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# Nucleosynthesis in The Oxygen-Rich Supernova Remnant G292.0+1.8 from Chandra X-Ray Spectroscopy

## 1  INTRODUCTION

The Galactic supernova remnant (SNR) G292.0+1.8 (MSH 11$``$54) is a source of strong oxygen and neon lines in the optical band and has been classified as an “oxygen-rich” SNR (Goss et al., 1979; Murdin & Clark, 1979). This abundance pattern is indicative of a core-collapse supernova (SN) from a massive progenitor. The small number of young O-rich SNRs, where the ejecta are not yet fully mixed with the ambient interstellar medium (ISM), may thus provide a rare opportunity for a detailed study of the SNR nucleosynthesis. For example, Hughes et al. (2000) have successfully performed such a study with a Galactic O-rich SNR Cassiopeia A, which revealed that explosive O- and Si-burning products from the deep interior of the massive progenitor dominate ejecta material in that SNR.

The unprecedented high angular resolution image of G292.0+1.8 obtained by the Advanced CCD Imaging Spectrometer (ACIS) on board the Chandra X-Ray Observatory has resolved the textbook-like structures in the SNR: the associated pulsar and its wind nebula (PWN), the metal-rich ejecta knots, the shocked circumstellar medium (CSM), and the blast wave shock front propagating into the ambient ISM (Hughes et al. 2001; Park et al. 2002, P02 hereafter). Earlier works (Hughes & Singh 1994; P02; Gonzalez & Safi-Harb 2003, G03 hereafter) have shown that G292.0+1.8 is dominated by O, Ne, and Mg line emission and identified a plausible mass for the progenitor star of $``$25 M$``$40 M based on either the integrated X-ray spectrum or spectra extracted over large emission regions. As a continuation of our previous image analysis (P02), we here report the results from our spectral analysis of G292.0+1.8. We take a different approach than the previous work by G03, in order to study several individual small-scale emission features which we demonstrate to be knots of pure or nearly pure SN ejecta. Comparisons of the abundance patterns in these knots to nucleosynthesis models allow us to trace their origin back to specific burning sites in the progenitor star, rather than global abundances averaged over the entire SNR. Although our investigation does not exhaustively present all emission features in the SNR, we do select a representative range of features based on the emission line equivalent width (EW) maps (P02). A description of the observation and the data reduction of the ACIS data can be found in P02.

## 2  Analysis

We corrected the ACIS data for charge transfer inefficiency (CTI; Townsley et al. \[2000; 2002a\]) and use detector response matrices generated by Townsley et al. (2002b) for the CTI-corrected data. The low energy ($`E`$ $`<`$ 1 keV) quantum efficiency (QE) of the ACIS has degraded because of molecular contamination on the optical blocking filter. We corrected this time-dependent QE degradation by modifying the ancillary response function for each extracted spectrum, utilizing the IDL ACISABS software111For the discussion on this instrumental issue, see http://cxc.harvard.edu/cal/Acis/Cal\_prods/qeDeg/index.html. The software was developed by George Chartas and is available at http://www.astro.psu.edu/users/chartas/xcontdir/xcont.html..

Based on the preliminary results from the color image and EW analysis by P02, we perform spectral analysis of small angular size features (typically $``$10′′ scales) across the SNR. We find that several regional spectra (Figure 1) represent the range of spectral characteristics seen in the SNR (P02). These selected regions are also morphologically well-defined in both the color image and the EW images and contain comparable photon statistics. We subtracted background spectra from source free regions of the detector. Each spectrum was binned to contain at least 20 counts per channel and fitted in the 0.5 $``$ 4 keV band. We fixed the abundances for elemental species He, C, N, and Ni at solar (Anders & Grevesse, 1989), because contributions from these elements to the X-ray spectrum in the fitted bandpass are small. We allow other elemental abundances to vary freely. In the spectral fits described below, we use a non-equilibrium ionization (NEI) plane-parallel shock model (Borkowski et al., 2001) unless otherwise noted.

The bright equatorial belt of G292.0+1.8 appears to be dominated by X-ray emission from dense CSM produced by stellar winds from the massive progenitor as heated by the blast wave (P02). A typical spectrum of this bright central belt-like feature is represented by that of region 1. This regional spectrum contains $``$8500 photons and is best fitted with an NEI shock with electron temperature $`kT`$ $``$ 0.7 keV (Figure 2; Table 1). The near-solar fitted abundances (Table 1) are consistent with the proposed circumstellar origin, rather than metal-rich ejecta.

On the other hand, the spectrum from region 2 shows remarkably different features (Figure 2). The region 2 spectrum contains $``$2000 photons, and is dominated by emission from the highly ionized Ly$`\alpha `$ lines of Ne ($`E`$ $``$ 1.05 keV) and Mg ($`E`$ $``$ 1.48 keV), which unambiguously indicate emission from metal-rich ejecta. The strong Ne Ly$`\alpha `$ and Mg Ly$`\alpha `$ line emission indicates a high electron temperature and/or an advanced ionization state. In fact, the spectrum of region 2 can be described by a thermal plasma model in collisional ionization equilibrium (CIE) with an electron temperature of $`kT`$ $``$ 0.8 keV. An NEI model can also fit the data with a higher electron temperature ($`kT`$ $``$ 5 keV; $`n_et`$ $``$ 1.5 $`\times `$ 1011 cm-3 s). With the current photon statistics, we cannot discriminate between these models. Nonetheless, strong enhancements in the O, Ne, and Mg abundances are present in either case. Although the statistical uncertainties are relatively large, O, Ne, and Mg abundances are evidently enhanced whereas Si, S, and Fe abundances are low (Table 1). The well-defined, compact morphology of this feature (angular size of $``$8′′ in diameter, physical size of $``$0.2 pc for a distance of $`d`$ = 6 kpc for G292.0+1.8 as recently determined by Gaensler & Wallace ) allows us to employ a local background subtraction. We then find that this regional spectrum can be described with emission from only O, Ne, Mg, and Si with no contribution from underlying continuum other than that contributed by these species. This is likely a knot of pure metal ejecta.

