text:
# Semiclassical Instability of the Cauchy Horizon in Self-Similar Collapse

## I introduction

The cosmic censorship hypothesis asserts that gravitational collapse of physically reasonable matter with generic initial condition does not result in the formation of naked singularity (NS) PenrosePenrose2 . More precisely, there are two versions of this hypothesis. The weak hypothesis states that all singularities in gravitational collapse are hidden within black holes. This implies the future predictability of the spacetime outside the event horizon. The strong hypothesis asserts that no singularity visible to any observer can exist. It states that all physically reasonable spacetimes are globally hyperbolic. Although the hypothesis has been an object of study over the last few decades, there is little agreement as to the final end of a general relativistic gravitational collapse. There is not enough evidence to prove the hypothesis. On the contrary, some solutions of the Einstein equation with regular initial conditions evolving into spacetimes which contain naked singularities have been found.

Up to now, it has been reported that such semiclassical effects as particle creation by naked-singularity formation, which are analogous to the Hawking radiation Hawking , might prevent the formation of NS. The first researchers to give much attention to this possibility were Ford and Parker. They considered a globally naked-singular spacetime, in which the weak hypothesis is broken, and calculated quantum emission from a shell-crossing singularity to obtain a finite amount of flux Ford . On the other hand, Hiscock, Williams, and Eardley obtained diverging flux from a shell-focusing NS which results from a self-similar implosion of null dust Hiscock . Subsequently, these semiclassical phenomena have been investigated in the collapse of the self-similar dust BarveBarve2 ; VazWitten , non-self-similar analytic dust HIN1HIN2 , and self-similar null-dust fluids Singh . Typically, the power of quantum emission from shell-focusing NSs diverges as the Cauchy horizon (CH) is approached. For a recent review of the quantum/classical emission during naked-singularity formation, see HIN3 . In addition, such an explosive radiation by naked-singularity formation can be a candidate for a source of the ultra high energy cosmic rays or a central engine of $`\gamma `$-ray burst GRB .

As the examples given above show, it is known that generic spherically symmetric self-similar collapse results in strong naked-singularity formation WaughLake ; LakeZannias . Among such self-similar models, the general relativistic Larson-Penston (GRLP) solution would be one of the most serious counterexamples against the cosmic censorship hypothesis in the sense that the existence of pressure is taken into account OriPiranOriPiran2 ; OriPiran3 . Moreover, the convergence of more general spherically symmetric collapse to the GRLP solution have been reported both numerically and analytically HaradaMaeda  as a realization of the self-similarity hypothesis proposed by Carr Carr ; CarrColey\_1 . The discovery of the black hole critical behavior also shed light on a self-similar solution as a critical solution (see gundlach2003  for a review). We can say with fair certainty that self-similar solutions play important roles near spacetime singularities. Several studies have been done resulting in a complete classification of self-similar solutions so far (see CarrColey\_1  for a review).

Motivated by the above, this paper is intended as the investigation of particle creation during the naked-singularity formation in self-similar collapse and of the resulting instability of a CH. It is shown that irrespective of the details of the model, a diverging energy flux is emitted from a naked shell-focusing singularity forming in generic spherically symmetric self-similar spacetime. The power and energy of particle creation are calculated on the assumption that the curvature around the singularity causes particle creation, which was proven by Tanaka , at least in the case of self-similar and analytic non-self-similar dust models. Because collapsing matter is not specified, the results can be applied to several known models of self-similar collapse. Our analysis is regarded as a semiclassical counterpart of Nolan , in which the stability of the CH in self-similar collapse was tested by a classical field.

This paper is organized as follows. In Sec. II a class of self-similar spacetimes is introduced and some features of the class of spacetimes to be used in later discussion are extracted. In Sec. III null geodesic equation is considered to calculate the “local map” of null rays, which plays a central role in the estimation of the power of emissions. In Sec. IV the power and energy of the created particles are estimated, while redshifts are the focus of Sec. V. Then several underlying relations among the local map, redshift, and power are found in Sec. VI. General results obtained in the preceding sections will be applied to the various models of collapse in Sec. VII. Sec. VIII is devoted to a summary and a discussion. In an Appendix, the same results are derived in terms of another coordinate system, which is useful in applications. The signature $`(,+,+,+)`$ and units in which $`c=G=\mathrm{}=1`$ are used below.

## II Spherically Symmetric Self-Similar Space-Times Admitting a Naked Singularity

In this article a class of spacetimes which are spherically symmetric and admitting a homothetic Killing vector field $`\xi `$, which satisfies $`\mathrm{\pounds }_\xi g_{\mu \nu }=2g_{\mu \nu }`$, is considered. The line element of this class of spacetime in an advanced null coordinate system is written as

$`ds^2`$ $`=`$ $`g_{vv}(x)dv^2+2g_{vR}(x)dvdR+R^2d\mathrm{\Omega }^2,`$ (1)
where $`xv/R`$, $`d\mathrm{\Omega }^2`$ is the line element of a unit two dimensional sphere, and the homothetic Killing vector field is of the form $`\xi =v_v+R_R`$. In this spacetime, the geodesic equation for an outgoing null ray is written as

$`{\displaystyle \frac{dv}{dR}}`$ $`=`$ $`{\displaystyle \frac{2g_{vR}}{g_{vv}}}=xf(x),`$ (2)
where

$`f(x){\displaystyle \frac{2g_{vR}}{xg_{vv}}}.`$ (3)
Equation (2) can be written also as

$`{\displaystyle \frac{dx}{dR}}={\displaystyle \frac{x\left(f(x)1\right)}{R}},`$ (4)
which is integrated to give

$`{\displaystyle \frac{R}{R_0}}=\mathrm{exp}\left[{\displaystyle _{x_0}^x}F(x^{})𝑑x^{}\right],F(x){\displaystyle \frac{1}{x\left(f(x)1\right)}},`$ (5)
where $`x_0`$ and $`R_0`$ are constants which are related as $`R_0=R(x=x_0)`$. The constant $`x_0`$ is chosen as $`x_0<x^+`$ and $`x_00`$.

What we have to do first is to extract features of $`f(x)`$, which determines the spacetime structure. The Misner-Sharp mass in this spacetime is given by

$`m(v,R){\displaystyle \frac{R}{2}}\left(1_\mu R^\mu R\right)={\displaystyle \frac{R}{2}}\left(1+{\displaystyle \frac{4}{x^2f^2g_{vv}}}\right).`$
The regularity of the center $`R=0`$ in the region $`v<0`$ and the absence of a trapped or a marginally trapped surface for $`0<R`$ and $`v0`$ are assumed. The latter condition is $`_\mu R^\mu R>0`$ for all $`x(\mathrm{},0]`$, which is written as $`g_{vv}<0`$ for all $`x(\mathrm{},0]`$ in the present case. The inevitability of a curvature singularity at the origin $`v=R=0`$ can be shown except for a flat spacetime Nolan . In this article we consider self-similar spacetimes with a globally naked singularity, of which existence breaks the weak version of the cosmic censorship hypothesis. One of the possible causal structures of the naked-singular spacetimes is depicted in Fig. 1. The coordinate $`v`$ is set to be the proper time along the regular center to remove a gauge freedom $`vV(v)`$, so that $`lim_x\mathrm{}g_{vv}=1`$. When $`m/R^3`$ is required to be finite at the regular center, the function $`f(x)`$ behaves as

$`f2/x\text{as}x\mathrm{}.`$ (6)
The quantity $`m/R^3`$ must be finite also in the limit $`v0`$ for fixed $`R(>0)`$ so that

$`f=O(|x|^\beta )\text{as}x0,`$ (7)
where $`\beta 1`$. When there are positive roots of the algebraic equation $`f(x)=1`$, it can be shown that the curve $`x=x^+`$ is a CH, as we will see in Appendix A, where $`x^+`$ is the smallest root. The differentiability of the metric function $`f`$ is assumed to be as follows:

$`{\displaystyle \frac{1}{f}}C^0\left((\mathrm{},x^+)\right),fC^2\text{at }x=x^+\text{.}`$ (8)
The former condition guarantees the existence and uniqueness of geodesics in this system. It is also assumed footnote\_2  that

$`f^{}(x^+)<0.`$ (9)
The schematic plot of the function $`f(x)`$ is shown in Fig. 2(a).

## III Local Map

To estimate the power of particle creation just before the singularity occurs, the pole at $`x=x^+`$ should be extracted from the integrand in Eq. (5) as follows:

$`{\displaystyle \frac{R}{R_0}}`$ $`=`$ $`\mathrm{exp}\left[{\displaystyle _{x_0}^x}\left\{F(x^{}){\displaystyle \frac{1}{\gamma (x^{}x^+)}}\right\}\right]\mathrm{exp}\left[{\displaystyle _{x_0}^x}{\displaystyle \frac{dx^{}}{\gamma (x^{}x^+)}}\right]`$ (10)
$`=`$ $`\mathrm{exp}\left[{\displaystyle _{x_0}^x}F^{}(x^{})𝑑x^{}\right]\left({\displaystyle \frac{x^+x}{x^+x_0}}\right)^{1/\gamma },`$
where

$`\gamma `$ $``$ $`x^+f^{}(x^+),`$ (11)
$`F^{}(x)`$ $``$ $`F(x){\displaystyle \frac{1}{\gamma (xx^+)}}.`$
The constant $`R_0`$ in Eq. (5), which parameterizes solutions, is related to the time $`v_cv(R=0)<0`$ when the outgoing null ray emanates from the regular center as follows:

$`{\displaystyle \frac{R}{R_0}}`$ $`=`$ $`\mathrm{exp}\left[{\displaystyle _{x_0}^x}{\displaystyle \frac{dx^{}}{x^{}}}\right]\mathrm{exp}\left[{\displaystyle _{x_0}^x}\left\{F(x^{})+{\displaystyle \frac{1}{x^{}}}\right\}𝑑x^{}\right]`$
$`=`$ $`\left|{\displaystyle \frac{Rx_0}{v}}\right|\mathrm{exp}\left[{\displaystyle _{x_0}^x}{\displaystyle \frac{f(x^{})}{x^{}\left(f(x^{})1\right)}}𝑑x^{}\right].`$
Taking the limit of $`R0`$ $`(v<0)`$, following relation is obtained:

$`R_0={\displaystyle \frac{v_c}{|x_0|I}},I\mathrm{exp}\left[{\displaystyle _{x_0}^{\mathrm{}}}{\displaystyle \frac{f(x^{})}{x^{}\left(f(x^{})1\right)}}𝑑x^{}\right],`$ (12)
where condition (6) ensures the convergence of the integral in Eq. (12).

