), we have $`\delta S^R(A)=\delta S^R(B)`$. However, from Eq.(7), the energy conservation of $`A+B`$ gives $`\frac{1}{[1+(1q)\beta U(A)]}\delta U(A)=\frac{1}{[1+(1q)\beta U(B)]}\delta U(B)`$. That leads to

$$[1+(1q)\beta U(A)]\frac{S^R(A)}{U(A)}=[1+(1q)\beta U(B)]\frac{S^R(B)}{U(B)}$$
(14)
or $`\beta (A)=\beta (B)`$ which characterizes the thermal equilibrium.

## 6 Some “additive” thermodynamic relations

Due to the mixte character of this formalism with additive entropy and nonadditive energy, all the thermodynamic relations become nonlinear. In what follows, we will try to simplify this formal system and to give a linear form to this nonlinearity.

Using the same machinery as in  which gives an extensive form to the nonextensive Tsallis statistics, we define an additive deformed energy $`E`$ as follows :

$$E=\mathrm{ln}[1+(1q)\beta U]/(1q)\beta $$
(15)
which is identical to $`U`$ whenever $`q=1`$. Note that $`E(A+B)=E(A)+E(B)`$. In this way, Eq.(11) can be recast into

$$S^R=\mathrm{ln}Z+\beta E.$$
(16)
So that $`\beta =\frac{S^R}{E}`$. The first law can be written as

$$\delta E=T\delta S^R+Y\delta X$$
(17)
where $`Y`$ is the deformed pressure and $`X`$ the coordinates (volume, surface …) and $`T=1/\beta `$. The deformed free energy can be defined by

$$F=ETS^R=T\mathrm{ln}Z,$$
(18)
so that $`Y=\frac{F}{X}`$. The real pressure is $`Y^R=[1+(1q)\beta U]Y`$ and the work is $`\delta W=Y^R\delta X`$. The deformed heat is $`\delta Q=T\delta S^R`$ and the real heat is $`\delta Q^R=[1+(1q)\beta U]\delta Q`$

## 7 Grand-canonical distributions

It is easy to get the grand-canonical ensemble distribution given by

$$p_i=\frac{1}{Z}[1(q1)\beta (E_i\mu N_i)]^{1/(q1)},$$
(19)
which gives

$$S^R=\mathrm{ln}Z+\mathrm{ln}[1+(1q)\beta U]/(1q)+\mathrm{ln}[1(1q)\beta \omega N]/(1q).$$
(20)
Let $`M`$ be the deformed particle number : $`M=\mathrm{ln}[1(1q)\beta \omega N]/(1q)\beta \omega `$, Eq.(20) becomes

$$S^R=\mathrm{ln}Z+\beta E+\beta \omega M.$$
(21)
$`M`$ must be additive, so that $`N`$ is nonadditive satisfying

$$N(A+B)=N(A)+N(B)+(1q)\beta \omega N(A)N(B)$$
(22)
Due to the distribution function of Eq.(19), the quantum distributions will be identical to those in NSM.

## 8 Rényi statistics with additive energy?

Now we know that $`S^R`$ should be intrinsically associated with the $`q`$-exponential distributions. Only when $`q=1`$ this statistics recovers BGS and the $`q`$-exponential becomes the usual exponential function. Then an interesting question is whether or not this statistics may be associated with additive energy when $`q1`$.

Supposing $`A`$ and $`B`$ are independent, i.e., $`E_{ij}(A+B)=E_i(A)+E_j(B)`$, let us see the probability of the system $`A+B`$ for a joint state $`ij`$ :

$`p_{ij}(A+B)`$ $`=`$ $`{\displaystyle \frac{1}{Z(A+B)}}[1(q1)\beta (E_i(A)+E_j(B))]^{1/(q1)}`$
$`=`$ $`p_i(A)p_{ji}(BA)`$
where

$`p_i(A)={\displaystyle \frac{1}{Z(A)}}[1(q1)\beta E_i(A)]^{1/(q1)}`$ (24)
is the probability for $`A`$ to be at the state $`i`$ and