The northern boundary of the SNR has a few knots of emission which appear to be clumpy ejecta material embedded in fainter diffuse emission (see Figure 1 in P02). These features are also strong in the EW images (P02). Spectra from these knots can be characteristically represented by those from regions 3, 4, and 5 (Figure 1). Regions 3 and 4 contain $``$6200 and $``$3700 photons, respectively, and are best fitted with a high temperature ($`kT`$ $``$ 3 $``$ 5 keV) NEI plasma (Figure 3a; Figure 3b; Table 1). The metal abundances are highly enhanced, confirming that these knots are ejecta. Table 2 presents the abundances of O, Ne, and Mg relative to Si; these abundance ratios are much higher than solar ratios and are comparable to those in region 2. The region 5 spectrum is described with a low electron temperature of $`kT`$ $``$ 0.6 keV (Figure 3c; Table 1), which is similar to that of region 1. The ionization timescale is significantly larger than those for regions 3 and 4. The best-fit abundances for all fitted elements are a few times higher than solar, but, unlike regions 2, 3, and 4, the abundance ratios with respect to Si are less enhanced (Table 2). Region 5 thus appears to be ejecta material that is relatively more enhanced in Si and S than other portions of the SNR.

## 3  DISCUSSION

X-ray spectra from regions 2, 3, and 4 unambiguously demonstrate characteristics of metal-rich ejecta, which are dominated by emission from highly ionized O, Ne, and Mg. Low-Z elements typically dominate the ejecta throughout the SNR, and we find little evidence of enriched heavier elements such as Si, S, and Fe. This is in striking contrast to the features discovered in Cas A in which strongly enhanced Si, S, and Fe abundances are present (Hughes et al., 2000). We have found only marginal evidence of Si- and S-rich ejecta in G292.0+1.8 (e.g., region 5). In core-collapse nucleosynthesis models, low-Z elements are primarily produced in the outer layers of the unprocessed (i.e., hydrostatic He-burning) C-core while high-Z species are synthesized by explosive Ne-, O- and/or Si-burning in the deep interior of the massive progenitor star (e.g., Thielemann et al. 1996). Our results thus suggest that extensive mixing or overturning of the explosive nucleosynthesis products has not occurred in G292.0+1.8 and furthermore that the reverse shock in the remnant has not propagated to the Si/S or Fe-rich zones. The alternate possibility, that no Fe or Si/S ejecta were produced, seems unlikely.

Ne appears to be considerably more abundant in G292.0+1.8 than predicted by standard core-collapse models in which O is invariably overabundant relative to Ne. For instance, assuming $`n_e`$ $``$ 9$`n_{Ne}`$ (where $`n_e`$ is the electron density and $`n_{Ne}`$ is the Ne ion density) for the mean ionization state implied by the observed spectrum of region 2, $`n_e`$ $``$ 2 cm-3 and so a Ne ejecta mass of $`M_{Ne}`$ $``$ 8 $`\times `$ 10-4 $`M_{}`$ can be derived (we assumed a spherical geometry with an apparent angular radius of 4′′ and a distance of 6 kpc). Similarily, an O ejecta mass of $`M_O`$ $``$ 11 $`\times `$ 10-4 $`M_{}`$ is derived. This indicates that the O and Ne ejecta masses are nearly comparable, whereas models typically predict a several times larger mass of O than that of Ne (e.g., Thielemann et al. 1996). This Ne overabundance is thus difficult to understand in terms of standard core-collapse nucleosynthesis models. An extensive study of nucleosynthesis models for various conditions of stellar structure and burning processes may be necessary in order to interpret this anomaly, which is beyond the scope of this Letter.

We compared the measured abundance ratios of O:Si, Ne:Si, and Mg:Si with available core-collapse nucleosynthesis models. The O:Si abundance ratios (in number) are larger than solar by a factor of $`>`$5 for regions 2, 3, and 4. Ne:Si and Mg:Si ratios are also large, $``$4 $``$ 15 times higher than solar. Assuming 16O, 20Ne, 24Mg, and 28Si to be the dominant isotopes, we derive elemental mass ratios in each region (Table 2). We compare these mass ratios with the mass fraction ratios from model nucleosynthesis of specific burning sites interior to a 20 $`M_{}`$ (Thielemann et al, 1996) and a 25 $`M_{}`$ (Woosley & Weaver, 1995) progenitor. The observed O:Si, Ne:Si, and Mg:Si mass ratios for regions 2, 3, and 4 appear to be roughly consistent with those of nucleosynthesis model products of unprocessed C-core material from the hydrostatic evolution of the massive progenitor and are not a good match to abundances from the explosive Ne-burning regardless of the nucleosynthesis models (Table 2). With only the abundances of hydrostatic burning products available, it is difficult to constrain the mass of the progenitor star. Reliable progenitor masses may be determined by comparing both the hydrostatic and the explosive nucleosynthesis products between the observations and the models. Previous studies of G292.0+1.8 (e.g., Hughes & Singh 1994; G03) derived progenitor masses by assuming that the entire ejecta was emitting X-rays so that the measured abundances could be directly compared to integrated model yields. This assumption now appears to be invalid based on our results.