Combination of Eqs. (10) and (12) yields

$`R=C(R,x)\left(v^+(R)v\right)^{1/\gamma }v_c,`$ (13)
where

$`v^+(R)`$ $``$ $`x^+R,`$
$`C(R,x)`$ $``$ $`|x_0|^1I^1\left[(x^+x_0)R\right]^{1/\gamma }\mathrm{exp}\left[{\displaystyle _{x_0}^x}F^{}(x^{})𝑑x^{}\right].`$
Before turning to the derivation of the local map, a few remarks should be made concerning the function $`C(R,x)`$. Due to condition (8), $`C(R,x)`$ converges to some finite constant in the limit $`xx^+`$ for fixed $`R`$. The dependence of $`C(R,x)`$ on $`x_0`$ is only an apparent one as

$`{\displaystyle \frac{C}{x_0}}=0,`$ (14)
which we use in Sec. VI.

Now let us consider a pair of ingoing and outgoing null rays such that the latter is the reflection of the former at the regular center. An observer who rests at $`R=`$ will encounter the null ray twice so that we denote the time of first encounter by $`v_1`$ and that of the second by $`v_2`$. The relation between $`v_1`$ and $`v_2`$, which we call the local map, is obtained from Eq. (13):

$`v_1={\displaystyle \frac{}{C(,x_2)}}\left(v^+()v_2\right)^{\alpha _1},`$ (15)
where

$`x_2`$ $``$ $`v_2/,`$
$`\alpha _1`$ $``$ $`1/\gamma .`$ (16)
The time intervals $`v_1(>0)`$ and $`v^+()v_2`$ are depicted schematically in Fig. 2(b). It is noted that the result does not change even if we choose a small value of $``$. Namely, the nature of the local map is determined by the behavior of null rays near the singularity.

## IV Power and Energy

A global map $`V=G(U)`$ is defined to be a relation between the moments when one null ray leaves $`^{}`$ and terminates at $`^+`$ after passing through the regular center (see Fig. 1). Assuming the geometric optics approximation, one can obtain the power of emission as the vacuum expectation value of a stress-energy tensor by the point-splitting regularization from the global map Ford ,

$`P={\displaystyle \frac{1}{24\pi }}\left[{\displaystyle \frac{3}{2}}\left({\displaystyle \frac{G^{\prime \prime }}{G^{}}}\right)^2{\displaystyle \frac{G^{\prime \prime \prime }}{G^{}}}\right]`$
for a minimally coupled scalar field, and

$`\widehat{P}={\displaystyle \frac{1}{48\pi }}\left({\displaystyle \frac{G^{\prime \prime }}{G^{}}}\right)^2`$
for a conformally coupled scalar field.

Spherically symmetric self-similar spacetimes are not asymptotically flat in general. They therefore should be matched with an outer asymptotically flat region via a proper non-self-similar region. This matching procedure is quite straightforward for dust collapse BarveBarve2 . Although it seems to be necessary to solve null geodesic equations in such a “patched-up” spacetime, the main properties of the global map must be determined by the behavior of null rays passing near the point where the singularity occurs. This expectation has been confirmed in Tanaka , at least for the self-similar and analytic dust models. Therefore, one can safely assume that the global map inherits the main properties of the local map, such as the value of the exponent and differentiability. This means that from Eq. (15), the asymptotic form of the global map would take the form

$`G(U)`$ $`=`$ $`V_0\left(U_0U\right)^\alpha G_{}(U),`$
where the null rays $`U=U_0`$ and $`V=V_0`$ are the CH and the ingoing null ray that terminates at the NS, respectively. The function $`G_{}(U)`$ is a regular function which does not vanish at the CH and $`\alpha `$ is the exponent of the local map, $`\alpha _1`$ in Eq. (15).

In the case of $`\alpha =1`$, the leading contribution to the power of particle creation is calculated as

$`P`$ $`=`$ $`{\displaystyle \frac{2G_{}^2(U_0)G_{}(U_0)G_{}^{\prime \prime }(U_0)}{8\pi G_{}^2(U_0)}},`$ (17)
$`\widehat{P}`$ $`=`$ $`{\displaystyle \frac{1}{12\pi }}\left({\displaystyle \frac{G_{}^{}(U_0)}{G_{}(U_0)}}\right)^2,`$ (18)
so that the power remains finite at the CH. Unfortunately $`G_{}(U_0)`$ and its derivatives cannot be known until the null geodesic equation is solved globally, so that one could not know the power of emission from only the information contained in the local map. In terms of redshift, $`\alpha =1`$ corresponds to the case that the redshift of a particle remains finite at the CH, as we will see in Sec. V.

On the other hand, in the case of $`\alpha 1`$ the leading contribution is obtained as

$`P={\displaystyle \frac{\alpha ^21}{48\pi \left(U_0U\right)^2}},`$ (19)
for a minimally coupled scalar field. For a conformally coupled one, the power of emission is obtained by replacing the factor $`(\alpha ^21)`$ in Eq. (19) for $`(\alpha 1)^2`$. The power is proportional to the inverse square of the remaining time to the CH. If $`\alpha >1`$, the power diverges to positive infinity for both minimally and conformally coupled scalar fields, while if $`0<\alpha <1`$, the power diverges to negative and positive infinity for minimally and conformally coupled scalar fields, respectively. In terms of the redshift of particles, the case that $`\alpha >1`$ ($`0<\alpha <1`$) corresponds to infinite redshift (blueshift) at the CH, as we will see in Sec. V. The emitted energy can be estimated as

$`E={\displaystyle _{\mathrm{}}^U}P(U^{})𝑑U^{}={\displaystyle \frac{\alpha ^21}{48\pi \left(U_0U\right)}}.`$ (20)
Although the emitted energy diverges when the CH is approached, this divergence needs to be regarded carefully. The semiclassical approximation would cease to be valid when the curvature radius at some spacetime point inside star reaches the Planck scale. Here we make a natural assumption that such a situation happens at the center of a star at $`v=t_{\mathrm{QG}}`$ footnote\_3 . In the case of $`\alpha >1`$, it can be expected that for a ray emanating from the center at $`v=t_{\mathrm{QG}}`$, the time difference $`U_0U`$ would be greater than the order of $`t_{\mathrm{QG}}`$ due to redshift, i.e., $`\mathrm{\Delta }UU_0U>t_{\mathrm{QG}}`$. Then energy emitted by the time $`U_0\mathrm{\Delta }U`$ is

$`E={\displaystyle \frac{\alpha ^21}{48\pi \mathrm{\Delta }U}}<{\displaystyle \frac{\alpha ^21}{48\pi }}E_{\mathrm{QG}},`$ (21)
where $`E_{\mathrm{QG}}1/t_{\mathrm{QG}}`$. If the factor $`\left(\alpha ^21\right)/(48\pi )`$ is on the order of unity, the total radiated energy within the semiclassical phase is less than the order of $`E_{\mathrm{QG}}`$, which would be of course much less than the mass of ordinary astrophysical stars. It would be better to say that a collapsing star would enter the phase of quantum gravity with most of its mass intact. Therefore, one could not predict whether a star which collapses to a NS evaporates away or ceases to radiate at its final epoch. This has been pointed out in NSEandQG  after careful investigation. We should not overlook that this feature is much different from that of black hole evaporation, in which quantum gravitational effects appear after a black hole loses almost all its mass.

One can recognize, however, that if $`\alpha 1`$ the radiated energy could be large. This situation is realized in the limit to marginally NS, in which the CH and event horizon coincide footnote\_4 . To illustrate the unbounded increase of $`\alpha `$ in this limit, we have to look deeper into the causal structure, which is determined by the function $`f`$. We order the positive roots of the equation $`f(x)=1`$ as $`0<x_1=x^+<x_2<\mathrm{}<x_n`$, where we count multiple roots as one root. The existence of $`x_a`$ satisfying $`lim_{xx_a}f(x)=+\mathrm{}`$ with $`x_n<x_a`$ and the continuity of $`f`$ in the region $`x_1<x<x_a`$ are assumed. In the region $`x(x_n,x_a)`$, $`dR/dv>0`$ along the null geodesics and $`lim_{xx_a}dR/dv=0`$ from Eq. (2). This implies that outgoing null rays in this region are to turn back in the direction of the singularity at $`x=x_a`$ and that the curve $`x=x_n`$ is the last outgoing null ray which can escape to infinity. That is to say, $`x=x_a`$ and $`x=x_nx_e`$ are the apparent horizon and event horizon, respectively. Hereafter, we shall concentrate on the case of $`n=2`$. The function $`f(x)`$ would be written as

$`f(x)1=f_{}(x)(xx^+)\left(x_ex\right)^m,\mathrm{\hspace{0.33em}\hspace{0.33em}0}<x<x_a,`$ (22)
where $`f_{}(x)`$ is a function which satisfies $`f_{}(x^+)<0`$ and $`m`$ is some positive integer. The exponent of the factor $`(xx^+)`$ is restricted to unity because of the condition $`f^{}(x^+)<0`$ and the differentiability $`fC^2`$ at $`x=x^+`$. With Eq. (22), the exponent of the local map is calculated as

$`\alpha _1{\displaystyle \frac{1}{x^+f^{}(x^+)}}={\displaystyle \frac{1}{x^+f_{}^{}(x^+)\left(x_ex^+\right)^m}},`$ (23)
to show that $`\alpha _1`$ can be arbitrarily large in the limit $`x^+x_e`$.

## V Redshift

The estimation of redshift of the radial null ray would help us understand the behavior of the power and would be necessary for discussing the validity of geometric optics and semiclassical approximations. Hereafter the tangent vector of the null ray is denoted by $`k^\mu dx^\mu /d\lambda `$, where $`\lambda `$ is an affine parameter.