$`p_{ji}(BA)={\displaystyle \frac{1}{Z_i(BA)}}[1(q1)\beta e_{ji}(AB)]^{1/(q1)}`$ (25)
is a conditional probability for $`B`$ to be at a state $`j`$ with energy $`e_{ji}(AB)=E_j(B)/[1(q1)\beta E_i(A)]`$ if $`A`$ is at $`i`$ with energy $`E_i(A)`$. In this case, the total entropy is given by

$`S^R(A+B)`$ $`=`$ $`{\displaystyle \frac{\mathrm{ln}[_ip_i(A)^q_jp_{ji}(BA)^q]}{1q}}`$
$``$ $`S^R(A)+S^R(B).`$
This is in contradiction with Eq.(10). So $`S^R`$ is no more additive with additive energy. As a matter of fact, Eq.(8) is wrong because Eq.(8) does not hold if we consider the product probability Eq.(9). We would get

$`p_j(B)`$ $`=`$ $`{\displaystyle \frac{1}{Z(B)}}[1(q1)\beta E_j(B)]^{1/(q1)}`$ (27)
$`=`$ $`{\displaystyle \frac{1}{Z_i(BA)}}[1(q1)\beta e_{ji}(AB)]^{1/(q1)}`$ (28)
which implies $`E_j(B)=e_{ji}(AB)=E_j(B)/[1(q1)\beta E_i(A)]`$ and is valid only when $`q=1`$. This means that additive energy may force back the nonextensive statistics to BGS if the product joint probability applies.

We would like to discuss in passing the problem of thermodynamic instability of Rényi entropy which has been shown to be non-observable and instable because an arbitrarily small variation $`\delta `$ in probability distribution may lead to an important variation in $`S^R`$ for a system having infinite number of states $`w`$. According to this analysis, Rényi entropy can be physically useful for finite systems having finite number of states.

However, it should be noted that the Lesche’s conclusion for infinite $`w`$ is reached with the asymptotic behavior of $`S^R`$ for the case of $`w\mathrm{}`$ and of finite variation $`\delta `$ of probability distributions, i.e., $`1/w`$ is negligible compared to $`\delta `$. This is a very harsh condition if we consider that $`\delta `$ must be arbitrarily small for observability condition. It should be noted that the asymptotic behavior of $`S^R`$ for finite $`\delta `$ and $`w\mathrm{}`$ is different from the asymptote for arbitrarily small $`\delta `$ and arbitrary $`w`$ which can be very large, e.g., $`\delta `$ is smaller than or of same order of magnitude as $`1/w`$. This second asymptotic behavior should be more general to our opinion because it applies for any system. Taking the probability distributions proposed by Lesche and making the same calculations without neglecting anything, one gets, for both $`q>1`$ and $`q<1`$, $`\mathrm{\Delta }S^R(\delta ,w)/S_{max}(\delta /2)^q`$ for arbitrarily small $`\delta 0`$. The observability condition is satisfied. This result is in addition consistent with the fact that $`S^R`$ is a monotonic function of $`S^T`$ which is observable according to the same analysis. We indeed have $`dS^R=\frac{dS^T}{1+(1q)S^T}=\frac{dS^T}{_ip_i^q}`$. So if $`dS^T/S^T0`$, we also have $`dS^R/S^R`$ for finite $`S^R`$ and $`S^T`$.

## 9 Conclusion

In summary, the additive Rényi entropy is associated with nonadditive energy to give an nonextensive thermostatistics characterized by $`q`$-exponential distributions which have been proved to be useful for many systems showing non Gaussian and power law distributions. This formalism would be useful for interacting nonextensive systems whose information and entropy may be additive or approximately additive. The problem of the instability of Renyi entropy is reviewed. We think that this entropy may be physically useful for any number of states.

A important point should be underlined following the result of the present work. Rényi entropy is identical to Boltzmann one for microcanonical ensemble. So, theoretically, its applicability to systems with nonadditive energy means that Boltzmann entropy may also be applied to nonextensive microcanonical systems as indicated by Gross.

## Acknowledgement

The author thanks with great pleasure Professors S. Abe, D.H.E. Gross for valuable discussions on some points of this work and for bringing my attention to important references.