We estimate the volume of region 1 using a simple slab-like cylindrical geometry with an apparent angular size of 11$`\stackrel{}{\mathrm{.}}`$6 $`\times `$ 8$`\stackrel{}{\mathrm{.}}`$6 (0.34 $`\times `$ 0.25 pc) and a depth of $``$0.15 pc along the line of sight. This, plus the overall spectral normalization, results in a value for the postshock electron density of $`n_e`$ $``$ 40 cm-3. Similarly high density values are found among the other bright filaments of the equatorial belt. These density values are larger than the ambient density of the blast wave measured at the outer boundary of the SNR ($`n_0`$ $``$ 0.2 $``$ 0.5 cm-3; G03), by nearly two orders of magnitudes. These results are supportive of the proposed dense, asymetric CSM origin for the equatorial belt of G292.0+1.8. Our results indicate a high thermal pressure ($`P`$ $``$ 8 $`\times `$ 10-8 ergs cm-3) for the shocked CSM which is more than an order of magnitude higher than that of the PWN ($`P`$ $`>`$ 10-9 ergs cm-3; Hughes et al. 2003). The large difference in pressures gives strong support to the idea that the reverse shock has not reached the PWN, further reinforcing our earlier suggestion that the reverse shock has not propagated into the heavy element dominated central portions of the ejecta.

We conclude by summarizing our view of the nature and evolutionary state of G292.0+1.8. We find that the compact ejecta knots in the SNR are dominated by the species O, Ne, and Mg, and show a wide range of temperatures and ionization timescales. The relative abundances are best described by the hydrostatic burning products from a massive progenitor, although Ne appears to be relatively more enhanced than the nucleosynthesis models predict. There are a number of bright dense filaments of normal solar-type composition near the remnant’s center as well as fainter, lower density shocked matter near the outer edge. The former are believed to represent dense stellar wind material, while the latter is probably the ambient interstellar medium. The wide variety of densities and temperatures, as our analysis reveals, indicates that the two-temperature picture of G03 for G292.0+1.8 is grossly oversimplified. From our spectral fits we measure thermal pressures in the shocked gas that are much higher than the pressure in the PWN. This argues that the reverse shock in G292.0+1.8 has not yet propagated deeply enough into the ejecta to encounter the PWN. Thus there should be a reservoir of cold unshocked ejecta between the PWN and the reverse shock. It is plausible to conclude that this is where the Si/S and Fe rich ejecta are in G292.0+1.8, since these species are missing in the optical and X-ray–emitting ejecta. In contrast to Cas A, the ejecta in G292.0+1.8 appear not to have undergone extensive mixing and overturning, but have largely retained their original compositional stratification.

This work was funded by NASA under contract NAS8-38252 to Penn State, NAS8-39073 to CfA and Chandra grant G01-2052X to Rutgers University.


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# Free-free absorption effects on Eddington luminosity

## 1 Introduction

The Eddington luminosity plays a fundamental role in our understanding of accretion phenomena and, as a consequence, of the AGN physics and evolution. In turn, it is also clear that AGNs played a central role in galaxy formation, as testified by several empirical scaling relations between the mass of the supermassive BHs at the center of stellar spheroids (i.e., bulges and elliptical galaxies) and global properties of the spheroids themselves. In standard treatments Eddington luminosity is calculated by assuming that the electron-photon cross section is well described by the electron scattering Thompson cross section. Here we discuss the modifications to this simple picture by taking into account bremsstrahlung  opacity also: due to the dependence of bremsstrahlung emission on the square of the gas density, it follows that the associated absorption cross section increases linearly with the gas density, so that Eddington luminosity is correspondingly reduced. It is then expected that this opacity source will be important in the range spanned by cold accretion solutions (see, Park & Ostriker 1999). These high-density conditions were certainly present at the epoch of galaxy formation, thus a quantitative estimate of the reduction of Eddington luminosity as a function of ambient gas density and temperature is of direct interest when modeling the early stages of galaxy formation (see, e.g., Haiman, Ciotti & Ostriker 2003). In the following discussion we often refer to formulae provided in Ciotti, Ostriker & Pellegrini (2003, hereafter COP): eq. (1) there will be indicated as COP1, and so on.