With the null condition $`k^\mu k_\mu =0`$, the $`v`$-component of the geodesic equation $`k^\mu _\mu k^\nu =0`$ leads to

$`{\displaystyle \frac{dk^v}{d\lambda }}+{\displaystyle \frac{(k^v)^2}{R}}\left({\displaystyle \frac{1}{g_{vR}}}{\displaystyle \frac{dg_{vR}}{dx}}+{\displaystyle \frac{x}{2}}{\displaystyle \frac{1}{g_{vR}}}{\displaystyle \frac{dg_{vv}}{dx}}\right)=0.`$
Furthermore by using the relation

$`{\displaystyle \frac{d}{d\lambda }}={\displaystyle \frac{k^v}{R}}\left(1+{\displaystyle \frac{xg_{vv}}{2g_{vR}}}\right){\displaystyle \frac{d}{dx}},`$
$`k^v(x)`$ is integrated to give

$`{\displaystyle \frac{k^v(x)}{k_0^v}}=\mathrm{exp}\left[{\displaystyle _{\stackrel{~}{x}_0}^x}\stackrel{~}{F}(x^{})𝑑x^{}\right]=\mathrm{exp}\left[{\displaystyle _{\stackrel{~}{x}_0}^x}\stackrel{~}{F}^{}(x^{})𝑑x^{}\right]\left({\displaystyle \frac{x^+x}{x^+\stackrel{~}{x}_0}}\right)^{(1+\gamma )/\gamma },`$ (24)
where

$`\stackrel{~}{F}(x)`$ $``$ $`{\displaystyle \frac{1}{g_{vR}}}{\displaystyle \frac{dg_{vR}}{dx}}+{\displaystyle \frac{1}{1f}}\left({\displaystyle \frac{1}{x}}+{\displaystyle \frac{1}{f}}{\displaystyle \frac{df}{dx}}\right),`$
$`\stackrel{~}{F}^{}(x)`$ $``$ $`\stackrel{~}{F}(x)+{\displaystyle \frac{1+\gamma }{\gamma }}{\displaystyle \frac{1}{xx^+}}.`$
The constant $`\stackrel{~}{x}_0`$, which is set as $`\stackrel{~}{x}_0<x^+`$, and the constant $`k_0^v`$ are related as $`k_0^v=k^v(\stackrel{~}{x}_0)`$.

The constant $`k_0^v`$ is related to $`k_c^vk^v(R=0)`$ as

$`k_0^v={\displaystyle \frac{k_c^v}{\stackrel{~}{I}}},\stackrel{~}{I}\mathrm{exp}\left[{\displaystyle _{\stackrel{~}{x}_0}^{\mathrm{}}}\stackrel{~}{F}(x^{})𝑑x^{}\right].`$ (25)
Combination of Eqs. (24) and (25) yields

$$k^v(x)=\stackrel{~}{C}(R,x)\left(v^+(R)v\right)^{\alpha _11}k_c^v,$$
(26)
where

$`\stackrel{~}{C}(R,x)\stackrel{~}{I}^1\left[(x^+\stackrel{~}{x}_0)R\right]^{(1+\gamma )/\gamma }\mathrm{exp}\left[{\displaystyle _{\stackrel{~}{x}_0}^x}\stackrel{~}{F}^{}(x^{})𝑑x^{}\right].`$
Now, let us consider time-like observers who rest at $`R=0`$ and $`R=(d\theta =d\varphi =0)`$. The observed frequency is given by $`\widehat{\omega }u_\mu k^\mu =\sqrt{|g_{vv}(x)|}k^v(x)`$, where $`u_\mu `$ is the four-velocity of observer. When $`\widehat{\omega }_1lim_x\mathrm{}\widehat{\omega }(x)`$ and $`\widehat{\omega }_2lim_{xx^+}\widehat{\omega }(x)`$ are defined, Eq. (26) yields

$`{\displaystyle \frac{\widehat{\omega }_2}{\widehat{\omega }_1}}=\sqrt{\left|{\displaystyle \frac{g_{vv}(x^+)}{g_{vv}(\mathrm{})}}\right|}\stackrel{~}{C}(,x_2)(v^+()v_2)^{\alpha _11}.`$ (27)
Thus we see that if $`\alpha _1>1`$ ($`0<\alpha _1<1`$) the redshift (blueshift) of emitted particle diverges at the CH, while it remains finite if $`\alpha _1=1`$. The relation between the redshift derived above and the local map will be presented in the next section.

## VI Relations among the Local Map, Power, and Redshift

There would be a relation between the local map and redshift because the local map describes a kind of time delay. Since the asymptotic behavior of the local map and redshift in the limit $`xx^+`$ is considered here, the time dependence is omitted as $`C(R,x)C(R)`$. From Eq. (15), the relation

$`{\displaystyle \frac{dv_2}{dv_1}}={\displaystyle \frac{\gamma C()}{}}(v^+()v_2)^{(1+\gamma )/\gamma }`$ (28)
holds to give an alternative definition of redshift. Indeed, the time dependence in Eq. (28) can be replaced with the ratio of $`k^v`$ by Eq. (26) as

$$\frac{dv_2}{dv_1}=\left|\frac{g_{vv}(\mathrm{})}{g_{vv}(x^+)}\right|\frac{k_c^v}{k^v(x_2)},$$
(29)
where we set $`x_0=\stackrel{~}{x}_0`$ in the evaluation of the integral in $`C`$ to derive Eq. (29) since $`C`$ does not depend on $`x_0`$ from Eq. (14). Equation (29) can be written as

$`{\displaystyle \frac{d\tau _2}{d\tau _1}}={\displaystyle \frac{\widehat{\omega }_1}{\widehat{\omega }_2}},`$ (30)
where $`d\tau _i\sqrt{|g_{vv}|}dv_i`$ $`(i=1,2)`$ is the proper time measured by the observer. This relates the time delay and redshift to reveal that the redshift essentially corresponds to the local map and also to confirm the consistency of the analyses in Secs. III and V.

There exists a plausible relation also between the power of emission and the redshift of particles as mentioned in Sec. IV. In the case of $`\alpha >1`$ ($`0<\alpha <1`$), the power and redshift (blueshift) diverge at the CH from Eqs. (19) and (27), while the power and redshift remain finite at the CH in the case of $`\alpha =1`$. We may, therefore, reasonably conclude that the divergence of the redshift or blueshift at the CH causes that of the power.

## VII Examples

In this section, we will take examples to illustrate how the features obtained in the previous sections are realized in concrete models. Since several models are written in the diagonal form of a metric tensor, the formulation and notations for the diagonal form of a metric tensor are developed in Appendix B.

### VII.1 Minkowski spacetime

Although neither singularity nor horizon exists in Minkowski spacetime, one can test the formalism by applying it to this trivial spacetime. The line element is written as

$`ds^2=dv^2+2dvdR+R^2d\mathrm{\Omega }^2,`$
or

$`ds^2=dt^2+dr^2+r^2d\mathrm{\Omega }^2.`$
From definitions (3) and (38), one obtains

$`f(x)={\displaystyle \frac{2}{x}},w_\pm (z)=\pm {\displaystyle \frac{1}{z}}.`$
The roots of the algebraic equations $`f(x)=1`$ and $`w_\pm (z)=1`$ are given as $`x^+=2`$ and $`z^\pm =\pm 1`$, respectively. It must be noted that the function $`f(x)`$ satisfies conditions (6)-(9), which have been assumed to derive the local map. According to Eqs. (11), (16), (40), and (44), one can easily check that the exponents of local maps, $`\alpha _1`$ and $`\alpha _2`$, are unity. This fact just tells us that the redshift and power remain finite in a flat spacetime.

### VII.2 Vaidya Solution

The Vaidya solution describes the collapse of a null-dust fluid Vaidya\_1Vaidya\_2Vaidya\_3 . The global map for the self-similar Vaidya collapse was derived in Singh .

The line element in the self-similar Vaidya spacetime is written as

$`ds^2=\left(1m(x)\right)dv^2+2dvdR+R^2d\mathrm{\Omega }^2,`$
where $`m(x)=0`$ for $`x<0`$ and $`m(x)=2\mu x`$ for $`x0`$. The constant $`\mu `$ is restricted as $`0<\mu <1/16`$ for the nakedness, so that the spacetime with $`\mu =1/16`$ corresponds to a marginally naked-singular one. The function $`f(x)`$ is written as

$`f(x)={\displaystyle \frac{2}{x(1m(x))}}.`$
The roots of algebraic equation $`f(x)=1`$ are given as

$`x^+={\displaystyle \frac{1\sqrt{116\mu }}{4\mu }}\text{and}x_e={\displaystyle \frac{1+\sqrt{116\mu }}{4\mu }}.`$
What has to be noticed is that $`f`$ satisfies conditions (6)-(9). The exponent is calculated as

$`\alpha _1{\displaystyle \frac{1}{x^+f^{}(x^+)}}={\displaystyle \frac{1+\sqrt{116\mu }}{2\sqrt{116\mu }}}.`$
This exponent coincides with that of the global map which was obtained in Singh . One can see that $`lim_{\mu 0}\alpha _1=1`$ and $`lim_{\mu 1/16}\alpha _1=\mathrm{}`$, where the former and latter correspond to the limits of Minkowski and marginally naked-singular spacetime. This example is a good illustration of the efficiency of the local map and the divergence of $`\alpha _1`$ in the limit to marginally NS.

### VII.3 Roberts Solution

The Roberts solution describes the self-similar collapse of a massless scalar field Roberts . The line element is given as

$`ds^2=\left(1{\displaystyle \frac{2h(x)h^{}(x)}{\sqrt{1+h^2(x)}}}\right)dv^2+{\displaystyle \frac{2}{\sqrt{1+h^2(x)}}}dvdR+R^2d\mathrm{\Omega }^2,`$ (31)
where $`h(x)=0`$ for $`x<0`$ and $`h(x)=\sigma x`$ for $`x0`$, so that the region with negative $`v`$ is flat. The constant $`\sigma `$ is restricted here as $`|\sigma |<1/2`$ for the causal structure such that the spacetime has a time-like NS as in Fig. 3. The function $`f(x)`$ is written as

$`f(x)={\displaystyle \frac{2}{x(\sqrt{1+h^2}2hh^{})}}.`$
The conditions on $`f(x)`$ are again satisfied. The algebraic equation $`f(x)=1`$ has a positive root $`x^+=2/\sqrt{14\sigma ^2}`$ so that the exponent of local map is calculated as

$`\alpha _1{\displaystyle \frac{1}{x^+f^{}(x^+)}}=1`$
for $`|\sigma |<1/2`$. Thus we see that the Roberts solution provides a non-trivial example of spacetime in which the power of particle creation remains finite at the CH in self-similar collapse.

### VII.4 Lemaître-Tolman-Bondi Solution

The Lemaître-Tolman-Bondi (LTB) solution describes the collapse of a dust fluid LemaitreTolmanBondi . Although both global and local maps were derived in BarveBarve2  and Tanaka  respectively for self-similar LTB collapse, the exponent in BarveBarve2  is reproduced from the formalism in Sec. III.