## 2 The effect of free-free absorption

Let $`L_{\mathrm{BH}}ϵ\dot{M}_{\mathrm{BH}}c^2`$ be the bolometric luminosity associated with an accretion rate of $`\dot{M}_{\mathrm{BH}}`$, where $`ϵ`$ is the accretion efficiency and $`c`$ is the speed of light. The momentum transfer to the gas electrons per unit time, frequency and volume at the radius $`r`$ is given by (e.g., see Krolik 1999):

$$\frac{\mathrm{\Delta }p}{\mathrm{\Delta }t}=\frac{N_{\gamma \mathrm{e}}(\nu )}{\mathrm{\Delta }t}\times \frac{h\nu }{c}=\frac{L_{\mathrm{BH}}(r,\nu )\sigma _\mathrm{t}(\nu )n_\mathrm{e}(r)}{4\pi r^2c},$$
(1)
where $`N_{\gamma \mathrm{e}}(\nu )`$ is the number of photon–electron interactions as given in COP1, $`n_\mathrm{e}(r)`$ is the electron number density, $`h`$ is the Planck constant, and $`\sigma _\mathrm{t}`$ is the total electron cross–section corresponding to the various absorption processes (e.g., see Krolik 1999). For simplicity we restrict to the optically thin regime: as a consequence, from now on we assume $`L_{\mathrm{BH}}(r,\nu )L_{\mathrm{BH}}\times f_{\mathrm{BH}}(\nu )`$ (see COP). The net acceleration field experienced by the accreting gas with density profile $`\rho (r)`$ is given by $`g_{\mathrm{eff}}(r)=GM_{\mathrm{BH}}/r^2+_0^{\mathrm{}}(\mathrm{\Delta }p/\mathrm{\Delta }t)𝑑\nu /\rho (r)`$ where $`G`$ is the gravitational constant. By imposing $`g_{\mathrm{eff}}=0`$ one obtains

$$L_{\mathrm{Edd}}\frac{\rho (r)}{n_\mathrm{e}(r)}\frac{4\pi GcM_{\mathrm{BH}}}{_0^{\mathrm{}}\sigma _\mathrm{t}(\nu )f_{\mathrm{BH}}(\nu )𝑑\nu }:$$
(2)
when $`\sigma _\mathrm{t}=\sigma _\mathrm{T}=8\pi q_\mathrm{e}^4/3m_\mathrm{e}^2c^46.65\times 10^{25}`$ cm2, the classical expression for $`L_{\mathrm{Edd}}`$ is recovered. Here we consider two different opacity sources for the emitted photons. The first is due to electron scattering as described by the Klein–Nishina cross section $`\sigma _{\mathrm{KN}}(\nu )=\sigma _\mathrm{T}\stackrel{~}{\sigma }_{\mathrm{KN}}(x)`$, where $`x\nu /\nu _\mathrm{T}`$ and $`\nu _\mathrm{T}m_\mathrm{e}c^2/h`$ (see COP2). The second is due to free–free absorption: its cross cross section $`\sigma _{\mathrm{ff}}`$ is obtained from the bremsstrahlung emission formula (per unit volume, frequency, over the solid angle, Spitzer 1978, hereafter S78)

$$j_{\mathrm{ff}}(\nu )=\frac{2^{11/2}(\pi /3)^{3/2}n_\mathrm{e}q_\mathrm{e}^6\underset{i}{}n_\mathrm{i}Z_i^2g_{\mathrm{ff},\mathrm{i}}}{m_\mathrm{e}^2c^4}\left(\frac{m_\mathrm{e}c^2}{k_\mathrm{B}T}\right)^{1/2}\mathrm{exp}\left(\frac{h\nu }{k_\mathrm{B}T}\right)$$
(3)
and the Kirchhoff’s law $`j_{\mathrm{ff}}(\nu )=\kappa _{\mathrm{ff}}B_\nu (T)`$, where $`B_\nu (T)=8\pi h\nu ^3c^2/[\mathrm{exp}(h\nu /k_\mathrm{B}T)1]`$ and $`k_\mathrm{B}`$ is the Boltzmann constant. Accordingly,

$$\sigma _{\mathrm{ff}}(\nu )\frac{\kappa _{\mathrm{ff}}}{n_\mathrm{e}}=\sigma _\mathrm{T}\frac{q_\mathrm{e}^2c^2<g_{\mathrm{ff}}>\underset{i}{}n_\mathrm{i}Z_i^2}{\sqrt{6\pi }h}\sqrt{\frac{m_\mathrm{e}c^2}{k_\mathrm{B}T}}\frac{1\mathrm{exp}(h\nu /k_\mathrm{B}T)}{\nu ^3},$$
(4)
where $`<g_{\mathrm{ff}}>`$ is the mean free-free Gaunt factor. We assume that a mass fraction $`X`$ of the accreting material is made of fully ionized hydrogen, and the remaining fraction $`Y=1X`$ by fully ionized helium. Thus, $`n_\mathrm{H}=X\rho /m_\mathrm{p}`$, $`n_{\mathrm{He}}=(1X)\rho /4m_\mathrm{p}`$, $`n_\mathrm{e}=(1+X)\rho /2m_\mathrm{p}`$, $`n_\mathrm{t}=(3+5X)\rho /4m_\mathrm{p}`$, and finally $`_{i=1}^2n_\mathrm{i}Z_i^2=\rho /m_\mathrm{p}`$. In other words, at variance with the standard electron scattering case, $`\sigma _{\mathrm{ff}}`$ depends (linearly) on the gas density. As in COP, we also adopt a (normalized) spectral distribution made by the sum of two distinct contributions

$$f_{\mathrm{BH}}(\nu )=\frac{f_\mathrm{X}+f_{\mathrm{UV}}}{1+}.$$
(5)
$`f_\mathrm{X}`$ describes a (normalized) double-slope, non thermal distribution of total luminosity $`L_\mathrm{X}`$, with low and high-frequency slopes $`\xi _1`$ and $`\xi _1+\xi _2`$, respectively, and break frequency $`\nu _\mathrm{b}`$ (COP9). $`f_{\mathrm{UV}}`$ is a normalized black–body distribution of temperature $`T_{\mathrm{UV}}`$ and total luminosity $`L_{\mathrm{UV}}L_\mathrm{X}`$ (COP10); thus $`L_{\mathrm{BH}}=L_\mathrm{X}+L_{\mathrm{UV}}=(1+)L_\mathrm{X}`$. Accordingly, we study

$$\frac{L_{\mathrm{Edd}}^{\mathrm{es}}}{L_{\mathrm{Edd}}^{\mathrm{es}+\mathrm{ff}}}=1+\frac{_0^{\mathrm{}}\sigma _{\mathrm{ff}}f_\mathrm{X}𝑑\nu +_0^{\mathrm{}}\sigma _{\mathrm{ff}}f_{\mathrm{UV}}𝑑\nu }{_0^{\mathrm{}}\sigma _{\mathrm{KN}}f_\mathrm{X}𝑑\nu +_0^{\mathrm{}}\sigma _{\mathrm{KN}}f_{\mathrm{UV}}𝑑\nu }.$$
(6)
We now compute the four integrals appearing in eq. (6) for some representative values of the parameters entering $`f_{\mathrm{BH}}(\nu )`$. As in COP, we fix $`\xi _1=0.9`$ and $`\xi _2=0.7`$, and $`12`$, so reproducing the observed Compton temperature in quasar spectra (see, e.g., Krolik 1999; Sazonov, Ostriker & Sunyaev 2003). We obtain

$$_0^{\mathrm{}}\sigma _{\mathrm{KN}}f_\mathrm{X}𝑑\nu 0.79\left(\frac{\nu _\mathrm{b}}{\nu _\mathrm{T}}\right)^{0.05}\sigma _\mathrm{T}$$
(7)
as a very good fit over the range $`0.1\nu _\mathrm{b}/\nu _\mathrm{T}10`$. The estimate of $`_0^{\mathrm{}}\sigma _{\mathrm{KN}}f_{\mathrm{UV}}𝑑\nu `$ is trivial: in fact, the 99% of $`L_{\mathrm{UV}}`$ is emitted at $`h\nu <10k_\mathrm{B}T_{\mathrm{UV}}h\nu _\mathrm{T}`$ for any reasonable value of $`T_{\mathrm{UV}}`$. Thus $`\sigma _{\mathrm{KN}}\sigma _\mathrm{T}`$, and from the normalization condition

$$_0^{\mathrm{}}\sigma _{\mathrm{KN}}f_{\mathrm{UV}}𝑑\nu \sigma _\mathrm{T}.$$
(8)
We then obtain

$$_0^{\mathrm{}}\sigma _{\mathrm{ff}}f_{\mathrm{UV}}𝑑\nu =\frac{\rho \sigma _\mathrm{T}}{m_\mathrm{p}}\frac{15h^2q_\mathrm{e}^2c^2<g_{\mathrm{ff}}>}{\sqrt{6}\pi ^{9/2}k_\mathrm{B}^3T_{\mathrm{UV}}^3}\sqrt{\frac{m_\mathrm{e}c^2}{k_\mathrm{B}T}}_0^{\mathrm{}}\frac{1\mathrm{exp}(\alpha x)}{\mathrm{exp}(x)1}𝑑x,$$
(9)
where $`\alpha T_{\mathrm{UV}}/T`$, and the dimensionless integral equals $`\gamma +\mathrm{\Psi }(1+\alpha )`$, with $`\gamma =0.5772\mathrm{}`$ and $`\mathrm{\Psi }(x)d\mathrm{ln}\mathrm{\Gamma }(x)/dx`$. Note that if $`T_{\mathrm{UV}}=T`$ then the integral equals 1; moreover, $`\gamma +\mathrm{\Psi }(1+\alpha )\pi ^2\alpha /6`$ for $`\alpha 0`$ and $`\mathrm{\Psi }(1+\alpha )\mathrm{ln}(\alpha )`$ when $`\alpha \mathrm{}`$. Thus we have

$$_0^{\mathrm{}}\sigma _{\mathrm{ff}}f_{\mathrm{UV}}𝑑\nu \frac{\rho \sigma _\mathrm{T}}{m_\mathrm{p}}\times \{\begin{array}{cc}\frac{1.52\times 10^2}{T_{\mathrm{UV}}^2T^{3/2}},T_{\mathrm{UV}}\begin{array}{c}<\hfill \\ \hfill \end{array}T,\hfill & \\ \frac{0.93\times 10^2}{T_{\mathrm{UV}}^3T^{1/2}}\left(\gamma +\mathrm{ln}\frac{T_{\mathrm{UV}}}{T}\right),T_{\mathrm{UV}}T,\hfill & \end{array}$$
(10)
where temperatures are in Kelvin, and we assumed $`<g_{\mathrm{ff}}>9.8`$ (see S78). The integral $`_0^{\mathrm{}}\sigma _{\mathrm{ff}}f_\mathrm{X}𝑑\nu `$ is affected by a formal infrared divergency if (as in our case) $`f_\mathrm{X}\nu ^{\xi _1}`$ with $`\xi _11`$: in fact, $`\sigma _{\mathrm{ff}}\nu ^2`$ for $`\nu 0`$. In order to have a proper physical description we integrate only at frequencies $`\nu \chi \nu _\mathrm{p}`$, where