The line element of self-similar LTB spacetime (for example, see BarveBarve2 ) is

$`ds^2=dt^2+\left[{\displaystyle \frac{1az/3}{(1az)^{1/3}}}\right]^2dr^2+r^2(1az)^{4/3}d\mathrm{\Omega }^2,`$
where the constant $`a`$ is related to a “mass parameter” $`\lambda `$ as $`a=\frac{3}{2}\sqrt{\lambda }`$. The constant $`\lambda `$ is restricted to the range $`0<\lambda <6(2615\sqrt{3})\lambda _m`$, where the latter inequality is imposed by the nakedness of the singularity Joshi , so that the spacetime with $`\lambda =\lambda _m`$ corresponds to marginally naked-singular one. One obtains the function $`w_\pm (z)`$ according to definition (38) as

$`w_\pm (z)=\pm {\displaystyle \frac{1az/3}{z\left(1az\right)^{1/3}}}.`$ (32)
The required conditions on $`w_\pm `$ in calculating the local map are satisfied. When a new variable $`y\left(1az\right)^{1/3}`$ introduced, Eq. (32) can be written as

$`w_\pm ^2(z)=1{\displaystyle \frac{4g_+(y)g_{}(y)}{\left[g_+(y)+g_{}(y)\right]^2}},`$
where $`g_\pm (y)3y^4ay^33y2a`$, so that the roots of algebraic equations $`w_\pm (z)=1`$ correspond to those of $`g_{}(y)=0`$. Using the chain rule $`d/dz=(dy/dz)d/dy`$, one obtains

$`z^\pm w_\pm ^{}(z^\pm )={\displaystyle \frac{2(13\alpha _{}^3)g_{}^{}(\alpha _{})}{3\alpha _\pm g_\pm (\alpha _{})}},`$
where $`\alpha _\pm \left(1az^{}\right)^{1/3}`$ and the prime denotes differentiation with respect to the argument of the function. The exponent of local map is calculated as

$`\alpha _2{\displaystyle \frac{z^{}w_{}^{}(z^{})}{z^+w_+^{}(z^+)}}={\displaystyle \frac{\alpha _{}^3g_+^{}(\alpha _+)}{\alpha _+^3g_{}^{}(\alpha _{})}}`$
to coincide with the one derived in BarveBarve2 ; Tanaka . This exponent becomes close to unity as $`\lambda 0`$ and increases monotonically with $`\lambda `$ to diverge to infinity as $`\lambda \lambda _m`$.

### VII.5 General Relativistic Larson-Penston Solution

As the last example the general relativistic Larson-Penston (GRLP) solution, which describes the self-similar collapse of a perfect fluid OriPiran3 ; OriPiranOriPiran2 , is considered. For the present, it may be useful to review the GRLP solution and its importance, although we have mentioned them in the Introduction. The equation of state must have the form of $`P=k\rho `$ from the requirement of self-similarity, where $`k`$ is a constant. The GRLP solution represents a naked-singularity formation in the range $`0<k0.0105`$, where the upper bound is imposed by the nakedness of the singularity. This solution is interesting because it provides the first example in which the pressure does not prevent the formation of a NS. Moreover, the convergence to the GRLP solution of more general solutions near the central region of stars have been strongly suggested numerically and supported by a mode analysis HaradaMaeda  as a realization of the self-similarity hypothesis Carr . From the above, the GRLP solution will be a strongest known counterexample against the cosmic censorship hypothesis.

Because the GRLP solution is a numerical one, an explicit expression of the exponent of local map could not obtained analytically, although it is unlikely that $`\alpha `$ is equal to unity. To show rigorously that the power of emission is proportional to the inverse square of the remaining time to the CH and that the constant of proportion diverges in the limit to marginally NS, the dependence of exponent $`\alpha `$ on $`k`$ should be clarified numerically preparation .

## VIII Summary and Discussion

We have been concerned with a quantum mechanical particle creation during the naked-singularity formation in spherically symmetric self-similar collapse. The power, energy, and redshift of emitted particles are analytically calculated on the assumption that the curvature around the singularity causes particle creation and the metric function $`f`$ is $`C^2`$ around the CH. As a result, in the generic case in which the exponent of the local map $`\alpha 1`$, the power has been found to diverge as $`P(t_{ch}t)^2`$, where $`(t_{ch}t)`$ is the remaining time until a distant observer would receive a first light ray from the NS. It is worth pointing out that the weaker differentiability of the CH leads to a different result, i.e., the power of emission has a different time dependence, although we have not looked deeper into such a possibility in this paper. The square inverse proportion of the power to the remaining time is due to the scale invariance of self-similar spacetimes. The constant of proportion has been found to be arbitrarily large in the limit to marginally NS. Therefore, this explosive radiation is especially striking in the case that the event horizon is very close to the CH because the emitted energy can be arbitrarily large in spite of a cutoff expected from quantum gravity. We go on from this to the conclusion that if the back reaction to a gravitational field is taken into account, the semiclassical effect would cause the instability of the CH and might recover the cosmic censor in this limiting case. On the other hand, in the non-generic case in which $`\alpha =1`$ the power remains finite at the CH, so that the semiclassical instability of the CH seems not to be efficient for this special class of self-similar solutions. The collapse of a massless scalar field described by the Roberts solution indeed does correspond to this case. In addition, it has been found that the diverging redshift and blueshift cause the divergence of the power to positive or negative infinity, depending on the manner of the coupling of scalar fields to gravity. The divergence will be a criterion for the stability/instability of a CH in a gravitational collapse. Having suggested that the particle creation could cause the instability of the CH, we still have a long way to go before knowing the existence of a classical/semiclassical cosmic censor in more generic spacetimes.

###### Acknowledgements.

We are grateful to Kei-ichi Maeda for his continuous encouragement. This paper owes much to the thoughtful and helpful comments of Hideki Maeda. UM would like to thank L.H. Ford for helpful comments. TH is also grateful to B.C. Nolan and T.J. Waters for helpful discussions. This work was partially supported by a Grant for The 21st Century COE Program (Holistic Research and Education Center for Physics Self-Organization Systems) at Waseda University. TH was supported by a JSPS Postdoctoral Fellowship for Research Abroad.

## Appendix A First outgoing null ray from the singularity

We shall prove the absence of an outgoing radial null geodesic which emanates from the origin $`v=R=0`$ before the null geodesic $`x=x^+`$. Let $`(v,R)`$ be a point on a radial null geodesic $`l`$ in the region $`0<x=v/R<x^+`$ which emanates from $`v=R=0`$. Then, one can say that

$`{\displaystyle \frac{dx}{dv}}|_l={\displaystyle \frac{x}{v}}(1{\displaystyle \frac{1}{f}})>0.`$ (33)
By the uniqueness of the solution of the null geodesic equation, $`l`$ cannot cross $`x=x^+`$ at points other than $`v=R=0`$. Therefore above inequality says that $`x`$ decreases as $`v+0`$ but is bounded from below by $`0`$. Hence the limit

$`\overline{x}\underset{v+0}{lim}x(v)|_l`$ (34)
exists and satisfies $`0\overline{x}<x^+`$. In the case of $`0<\overline{x}<x^+`$,

$$\overline{R}\underset{v+0}{lim}R(v)|_l=\underset{v+0}{lim}\frac{v}{x(v)}|_l=0$$
(35)
holds, but

$$\overline{x}=\underset{v+0}{lim}\frac{v}{R(v)}|_l=\underset{v+0}{lim}\frac{1}{R^{}(v)}|_l=\underset{v+0}{lim}xf(x)|_l=\overline{x}f(\overline{x}),$$
(36)
where the l’Hopital’s rule is used in the second equality. This contradicts the assumption that $`x^+`$ is the smallest positive root of equation $`f(x)=1`$. Next, we shall consider the case of $`\overline{x}=0`$. The fact that the solution $`R`$ converges to a finite nonzero constant as $`x0`$ from the condition (7) contradicts the assumption that $`l`$ is a geodesic which emanates from $`v=R=0`$. Thus the case of $`\overline{x}=0`$ is also excluded. Thus we see that $`x=x^+`$ is the first outgoing null ray which emanates from the singularity.

## Appendix B Local Map and Redshift in Diagonal Coordinates

The line element of the class of spacetimes discussed in Sec. II in a diagonal coordinate system is written as

$`ds^2=g_{tt}(z)dt^2+g_{rr}(z)dr^2+r^2S^2(z)d\mathrm{\Omega }^2,`$ (37)
where $`zt/r`$ and $`S`$ is a dimensionless metric function. The homothetic Killing vector field is of the form $`\xi =t_t+r_r`$. If one defines functions $`w_\pm (z)`$ as

$`w_\pm (z)\pm {\displaystyle \frac{1}{z}}\sqrt{{\displaystyle \frac{g_{rr}}{g_{tt}}}},`$ (38)
the roots of the algebraic equation $`w_\pm (z)=1`$ play important roles as do those of $`f(x)=1`$ in Sec. II. The existence of a positive (negative) root of $`w_+(z)=1`$ ($`w_{}(z)=1`$) and the uniqueness of the root of $`w_{}(z)=1`$ are assumed. When the negative root and the smallest positive root are denoted by $`z^{}`$ and $`z^+`$ respectively, the curves $`z=z^+`$ and $`z=z^{}`$ can be shown to be the CH and the ingoing null ray that terminates at the NS. In addition, it is assumed that $`w_{}^{}(z^{})0`$.

The null geodesic equations are integrated to give

$$\frac{r}{r_0^\pm }=\mathrm{exp}\left[_{z_0^\pm }^zW_\pm (z^{})𝑑z^{}\right]=\mathrm{exp}\left[_{z_0^\pm }^zW_\pm ^{}(z^{})𝑑z^{}\right]\left(\frac{z^\pm z}{z^\pm z_0^\pm }\right)^{1/\delta _\pm },$$
(39)
where

$`W_\pm (z)`$ $``$ $`{\displaystyle \frac{1}{z\left(w_\pm (z)1\right)}},`$
$`\delta _\pm `$ $``$ $`z^\pm w_\pm ^{}(z^\pm ),`$ (40)
$`W_\pm ^{}(z)`$ $``$ $`W_\pm (z){\displaystyle \frac{1}{\delta _\pm (zz^\pm )}},`$
and the signature $`+`$ $`()`$ corresponds to outgoing (ingoing) null geodesic. The constants $`z_0^\pm `$ and $`r_0^\pm `$ are related as $`r_0^+=r(z=z_0^+)`$ for an outgoing ray, while $`r_0^{}=r(z=z_0^{})`$ for an ingoing one, where $`z_0^\pm `$ is set as $`z_0^\pm <z^\pm `$ and $`z_0^\pm 0`$. The constants $`r_0^\pm `$ are related to $`t_ct(r=0)`$ as

$`r_0^\pm ={\displaystyle \frac{t_c}{|z_0^\pm |J_\pm }},J_\pm =\mathrm{exp}\left[{\displaystyle _{z_0^\pm }^{\mathrm{}}}{\displaystyle \frac{w_\pm (z^{})dz^{}}{z^{}\left(w_\pm (z^{})1\right)}}\right].`$ (41)
Combination of Eqs. (39) and (41) yields