$$\nu _\mathrm{p}\sqrt{\frac{n_\mathrm{e}q_\mathrm{e}^2}{\pi m_\mathrm{e}}}6.35\times 10^3\sqrt{\frac{(1+X)\rho }{m_\mathrm{p}}}\mathrm{s}^1$$
(11)
is the plasma frequency. Under the condition $`1\chi k_\mathrm{B}T/h\nu _\mathrm{p}`$, the opacity contribution comes mainly from the Rayleigh-Jeans regime in eq. (4), and the asymptotic value of the integral is

$$_{\chi \nu _\mathrm{p}}^{\mathrm{}}\sigma _{\mathrm{ff}}f_\mathrm{X}𝑑\nu \frac{7.8\times 10^{12}}{\chi ^{1.9}(1+X)^{0.95}T^{3/2}}\left(\frac{\nu _\mathrm{b}}{\nu _\mathrm{T}}\right)^{0.1}\left(\frac{\rho }{m_\mathrm{p}}\right)^{0.05}\sigma _\mathrm{T}.$$
(12)
Thus, if $`X=0.75`$, $`\nu _\mathrm{b}/\nu _\mathrm{T}=0.5`$, $`=2`$ and $`T_{\mathrm{UV}}=T`$ we obtain

$$\frac{L_{\mathrm{Edd}}^{\mathrm{es}}}{L_{\mathrm{Edd}}^{\mathrm{es}+\mathrm{ff}}}1+\frac{1.7\times 10^{12}}{\chi ^{1.9}T^{3/2}}\left(\frac{\rho }{m_\mathrm{p}}\right)^{0.05}+\frac{50}{T^{7/2}}\frac{\rho }{m_\mathrm{p}}.$$
(13)
For $`T\begin{array}{c}>\hfill \\ \hfill \end{array}10^4`$ K the free-free opacity contribution to Eddington luminosity is fully dominated by the low frequency tail in the non-thermal spectral distribution. For example, a reduction factor of Eddington luminosity of the order of 10 is obtained for $`\chi 300`$ and $`\chi 15`$, when $`T=10^5`$ K and $`T=10^6`$ K, respectively.

Of course, the present analysis leaves open several questions, such as the astrophysical status of the high-density gas at low temperatures, the characteristic linear scale over which the gas becomes optically thick, and the detailed shape of the non-thermal radiation distribution in AGNs at (very) low frequencies. All these aspects of the problem should be proprerly addressed when applying the present results to numerical models.

We thank Giuseppe Bertin, Bruno Coppi, and Bruce Draine for enlightening comments; L.C. aknolwedges the warm hospitality of Princeton University Observatory and the Institute of Astronomy at Cambridge, where a large part of this work was carried out. L.C. was partially supported by a grant CoFin 2000 of the Italian MIUR and by the grant ASI I/R/105/00.


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# Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000

## 1 Introduction

Since August 2000 until the end of 2002, the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. We have proposed to describe this phenomenon using the concept of a log-periodic power law (LPPL) “antibubble,” characterizing behavioral herding between investors leading to a competition between positive and negative feedbacks in the pricing process . The concept of an “antibubble” was inspired by that of an “antiparticle” in physics. Just as an antiparticle is identical to its sister particle except that it carries exactly opposite charges and destroys its sister particle upon encounters, an antibubble is both the same and the opposite of a bubble; it’s the same because similar herding patterns occur, but with a bearish vs. bullish slant. Our work on antibubbles is thus the counterpart of a large research effort that we and others have developed to characterize speculative bubbles (see  and references therein).

However, in addition to imitative and herding behavior, one quantifiable factor that many analysts and traders think plays an important role in the development of both bubbles and antibubbles is the influence of the Federal Reserve Board’s (FRB) liquidity interventions into the financial markets. On a daily basis, the Federal Reserve intervenes to adjust short-term interest rates. Through open market operations, the FRB buys and sells U.S. Government securities (variously-termed Treasury instruments having term periods that range from overnight to a couple of weeks) in the secondary market in order to adjust the level of reserves in the banking system. By adjusting the level of reserves in the banking system through their buys or sells which modulate the supply-demand equation, the FRB can offset or support seasonal or cyclical shifts of funds and thereby affect short-term interest rates and the growth of the money supply, thus effecting the cost of borrowing in the larger economy.