$`r`$ $`=`$ $`D_\pm (r,z)\left(t^\pm (r)t\right)^{1/\delta _\pm }t_c,`$ (42)
where

$`t^\pm (r)`$ $``$ $`z^\pm r,`$
$`D_\pm (r,z)`$ $``$ $`|z_0^\pm |^1J_\pm ^1\left[(z^\pm z_0^\pm )r\right]^{1/\delta _\pm }\mathrm{exp}\left[{\displaystyle _{z_0^\pm }^z}W_\pm ^{}(z^{})𝑑z^{}\right].`$
Now, let us consider a pair of ingoing and outgoing null rays such that the latter is the reflection of the former at the regular center $`(r=0,t<0)`$. An observer who rests at $`r=𝔯`$ will encounter the null ray twice, so that we denote the time of first encounter by $`t_1`$ and that of the second by $`t_2`$. By Eq. (42), the ingoing and outgoing null rays are matched at the center to give the local map as

$`t^{}(𝔯)t_1=\left[{\displaystyle \frac{D_+(𝔯,z_2)}{D_{}(𝔯,z_1)}}\right]^\delta _{}\left(t^+(𝔯)t_2\right)^{\alpha _2},`$ (43)
where

$`z_i`$ $``$ $`t_i/𝔯,(i=1,2),`$
$`\alpha _2`$ $``$ $`\delta _{}/\delta _+.`$ (44)
The redshift of a radial null ray is obtained in similar way. The $`t`$-component of equation $`k^\mu _\mu k^\nu =0`$ is integrated to give

$$\frac{k^t(z)}{k_0^{t,\pm }}=\mathrm{exp}\left[_{\stackrel{~}{z}_0^\pm }^z\stackrel{~}{W}_\pm (z^{})𝑑z^{}\right]=\mathrm{exp}\left[_{\stackrel{~}{z}_0^\pm }^z\stackrel{~}{W}_\pm ^{}(z^{})𝑑z^{}\right]\left(\frac{z^\pm z}{z^\pm \stackrel{~}{z}_0^\pm }\right)^{(1+\delta _\pm )/\delta _\pm },$$
(45)
where

$`\stackrel{~}{W}_\pm (z)`$ $``$ $`{\displaystyle \frac{1}{2\left(1w_\pm ^1\right)}}\left\{\left(12w_\pm ^1\right){\displaystyle \frac{1}{g_{tt}}}{\displaystyle \frac{dg_{tt}}{dz}}+{\displaystyle \frac{1}{g_{rr}}}{\displaystyle \frac{dg_{rr}}{dz}}\right\},`$
$`\stackrel{~}{W}_\pm ^{}(z)`$ $``$ $`\stackrel{~}{W}_\pm (z)+{\displaystyle \frac{1+\delta _\pm }{\delta _\pm }}{\displaystyle \frac{1}{zz^\pm }}.`$
The constants $`\stackrel{~}{z}_0^\pm `$ and $`k_0^{t,\pm }`$ are related as $`k_0^{t,+}=k^t(z_0^+)`$ for an outgoing ray, while $`k_0^{t,}=k^t(z_0^{})`$ for an ingoing one. The constants $`k_0^{t,\pm }`$ are related to $`k_c^tk^t(r=0)`$ as

$`k_0^{t,\pm }={\displaystyle \frac{k_c^t}{\stackrel{~}{J}_\pm }},\stackrel{~}{J}_\pm \mathrm{exp}\left[{\displaystyle _{\stackrel{~}{z}_0^\pm }^{\mathrm{}}}\stackrel{~}{W}_\pm (z^{})𝑑z^{}\right].`$ (46)
Combination of Eqs. (45) and (46) yields

$`k^t(z)=\stackrel{~}{D}_\pm (r,z)\left(t^\pm (r)t\right)^{(1+\delta _\pm )/\delta _\pm }k_c^t,`$ (47)
where

$`\stackrel{~}{D}_\pm (r,z)\stackrel{~}{J}_\pm ^1\left[(z^\pm \stackrel{~}{z}_0^\pm )r\right]^{(1+\delta _\pm )/\delta _\pm }\mathrm{exp}\left[{\displaystyle _{\stackrel{~}{z}_0^\pm }^z}\stackrel{~}{W}_\pm ^{}(z^{})𝑑z^{}\right].`$
Consider again the observer who rests at $`r=𝔯`$ and the pair of ingoing and outgoing null rays. The outgoing and ingoing null rays are matched at the center by Eqs. (43) and (47) to give

$`{\displaystyle \frac{\widehat{\omega }_2}{\widehat{\omega }_1}}=\sqrt{\left|{\displaystyle \frac{g_{tt}(z^+)}{g_{tt}(z^{})}}\right|}{\displaystyle \frac{\stackrel{~}{D}_+(𝔯,z_2)}{\stackrel{~}{D}_{}(𝔯,z_1)}}\left[{\displaystyle \frac{D_+(𝔯,z_2)}{D_{}(𝔯,z_1)}}\right]^{1+\delta _{}}\left(t^+(𝔯)t_2\right)^{\alpha _21},`$ (48)
where $`\widehat{\omega }_1lim_{z_1z^{}}\sqrt{|g_{tt}(z_1)|}k^t(z_1)`$ and $`\widehat{\omega }_2lim_{z_2z^+}\sqrt{|g_{tt}(z_2)|}k^t(z_2)`$ are the observed frequencies.

There exists a plausible relation between the local map and redshift. From Eqs. (43) and (48), one obtains

$`{\displaystyle \frac{d\tau _2}{d\tau _1}}={\displaystyle \frac{\widehat{\omega }_1}{\widehat{\omega }_2}},`$
where $`d\tau _i\sqrt{|g_{tt}|}dt_i`$ ($`i=1,2`$) is the proper time of the observers.


format: text

text:
# Roughening of Fracture Surfaces: the Role of Plastic Deformations Version of

## Abstract

Post mortem analysis of fracture surfaces of ductile and brittle materials on the $`\mu `$m-mm and the nm scales respectively, reveal self affine graphs with an anomalous scaling exponent $`\zeta 0.8`$. Attempts to use elasticity theory to explain this result failed, yielding exponent $`\zeta 0.5`$ up to logarithms. We show that when the cracks propagate via plastic void formations in front of the tip, followed by void coalescence, the voids positions are positively correlated to yield exponents higher than 0.5.

Quantitative studies of fracture surfaces reveal self affine rough graphs with two scaling regimes: at small length scales (smaller than a typical cross-over length $`\xi _c`$) the roughness exponents $`\zeta 0.5`$, whereas at scales larger than $`\xi _c`$ the roughness exponent is $`\zeta 0.8`$. Such measurements were reported first for ductile materials (like metals) where $`\xi _c`$ is of the order of 1 $`\mu `$m 84MPP ; 97B , and more recently for brittle materials like glass, but with a much smaller value of $`\xi _c`$, of about 1 nm 03C . The exponent $`\zeta 0.5`$ is characteristic of uncorrelated random walks, but higher exponents indicate correlated steps Feder ; naturally the experimental discovery of such correlated, “anomalous” exponents attracted considerable interest with repeated attempts to derive them theoretically. Up to now these attempts were based on elasticity theory and have failed to underpin the mechanism for correlated fracture steps. For realistic boundary conditions, i.e. mode I or mode II fracture, these attempts invariably ended up with logarithmic roughening 97REF  or with the random walk scaling exponents $`\zeta 0.5`$ 02BLP .

In this Letter we present a quantitative model for ductile fracture in an infinite 2-dimensional material that follows the qualitative picture presented recently in 99BP , see Fig.1. In this picture there exists a “process zone” in front of the crack tip in which plastic yield is accompanied by the evolution of damage cavities. A crucial aspect of this picture is the existence of a typical scale, $`\xi _c`$, which is roughly the distance between the crack tip and the first void, at the time of the nucleation of the latter. The voids are nucleated under the influence of the stress field $`\sigma _{ij}(𝒓)`$ adjacent to the tip, but not at the tip, due to the existence of the plastic zone that cuts off the purely linear-elastic (unphysical) crack-tip singularities. The crack grows by coalescing the voids with the tip, creating a new stress field which induces the nucleation of new voids. In the picture of 99BP  the scale $`\xi _c`$ is also identified with the typical size of the voids at coalescence. A consequence of this picture is that the roughening exponent $`\zeta 0.5`$ corresponds to the surface structure of individual voids, whereas the exponent $`\zeta 0.8`$ has to do with the correlation between the positions of different voids that coalesce to constitute the evolving crack. To dress this picture with quantitative content we need first to provide a theory for the scale $`\xi _c`$ and, second, to demonstrate that the positions of consecutive voids are positively correlated. These are the main goals of this Letter.

A simple model for $`\xi _c`$ can be developed by assuming the process zone to be properly described by the Huber-von Mises plasticity theory 90Lub . This theory focuses on the deviatoric stress $`s_{ij}\sigma _{ij}\frac{1}{3}\mathrm{Tr}𝝈\delta _{ij}`$ and on its invariants. The second invariant, $`J_2\frac{1}{2}s_{ij}s_{ij}`$, corresponds to the distortional energy. The material yields as the distortional energy exceeds a material-dependent threshold $`\sigma __\mathrm{Y}^2`$. In 2-dimensions this yield condition reads 90Lub

$$J_2=\frac{\sigma _1^2\sigma _1\sigma _2+\sigma _2^2}{3}=\sigma __\mathrm{Y}^2.$$
(1)
Here $`\sigma _{1,2}`$ are the principal stresses given by

$$\sigma _{1,2}=\frac{\sigma _{yy}+\sigma _{xx}}{2}\pm \sqrt{\frac{(\sigma _{yy}\sigma _{xx})^2}{4}+\sigma _{xy}^2}.$$
(2)
In the purely linear-elastic solution the crack-tip region is where high stresses are concentrated (in fact diverging near a sharp tip). Plasticity implies on the one hand that the tip is blunted, and on the other hand that inside the plastic zone the Huber-von Mises criterion (1) is satisfied. The outer boundary of the plastic zone will be called below the “yield curve”, and in polar coordinates around the crack tip will be denoted $`R(\theta )`$.

Whatever is the actual shape of the blunted tip its boundary cannot support normal components of the stress. Together with Eq. (1) this implies that on the crack interface

$$\sigma _1=\sqrt{3}\sigma __\mathrm{Y},\sigma _2=0.$$
(3)
On the other hand, the linear-elastic solution, which is still valid outside the plastic zone, imposes the outer boundary conditions on the yield curve. Below we will compute the outer stress field exactly for an arbitrarily shaped crack using the recently developed method of iterated conformal mappings 03BMP . For the present argument we will take the outer stress field to conform with the universal linear-elastic stress field for mode I symmetry,

$$\sigma _{ij}(r,\theta )=\frac{K_I}{\sqrt{2\pi r}}\mathrm{\Sigma }_{ij}^I(\theta ),$$
(4)
where for a crack of length $`L`$ with $`\sigma ^{\mathrm{}}`$ being the tensile load at infinity, the stress intensity factor $`K_I`$ is expected to scale like $`K_I\sigma ^{\mathrm{}}\sqrt{L}`$. Using this field we can find the yield curve $`R(\theta )`$. Typical yield curves for straight and curved cracks are shown in the insets of Figs. 3 and 6.

The typical scale $`\xi _c`$ follows from the physics of the nucleation process. We assume that void nucleation occurs where the hydrostatic tension $`P`$, $`P\frac{1}{2}`$Tr$`𝝈`$, exceeds some threshold value $`P_c`$. Other assumptions on the nature of the nucleation process will not affect qualitatively our main result. The hydrostatic tension increases when we go away from the tip and reaches a maximum near the yield curve. To see this note that on the crack surface $`P=\frac{\sqrt{3}}{2}\sigma __\mathrm{Y}`$ (cf. Eq. (3)). On the yield curve we use Eq. (4) and the Huber-von Mises criterion together to solve the angular dependence of the hydrostatic tension in units of $`\sigma __\mathrm{Y}`$. It attains a maximal value of $`\sqrt{3}\sigma __\mathrm{Y}`$ and is considerably higher than $`\frac{\sqrt{3}}{2}\sigma __\mathrm{Y}`$ for a wide range of angles. On the other hand the linear-elastic solution (4) implies a monotonically decreasing $`P`$ outside the yield curve. We thus expect $`P`$ to attain its maximum value near the yield curve. This conclusion is fully supported by Finite Element Method calculations, cf. 85AM . Finally, since the nucleation occurs when $`P`$ exceeds a threshold $`P_c`$, this threshold is between the limit values found above, i.e. $`\frac{\sqrt{3}}{2}\sigma __\mathrm{Y}<P_c<\sqrt{3}\sigma __\mathrm{Y}`$. The first void will thus appear at a typical distance $`\xi _c`$ as shown in Fig. 2. An immediate consequence of the above discussion is that $`\xi _c`$ is related to the crack length via

$$\xi _c\frac{K_I^2}{\sigma __\mathrm{Y}^2}\left(\frac{\sigma ^{\mathrm{}}}{\sigma __\mathrm{Y}}\right)^2L.$$
(5)
It is worthwhile to put this prediction to experimental test.

Naturally, the precise location of the nucleating void will experience a high degree of stochasticity due to material inhomogeneities. In our model below we will assume that the nucleation can occur randomly anywhere in the region in which $`P>P_c`$ with a probability proportional to $`PP_c`$.

The simplest possible crack propagation model is obtained if we assume that a void is nucleated and then the crack coalesces with the void before a new void is nucleated. In experiments it appears that several voids may nucleate before the coalescence occurs 99BP ; 03Cil , but we will demonstrate that already a one void model induces positive correlations between consecutive void nucleations, leading eventually to an anomalous roughness exponent larger than 0.5. Clearly, even this simple model requires strong tools to compute the stress field around an arbitrarily shaped crack, to determine at each stage of growth the location of the yield curve and nucleating randomly the next void according to the probability distribution discussed above. In a recent work we have developed precisely the necessary tool in the form of the method of iterated conformal mappings 03BMP .

In the method of iterated conformal mappings one starts with a crack for which the conformal map from the exterior of the unit circle to the exterior of the crack is known. (Below we start with a long crack, in the form of a mathematical branch-cut of length 1000 in units of $`\xi _c`$). We can then grow the crack by little steps in desired directions, computing at all times the conformal map from the exterior of the unit circle to the exterior of the resulting crack. Having the conformal map makes the exact calculation of the stress field (for arbitrary loads at infinity) straightforward in principle and highly affordable in practice. The details of the method and its machine implementations are described in full detail in 03BMP . We should just stress here that the method naturally grows cracks with finite curvature tips, and each step adds on a small addition to the tip, also of a finite size that is controlled in the algorithm.

Having the stress field around the crack we can readily find the yield curve, and the physical region in its vicinity where a void can be nucleated (naturally, the width of this region depends on the critical value $`P_c`$ which is a parameter of the algorithm, as $`\sigma __\mathrm{Y}`$ is). Choosing with probability $`PP_c`$ the position of the next void, we use this site as a pointer that directs the crack tip. Fig. 3 shows a typical yield curve and the corresponding probability distribution function ($`PP_c`$) on this curve for a straight crack. The distribution is symmetric and wide enough to allow for deviations from the forward direction.

We then use the method of iterated conformal mappings to make a growth step to coalesce the tip with the void. Naturally the step sizes are of the order of $`\xi _c`$. Thus the radius of curvature at the tip is also of the order of $`\xi _c`$. We note that this model forsakes the details of the void structure and all the lengthscales below $`\xi _c`$. This is clearly acceptable as long as we are mainly interested in the scaling properties on scales larger than $`\xi _c`$.

In Fig. 4 we present a typical crack that had been grown using this method. The positive correlation between successive void nucleation and coalescence events is obvious even to the naked eye. Once the crack steps upward, there is a high probability to continue upward, and vice versa. This is precisely the property that we were after. A quantitative measurement of this tendency is the roughening exponent, that we compute as follows. Measuring the height fluctuations $`y(x)`$ in the graph of the crack, one defines $`h(r)`$ according to

$$h(r)Max\left\{y(\stackrel{~}{x})\right\}_{x<\stackrel{~}{x}<x+r}Min\left\{y(\stackrel{~}{x})\right\}_{x<\stackrel{~}{x}<x+r}_x.$$
(6)
For self-affine graphs the scaling exponent $`\zeta `$ is defined via the scaling relation

$$h(r)r^\zeta .$$
(7)
In Fig. 5 we present a log-log plot of $`h(r)`$ vs. $`r`$, with a best power-law fit of $`\zeta =0.64\pm 0.04`$. Indeed as anticipated from the visual observation of Fig. 4 the exponent is higher than 0.5.

We note that our measured scaling exponent is still smaller than the experimental one which is around 0.8. First let us say right away that we do not expect in a 2-dimensional theory to hit a 3-dimensional exponent; scaling exponents are usually strongly $`d`$-dependent even when the physics is invariant to the dimensionality of space. In addition, we expect that a more detailed model which incorporates a simultaneous multi-void nucleation and coalescence would increase the positive correlation in the positions of consecutive voids, and thus would reduce the roughness of the surface (increase the scaling exponent).

The main points of the model are nevertheless worth reiterating. First, we have a new typical scale, $`\xi _c`$, which is crucial. Growing directly at the tip of the crack results in a very strong preference for the forward direction, meaning that a step up will most likely be followed by a step down, and vice versa, as shown in 02BLP .

The introduction of the physics of the plastic zone results in creating a finite distance away from the tip to realize the next growth step. Second, a growth in the upward (or downward) direction is affecting the next stress field such as to bias the next growth step to be correlated with the last one. To see this clearly we present in Fig. 6 the yield curve and the corresponding probability distribution function ($`PP_c`$) on this curve for a long straight crack followed by an upward turn. It is clear that the distribution is skewed in favor of positive angles with respect to the forward direction. When the crack grows further this tendency becomes more pronounced. This is the essence of the positive correlation mechanism.

To improve our model further one needs to solve exactly for the stress field around a crack and a single void ahead. This will allow the introduction of two voids in the physically required places. Such an improved model, which is presently under construction, calls for mapping conformally doubly connected regions; we expect such a model to lead to stronger positive correlations between growth steps and to a higher scaling exponent.


text:
# Activity autocorrelation in financial markets. A comparative study between several models

## 1 Overview

As is well known, financial time series present a strongly inhomogeneous time behavior. This is specially true when one considers either the volatility or the activity, i.e., the number of transactions per unit of time. Indeed if we look at the variance of the return in a time window of, say, one day, we will observe periods of relative constant and regular behavior followed by other periods of strong variation of the price. In the same way there are days with few transactions and others where the number of trades is considerably larger. This great variability in the volatility or in the activity is generally referred to as volatility clustering or intermittency of volatility and activity. In this work we refer to both quantities. We will thus perform measures on the activity and use two volatility models: (i) ARCH models  and (ii) stochastic volatility (SV) models , where the relationship between volatility and activity is set by the usual assumption of proportionality between them .

As is well known, the time interval or distance between two consecutive transactions $`\tau `$ is a random variable described by a probability density function (pdf) $`\psi (\tau )`$ which in many cases presents an asymptotic power law of the form

$$\psi (\tau )1/\tau ^\beta .$$
(1)
However $`\psi (\tau )`$ does not tell anything about the independence of consecutive $`\tau `$’s. We note that if consecutive $`\tau `$’s are independent a power law tail in $`\psi (\tau )`$ can explain an inhomogeneous behavior in the number of events per unit of time, where a possible measure of this inhomogeneity is the distribution of the number of trades in a fixed period of time $`t`$. As Feller proved many years ago , if the time interval $`\tau `$ between some particular events, which we will call markers, in a time series is distributed according to a given density $`\psi (\tau )`$ and the independence condition $`\tau _i\tau _j=\tau _i\tau _j`$ for $`ij`$ holds, then the probability distribution to observe a fixed number of these markers $`y`$ in a given time interval, $`p(y,t)`$, follows a scaling law of the form

$$p(y,t)=\frac{1}{t^\delta }F\left(\frac{y}{t^\delta }\right),$$
(2)
where $`\delta `$ is some positive exponent and $`F(x)`$ is a positive and integrable function. With the help of a recently developed technique for the analysis of time series called Diffusion Entropy (DE) , we will see that the scaling observed in the distribution of the number of transactions in a time interval does not correspond to Feller’s analytical prescription obtained with the density $`\psi (\tau )`$ estimated from data.

We are thus forced to make the additional hypothesis that consecutive $`\tau `$’s are not independent. We will also assume that this correlation is due to the presence of peaks (or clusters) in the mean activity followed by periods of relative calm. Therefore the $`\tau _i`$’s are positively correlated because during a peak of activity they are shorter than the mean value while away from a peak they are greater than the mean. Indeed, in such a case $`(\tau _i\tau _i)(\tau _j\tau _j)0`$ which implies a positive correlation: $`\tau _i\tau _j\tau _i\tau _j`$.