The impact of the FRB does not stop with the short-term interest rates but spreads to bonds (mechanically) and to the stock markets through several channels. One particularly simple channel is the influence of the risk-free interest rates on the present value of discounted future earnings and dividends. The interest rates, as the prices or costs of money at different time horizons, are affected by production opportunities, time preference for consumption, risk and expected inflation. The FRB uses a model of the U.S. economy to shape its decisions that takes into account the monetary transmission mechanism, that is, how its monetary policy actions influence financial markets and aggregate output and inflation . By its interventions, the FRB puts or removes short-term liquidity into the hands of bankers who use it to invest in or desinvest from various financial instruments including equities. This would obviously have an influence on near-term market move directions. One can argue that the FRB intervenes in the stock markets by this indirect mean. An example of extraordinary action by the FRB was in the months prior to the turn of the Millennium. At the time, the Fed reported their intent to ameliorate possible liquidity problems on January 1, 2000 by the injection of several hundred billion dollars. Many believe that this liquidity was a substantial factor in early doubling the value of the Nasdaq stock market into the first quarter of 2000. Another extreme example is, in the week following September 11, 2001, when the Fed reported Open Market Operations activity of $76 billion, one of the single largest weekly liquidity doses in recent history. In August 2003, in response to the power outages of the Northeast and Canada, the FRB’s market intervention peaked to $48 billion in a single day in total outstanding repurchase agreements, an amount approximately equal to that needed to rebuild the flawed electrical power grid in America. Based on comparison between the net value of outstanding Fed repurchase agreements (repo) and financial indices such as the S&P 500 index, some analysts have suggested a correlation between the dips of the market and the ramping up of FRB repo activities, implying a causal relationship in which the FRB influences the stock market (see for instance http://www.piraz.com/monetary/temp99b.gif). An interesting suggestion is that the FRB would appear to inject liquidity to the market not in a steady–state fashion but only at those times when its action may have a strong impact. The rational for this is based on the recognition that many Americans engaged themselves economically through the financial markets in the late 1990s and the capitalization of the US stock market is now significantly larger than the US GDP. There is temptation to view the stock markets as leading the economy. Knowledgeable investors and traders then understand that the FRB acts accordingly to use liquidity to push the markets and, thus, push the economy.

In contrast to this arrow of causality in which it is the FRB which influences the stock market, others suggest the opposite direction of causality, namely, that the monetary policy reacts to the stock markets. However, the magnitude of the FRB’s reaction to the stock market is very hard to estimate in part because of the simultaneous response of equity prices to interest rates . The near-term path of the FRB’s policy might respond to equity price movements due to the direct wealth effect (a higher stock market spill over to increase consumption) and because the stock market prices might contain information on the future economic activity (the current prices are thought to reflect expectations of future earnings and dividends). Rigobon and Sack have found evidence for a significant monetary policy response to the stock market, using an identification technique based on the heteroskedasticity of the stock market returns applied to daily S&P 500 index data running from March 1985 to December 1999 . Their method consists in conditioning the covariance matrix between stock market returns and the three-month treasury bill interest rate on different volatility levels in order to identify the impact of volatility regimes. Bohl, Siklos and Werner  argued that the Bundesbank reacted to the stock market systematically on one month scale (or lower frequency), although the effect is not significant.

This question is embedded within a broader question: what is the information content of interest rate time series and of the shape of the yield curve 111The shapes and deformations of the yield curve, giving interest rates as a function of maturities, can be explained by several theories such as investor’s expectation about future inflation rates, liquidity preference and market segmentation based on the competition between the supply and demand of long-term and short-term treasury securities. Therefore, the interest rate spread can be utilized as an indicator of the future real economic activities and of inflation. The average parabolic shape of the yield curve as a function of maturity can be explained by a value-at-risk argument on expected future risks .? Empirically, it has been shown that interest rate spreads222the difference between a long-term interest rate and a short-term interest rate have predictive power for the real economic activity and for inflation. For many countries, the interest spreads seem to outperform other leading financial indicators . This is over controversial: financial variables are sometimes argued not to predict real activities  while leading economic indicators do have predictive power . There is also evidence that the interest rates and their spreads variables could potentially be used as leading indicators for real estate markets . Yield spreads have been used successfully to forecast the US recession in 2001 , which occurred about a year after the “new economy” bubble burst. With respect to the stock market, Roehner has found strong negative correlations between stock market crash-recovery and interest rate spread , while Resnick and Shoesmith showed that the interest rates spread between the yields of US composite 10-year+ US T-bond and three-month T-bill carries informative content of a forthcoming bear market one month in advance . In contrast, the interest rates (or bond yields) have been argued to have no significant forecasting ability . This suggests that the arrow of causality goes from the interest rates to the stock market, consistent with the above idea that the FRB may influence the stock market through its monetary policy.

Here, we provide a novel approach to this topic by analyzing the FRB’s reaction to the stock market after the 2000 crash. Our methodology is more efficient than previous works because we use a first-order deterministic indicator rather than second-order covariance measures. Our study also capitalizes on the rather unique setting since 2000 provided by the stock market on the one hand and by the FRB’s monetary policy on the other hand and on our ability to model quantitatively these behaviors. First, we identify specific log-periodic power law (LPPL) signatures in the treasury security yields. Specifically, Sec. 2 presents our LPPL analysis of the US treasury securities yields, which shows that an antibubble also started in October 2000 on the yields with maturities of 2 years or larger. Section 3 strengthens the evidence for log-periodicity by demonstrating the existence of a strong third harmonic in the log-periodicity. Section 4 shows the existence of antibubbles within antibubbles in the time dependence of the long-maturity yields since 1979. Section 5 demonstrates the existence of a log-periodic pattern in the timing of the moves of the Federal funds rate. In other words, the times at which the FRB lowered its leading indicator are organized according to an approximate geometric series with accumulation time (going backward) around October 2000. Section 6 shows that the pattern of timing of the FRB action closely matches that of significant drops in the stock market with an average time lag of about 1-2 months. In addition, the critical time $`t_c`$ of the antibubble LPPL patterns of the interest rate time series are found all approximately three months after that the critical time of the stock market antibubble. This strongly suggests that the FRB’s actions reacted to the stock market rather than the reverse. Section 7 concludes.