Let $`\tau _c`$ be the random time distance between two consecutive peaks and denote by $`\varphi (\tau _c)`$ its probability density function. Similarly to the distribution of the distance between two consecutive transactions $`\psi (\tau )`$, we will also assume that $`\varphi (\tau _c)`$ obeys an asymptotic power law:

$$\varphi (\tau _c)1/\tau _c^\mu .$$
(3)
In this scheme the results of the DE technique can be described directly in terms of the time distance and the magnitude of the peaks of activity, the latter described by a pdf $`h(x)`$. We will see, like in ref. , that the distribution of the size of the cluster given by $`h(x)`$ does not play an important role, because the time distance distribution $`\varphi (\tau _c)`$ is characterized by a more anomalous exponent than $`h(x)`$. Consequently we will interpret the results of DE as a consequence of a non-Poissonian distribution of the distance between peaks of activity.

There are in the literature several approaches that try to explain the autocorrelation of activity and volatility. One recent model  is based on the hypothesis that the intermittency of activity is caused by a subordination to a random walk, like in the case of the so called on-off intermittency . As clearly described in , this procedure should give for the distribution of distances between clusters a scaling law of the form

$$\varphi (\tau _c)\frac{1}{\tau _c^{3/2}}f\left(\frac{\tau _c}{\lambda }\right)$$
(4)
where $`f(t)`$ is a cutoff function ensuring the existence of the first moment of $`\varphi (\tau _c)`$ and $`\lambda `$ is the time scale at which this cutoff takes place. One simple choice for $`f(t)`$ is given by the exponential $`f(t)=e^t`$ which allows that $`\varphi (\tau _c)`$ presents an asymptotic Poissonian behavior.

As we have already mentioned, other possible approaches to the problem of activity correlation are provided by ARCH models or SV models. We will show that both, ARCH and SV, models lead to a correlation in the volatility which more likely resembles to a power law tail exponent observed in a variety of financial markets. We will also show that a particular ARCH model, the TARCH model presented in , and the SV model presented in  both result in the same scaling law than that observed with the DE technique. Finally, and due to the absence of intra-day disturbances in the time series obtained by ARCH and SV models, we are also able to evaluate numerically the waiting time distribution $`\varphi (\tau _c)`$ of the distance between peaks and this distribution is compatible with the empirical evidence given by a power-law behavior for a (long) transient period followed by a Poissonian (exponential) behavior. We incidentally note that this asymptotic exponential behavior indicates that very far clusters do not influence each other.

The paper is organized as follows. We start with a brief review on the DE technique and a simple analytical proof that the DE results are determined by the most anomalous power law tail between $`\varphi (\tau _c)`$ and $`h(x)`$. After that we show the results obtained by means of the DE technique on tick by tick data of a Foreign Exchange (FX) market. We also perform a filtering procedure on data in order to prove that the observed scaling is due to the anomaly in the waiting time pdf $`\varphi (\tau _c)`$ and not in the cluster size pdf $`h(x)`$. Finally, we briefly describe the ARCH and the SV models and the results of the DE and the waiting time distribution on the time series constructed using these models.

## 2 Diffusion entropy analysis

The diffusion entropy technique is basically an algorithm designed to detect memory in time series . DE is specially suitable for intermittent signals, i.e., for time series where bursts of activity are separated by periods of quiescent and regular behavior. The technique has been designed to study the time distribution of some markers (or events) along the time series and thus discover whether these events satisfy the independence condition $`\tau _i\tau _j=\tau _i\tau _j`$ ($`ij`$) where $`\tau _i`$ is the time interval between the marker labeled $`i1`$ and the next one $`i`$ . As marker we use here a very simple definition: each trade in the time series is a marker. In order to apply the DE technique we need to construct a new series $`\xi _i`$ which is a function of a coarse grained time $`i\mathrm{\Delta }t`$ (in our case $`\mathrm{\Delta }t=1`$ s) and where $`\xi _i`$ is precisely the number of transactions that occurred in the previous second. We next define a new random process through the following moving counting on $`\xi _i`$

$$y_l(t)=\underset{i=lt/\mathrm{\Delta }t}{\overset{l}{}}\xi _i.$$
(5)
Note that $`y_l(t)`$ is precisely the number of markers (i.e., trades) in an interval of length $`t`$ starting at position $`l`$. If we vary the value of $`l`$ along the interval $`[0,Nt/\mathrm{\Delta }t]`$, where $`N`$ is the total length of the sequence, we can obtain the probability density function, $`p(y,t)`$, of this random process. It has been shown in  that for the zero-mean process $`yyy(t)`$ and assuming that $`\xi _i`$ is a renewal process, then $`p(y,t)`$ obeys the scaling law given by Eq. (2). Hence, the entropy of this random process reads

$$S(t)=\underset{\mathrm{}}{\overset{\mathrm{}}{}}p(y,t)\mathrm{ln}\left[p(y,t)\right]dy=A+\delta \mathrm{ln}(t).$$
(6)
From the slope of $`S(t)`$, in a logarithmic scale, we get an estimation of the scaling parameter $`\delta `$. In Fig. 1 we show the results obtained with DE on tick by tick data of the US dollar- Deutsche mark futures market from 1993 to 1997 with a total of $`1.3\times 10^6`$ data points (solid circles) . The fit gives $`\delta =0.90`$. As is shown in  if condition $`\tau _i\tau _j=\tau _i\tau _j`$ holds then there exists a relation between the scaling exponent $`\delta `$ and the exponent $`\beta `$ of the power law tail of the time distribution of markers (in our case, trades) $`\psi (\tau )`$ (see Eq. (1)). This relation reads

$$\delta =\{\begin{array}{cc}1/(\beta 1),\hfill & \text{if }2<\beta <3\text{;}\hfill \\ 0.5,\hfill & \text{if }\beta >3\text{.}\hfill \end{array}$$
(7)
We have shown elsewhere that for the FX market under consideration the power law tail exponent of the waiting time distribution between trades is near $`3.5`$ . According to Eq. (7) this would lead to $`\delta =0.5`$ —after a transient comparable with the mean trade distance of $`\tau =23.6`$ s— in disagreement with the value $`\delta =0.90`$ obtained by DE.

We now present a picture which takes into account peaks of activity separated by periods with a low number of transactions. We see in Fig. 2 a schematic representation of this picture in which, for instance, the intensity $`x_3`$ of the third peak is represented by a black spot and this corresponds to the total number of transactions attributed to this peak.

We suppose that the time intervals between peaks, $`\tau _{c,i}`$, are distributed according to a pdf $`\varphi (\tau _c)`$ which asymptotically behaves as in Eq. (3), i.e., $`\varphi (\tau _c)1/\tau _c^\mu `$. We also assume that the intensity of a given peak, $`x_i`$, defined as the total number of transactions in the peak, has a distribution given by a pdf $`h(x)`$. In the context of earthquakes $`h(x)`$ is generally referred to as the Pareto law of the size of the earthquake clusters, since asymptotically $`h(x)1/x^{\alpha +1}`$ as in the usual Pareto distribution .

We will now present a proof that the DE technique perceives the most anomalous (i.e., the smallest) of the two exponents $`\mu `$ and $`\alpha +1`$. Indeed, let $`\rho (x,t)`$ be the joint pdf for the waiting time $`\tau _c`$ between clusters and their intensity $`x`$. We denote by

$$\widehat{\rho }(\omega ,s)=_{\mathrm{}}^{\mathrm{}}𝑑xe^{i\omega x}_0^{\mathrm{}}𝑑\tau _ce^{s\tau _c}\rho (x,\tau _c)$$

its Fourier-Laplace transform. Observe that in terms of $`\widehat{\rho }(\omega ,s)`$ the Laplace transform of the waiting time distribution $`\widehat{\varphi }(s)`$ and the Fourier transform of the size distribution $`\stackrel{~}{h}(\omega )`$ are given by

$$\widehat{\varphi }(s)=\widehat{\rho }(\omega =0,s)\text{and}\stackrel{~}{h}(\omega )=\widehat{\rho }(\omega ,s=0).$$
(8)
We assume that the time duration of a peak is negligible with respect to the mean time distance between peaks . In such a case we can use the Continuous Time Random Walk (CTRW) formalism to calculate the probability density function, $`p(y,t)`$, that the number of trades at time $`t`$ is given by $`y`$. Thus, in terms of the joint distribution $`\widehat{\rho }(\omega ,s)`$ the Fourier-Laplace transform of $`p(y,t)`$ is given by

$$\widehat{p}(\omega ,s)=\frac{1\widehat{\varphi }(s)}{s}\frac{1}{1\widehat{\rho }(\omega ,s)}.$$
(9)
We can easily see that as $`s0`$ (i.e., $`t\mathrm{}`$) $`[1\widehat{\varphi }(s)]/s\tau _c`$, where $`\tau _c`$ is the mean waiting time. Hence

$$\widehat{p}(\omega ,s)\frac{\tau _c}{1\widehat{\rho }(\omega ,s)},(s0).$$
(10)
Note that, as $`s0`$ we have (see Eq. (3))

$$\widehat{\varphi }(s)1\tau _cs+c_0s^{\mu 1},(2<\mu <3).$$
(11)
Moreover, as $`\omega 0`$ and consistently with the Pareto law according to which $`h(x)`$ decays as $`1/x^{\alpha +1}`$, we have

$$\stackrel{~}{h}(\omega )1+ix\omega +b_0\omega ^\alpha ,(1<\alpha <2),$$
(12)
where $`x`$ is the average peak intensity. Taking into account Eqs. (11)-(12) we see that as $`s0`$ and $`\omega 0`$ the joint distribution $`\widehat{\rho }(\omega ,s)`$ can be written as

$$\widehat{\rho }(\omega ,s)1\tau _cs+ix\omega ix\tau _c\omega s+b(s)\omega ^\alpha +c(\omega )s^{\mu 1},$$
(13)
where $`b(s)`$ and $`c(\omega )`$ are such that $`b(0)=b_0`$ and $`c(0)=c_0`$. We recall that the DE technique measures the scaling in a “moving reference frame” where the average activity is zero, $`y(t)=0`$ for all $`t0`$. In order to obtain the pdf for $`y(t)`$ in such reference frame we perform in Eq. (13) the following substitution

$$ss+i\omega \frac{x}{\tau _c},$$
(14)
and after applying the diffusive limit $`\tau _c|s|x|\omega |`$ we get, to the lowest order,

$$\widehat{\rho }(\omega ,s)1\tau _cs+b_0\omega ^\alpha +c_0(ix/\tau _c)^{\mu 1}\omega ^{\mu 1}.$$
(15)
Substituting Eq. (15) into Eq. (10) finally yields

$$\widehat{p}(\omega ,s)\frac{\tau _c}{s\tau _cb\omega ^\alpha c\left(ix/\tau _c\right)^{\mu 1}\omega ^{\mu 1}}.$$
(16)
This equation shows that the smallest exponent between $`\alpha `$ and $`\mu 1`$ determines the asymptotic scaling of $`p(y,t)`$ according to the exponent

$$\delta =\{\begin{array}{cc}1/(\mu 1),\hfill & \text{if }\mu 1>\alpha \text{;}\hfill \\ 1/\alpha ,\hfill & \text{if }\mu 1<\alpha \text{.}\hfill \end{array}$$
(17)
Therefore, the scaling perceived by DE is determined by the most anomalous exponent of the scaling between the size of the clusters of activity and the distribution of their time distances. Note that the case $`\delta =1/(\mu 1)`$ agrees with that of Eq. (7). We also observe that we have proven this fundamental result for the most general case in which there is no assumption on the possible correlation, or independence, among intensities and waiting times.

Having this in mind, we return to the problem of understanding the scaling exponent $`\delta =0.90`$ appearing in the US dollar - Deutsche mark futures market. To what effect is due this scaling? In other words, is the exponent $`\delta `$ determined by the time distance between clusters or by their size? In order to solve this question we impose a cutoff in the size of the peaks of activity by eliminating those transactions whose time distance from the previous one is below certain threshold $`T`$ (note that this actually reduces cluster sizes because the number of transactions counted is now smaller). If after this cutoff procedure the scaling remains invariant then $`\delta `$ would be determined by the time distances and not by the size of the clusters. In Fig. 1 the DE results are shown for different values of the time-threshold $`T`$ ranging from $`0`$ to $`80`$ s. We see there that the slope is practically unchanged which confirms the assumption that the exponent $`\delta =0.90`$ is solely determined by the anomaly in the time distances between the clusters and not by any anomaly of their size.

## 3 ARCH, Stochastic volatility and on-off intermittency models

At the end of the last section, we have indirectly shown that the anomalous scaling $`\delta =0.90`$ observed in data is not caused by fat tails in the peak intensity distribution $`h(x)`$ but by the anomalous scaling in the waiting time distribution between peaks. Another more direct way to prove this would have been to single out the peaks on real data and look for their time distribution. Unfortunately it is very difficult, on real data, to define a peak of activity and compute the waiting time distribution between them. This is because there are peaks of activity that appear at fixed times (we will call these “deterministic peaks”) at the daily opening and closing sessions, at the opening during the day of other markets and even weekly at the opening of each monday . These deterministic peaks do not contribute to the increase of entropy. However, they do affect any estimation of the waiting time distribution making it very difficult to get a reliable estimate of it. A possible way out from this situation would be to generate an artificial time series simulating the real market evolution. In this artificial series, the activity would be replaced by volatility following the accepted correspondence between them  and we would check there all the scaling phenomena reported up till now.

We will follow this procedure and choose two well accepted models for reconstructing market activity without deterministic peaks: (i) the TARCH model , and (ii) the stochastic volatility model presented in . We will see that both models give the same results than those of the DE technique. We finally discuss the prescription given in Eq.(4) based on multi-agent models to see whether it agrees with our results or not.

### 3.1 The TARCH model

This particular ARCH model, called TARCH by its authors , is given by

$`\sigma _t^2`$ $`=`$ $`k+\alpha R_{t1}^2+\beta \sigma _{t1}^2+\mathrm{\Theta }(R_{t1})\gamma R_{t1}^2`$ (18)
$`R_t`$ $`=`$ $`\sigma _t\eta _t`$
where $`\sigma _t`$ is the volatility, $`R_t`$ is the one day return calculated at time $`t`$, $`\mathrm{\Theta }(x)`$ is the Heavyside step function and $`\eta _t`$ is Gaussian noise with zero mean and unit variance. The other parameters, estimated from daily data of the Dow Jones Industrial Index from 1988 to 2000 and obtained in , are: $`k=0.0184`$, $`\alpha =0.0151`$, $`\gamma =0.0654`$, $`\beta =0.9282`$ . Using Eq. (18) we generate a time series for $`\sigma _t`$. We then perform the DE analysis on this series (with a time step of 1 day) by supposing that the number of trades in the i-th day is proportional to $`\sigma _i`$. The results are shown in Fig. 3 (empty circles) compared with the results on real data for $`T=0`$ (solid circles). We clearly see that the TARCH model predicts for $`t<t_P`$ a scaling exponent $`\delta =0.90`$ which agrees with actual data. For $`t`$ greater than a Poissonian time $`t_P100`$ days the model yields $`\delta =0.5`$. It is worth noticing that the change in the slope of real data is likely due to the lack of statistics. Moreover, we do not have enough data points to determine whether the change of slope takes place at the same time scale than in the TARCH model. Nevertheless, ARCH-type models (similar results were obtained with $`\gamma =0`$ in Eq.(18)) seem to take into account the correct structure of the intermittency of financial series.

From the series generated using Eq. (18) we can also evaluate the waiting time distribution between peaks because now we do not have deterministic peaks and other periodic effects that were present in actual data. The result is shown in Fig. 4 and as we see there that for $`\tau _c<t_P`$ a good fit is provided by the following power law:

$$\varphi (\tau _c)\frac{1}{(1+\nu \tau _c)^\mu },$$

where $`\nu =0.1\text{ day }^1`$ and $`\mu =2.1`$. For $`\tau _c>t_P`$ a clear exponential (Poisson) behavior is present. This result has a simple physical explanation: if there is a first cluster at time $`t`$ the probability to observe another one just after the first is high while very distant clusters are practically independent which explains the asymptotic Poisson observed behavior in Fig.4.

### 3.2 An stochastic volatility model

There exists another way of modelling volatility clustering. The so-called stochastic volatility models  are an alternative choice to ARCH models and they are considered to be the most natural extension to the classic geometric Brownian motion for the price dynamics in continuous-time finance. Let us start with the zero-mean return $`X(t)`$ (i.e., the log-price without drift) and whose dynamics is given by the following stochastic differential equation

$$\dot{X}(t)=\sigma \xi _1(t),$$
(19)
where this equation has to be understood in the Itô sense and $`\sigma `$ is the volatility and $`\xi _1dt`$ is the Wiener process, i.e., $`\xi _1(t)`$ is Gaussian white noise with zero mean and correlation function given by

$$\xi _1(t)\xi _1(t^{})=\delta (tt^{}).$$
(20)
All SV models assume that the volatility $`\sigma `$ is itself a random process. There are several ways to describe the dynamics of the volatility . One of the simplest models, which still contains almost all the basic ingredients prescribed by real markets, is given by the Ornstein-Uhlenbeck (OU) process

$$\dot{\sigma }(t)=a(\sigma m)+k\xi _2(t).$$
(21)
One key property of this model is that it exhibits a stationary solution thanks to the existing reverting force —quantified by $`a`$— to a certain average $`m`$, the so-called “normal level of volatility”. The stationary solution is a Gaussian distribution and the resulting distribution for the return has fat tails . In addition, stylized facts such as the negative skewness and the leverage correlation  require that the changes of the volatility be negatively correlated with the random source of return changes. In other words, the driving noises appearing in Eqs. (19) and (21) are anti correlated, that is:

$$\xi _1(t)\xi _2(t^{})=\rho \delta (tt^{})$$

where $`1\rho 0`$. For the OU SV as given in Eq. (21) the characteristic exponential time decay of leverage correlation is given by $`1/a`$ which is typically of the order of few trading days (see below).

Although the OU model has some disagreements with observations , it is complex enough to catch all the statistical properties that we are studying here. We therefore simulate the SV model with the parameters estimated from daily data of the Dow Jones Index from 1900 to 1999. Thus, the reverting force is equal to $`a=0.05\text{ days }^1`$, the noise amplitude is $`k=0.0014\text{ days }^1`$, the normal level of volatility reads $`m=0.011\text{ days }^{1/2}`$ and the correlation coefficient is $`\rho =0.5`$ . The results of the DE analysis are reported in Fig. 3 (diamonds) while the waiting time distribution between clusters is shown in Fig. 4 (empty circles). In this case, and analogously to the TARCH model, we also observe a power law behavior followed by an exponential decay. The only difference is the value of the Poissonian time $`t_P`$ which for this model is near to 40 days while for the TARCH model is approximately 100 days. We have checked numerically that this difference is due to the fact that the parameters defining each model are estimated from the Dow Jones index over a different period of time, much larger for the SV model than for TARCH model. In any case, we cannot discard any of these approaches on the basis of the empirical results.

### 3.3 On-off intermittency models

The intermittent model of the activity is also predicted and studied by several multi-agent or minority game models . These models can be connected to on-off intermittency and they generally imply that the persistency of activity is subordinated to a random walk which indicates that the waiting time distribution has the form given in Eq.(4). As suggested in  we also obtain the so-called variogram of the data, although the results denote that, if a $`3/2`$ tail is present like in Eq.(4), causing a $`\sqrt{t}`$ behavior in the variogram, the tail lasts less than 5 days probably because the FX market is more liquid than the ones considered in . Furthermore the DE analysis performed on a series generated according to Eq. (4) also leads to a transient followed by the exponent $`\delta =0.5`$ of the asymptotic behavior whereas, as is clearly seen in Fig. 3, the transient never exhibits the exponent $`\delta =0.90`$ beyond 1 day but presents a constantly increasing exponent which is most of the time greater than 1.

## 4 Conclusions

We have performed the DE analysis on the activity of the tick by tick time series US dollar - Deutsche mark futures from 1993 to 1997. The results clearly show the presence of an anomalous scaling, for the probability distribution of the activity $`p(y,t)`$, near the exponent $`\delta =0.90`$. We have also implemented the same analysis on the volatility obtained with the TARCH model and with the OU stochastic volatility model. We find in both cases an excellent agreement between the scaling measured either on the actual data and on the constructed series.

We compare the results with the scheme of the subordination of the volatility to a random walk leading to Eq. (4) observing that a power law exponent $`\mu 2`$ for the tail of the distribution of the distances between peaks $`\varphi (\tau _c)`$ of volatility is more plausible. We believe that the main reason why the TARCH and the SV models give better results is that in on-off intermittency models the occurrence of a peak can be considered as subordinated to a random walk but the weak restoring force (which has to be included in the model in order to describe mean reversion) not only causes the final stationarity and the Poisson tail of Fig. 4 but also affects the process of regression to equilibrium modifying in a fundamental way (from $`\mu =3/2`$ to $`\mu 2`$) the transient behavior of $`\varphi (\tau _c)`$.

## Acknowledgements

This work has been supported in part by Dirección General de Proyectos de Investigación under contract No. BFM2003-04574, and by Generalitat de Catalunya under contract No. 2001SGR-00061.