## 2 Evidence of an antibubble structure in the time evolution of U.S. Treasury bond yields

### 2.1 The LPPL antibubble framework and its calibration

We use the theory characterizing behavioral herding between investors in terms of a competition between positive and negative feedbacks in the pricing process, which has been documented in . Specifically, we refer to the parametrization  adapted to the description of antibubbles under the form:

$$y\left(t\right)=A+\left(tt_c\right)^m\left\{B+\underset{n=1}{\overset{N}{}}C_n\mathrm{cos}\left[n\omega \mathrm{ln}\left(tt_c\right)\varphi _n\right]\right\}+ϵ(t),$$
(1)
where $`t_c`$ is the theoretical inception time of the antibubble and $`ϵ(t)`$ is a white noise residue. The first-order ($`N=1`$) and second-order ($`N=2`$) formulae are the versions that have been most used previously in modelling and predicting financial bubbles and antibubbles. We refer to Ref.  and references therein for a full exposition of the approach.

Figure 1 shows the evolution with times of ten yields with the maturities 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y and of the Federal funds rate333The federal funds rate is the interest rate at which depository institutions lend balances at the Federal Reserve to other depository institutions overnight. since January 2000. As can be seen from the almost simultaneous crossing of all yields in October 2000 which is close to the inception of the 2000 yield antibubble documented below, the yield curve exhibited a rather anomalous inverted shape during the first half of 2000 and resumed its normal upward concave shape after, with a spread between the rates of different maturities broadening with time.

Figure 2 and Table 1 show the results of the fits of the ten yields with different maturities (3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y) shown in Fig. 1 with the first-order ($`N=1`$) LPPL formula (1). The yields with maturities no less than 2Y are similar to each other with approximately synchronous log-periodic oscillations. Yields with short maturities (3M, 6M, and 1Y) exhibit different shapes. The parameters of the fits of (1) with $`N=1`$ to the yields are listed in Table 1.

Several interesting features can be extracted from this analysis. First of all, we observe a universal log-periodic oscillatory structure for yields with maturities no less than 2Y, with approximately the same angular log-frequencies $`\omega 7.4`$, as given in Table 1. In contrast, for the yields with maturities 3M, 6M and 1Y, the small values of $`\omega `$ and the values of the exponents $`m`$ close to $`1`$ (absence of curvature) or to $`0`$ (curvature localized close to $`t_c`$) indicate the absence of LPPL.

Secondly, the estimated inception dates $`t_c`$ for the yield antibubbles are consistent across all maturities to within three weeks, approximately in the first half of October 2000. This places the inception of the yield antibubble about two months after that of the worldwide antibubble (first half of August 2000) . In spite of the absence of a well-developed log-periodic structure for the 3-month yield, the power law still provides a reasonable estimation of $`t_c`$.

Thirdly, the progressive return of the yield curve to its normal upward concave shape after October 2000 is reflected in the decrease of the absolute value of the coefficient $`B`$ with maturity: a larger $`|B|`$ for the smaller maturities imply that the corresponding yields are decaying faster as a function of time. This leads to a growing spread and quantifies the evolution of the yield curve from a basically flat shape in October 2000 to a normal upward concave shape later. We find that the coefficient $`|B|`$ for a given yield maturity $`\theta `$ is approximately inversely proportional to the inverse of the square of the maturity:

$$|B|\frac{1}{\theta ^2}.$$
(2)
This dependence is different from that derived from the square-root law proposed in  to describe the normal regime, based on a Value-at-Risk like pricing of the forward rate curve. This is an additional evidence suggesting that the antibubble corresponds to an anomalous (or at least different) regime.

### 2.2 Statistical significance of the log-periodic structure

To assess the significance level of the observed log-periodic pattern, we present several statistical tests based on spectral analysis. The standard test consists in performing a Lomb periodogram analysis of the de-trended time series

$$S(\mathrm{ln}(t))=\frac{y(t)A}{(tt_c)^m},$$
(3)
in the manner introduced in Ref.  in a similar context. The Lomb periodogram analysis is analogous to a Fourier transform but for unevenly spaced data . If $`y(t)`$ possesses log-periodic power law structure, $`S`$ has regular cosine undulations in the variable $`\mathrm{ln}(t)`$. Figure 3 shows the ten Lomb periodograms of the detrended signal of the ten treasury security yields. Except for the 3M and 6M yields, all the other eight yields exhibit a significant Lomb peak at the same fundamental angular log-frequency $`\omega `$ and also present peaks at harmonics $`n\omega `$ (where $`n`$ is an integer). It is interesting to observe that the parametric fit of the 1Y yield with formula (1) fails to qualify a LPPL structure while the present non-parametric method unearths a clear log-periodic structure. The two highest peaks are found for the maturities 2Y and 3Y. The thickest line shows the average of the Lomb periodograms over the eight periodograms of the yields with maturities larger than 6M. This averaging procedure has been introduced in  as an efficient way of enhancing a periodic or log-periodic signal when one has the luxury of an ensemble of realizations. Our present average amounts to postulate that each of the eight maturities larger than 6M has the same log-periodicity but with different residual noises.

The average normalized Lomb periodogram has its highest peak equal to $`P_N(\omega _f)=121`$ at the fundamental angular log-frequency $`\omega _f=7.92`$. The false-alarm probability under the null hypothesis of i.i.d. Gaussian fit residuals is zero . But assuming an i.i.d. structure is too restrictive (too optimistic) as the fit residuals have a dependence. We assume that this dependence can be approximated by the model of fractional Brownian noise with a Hurst exponent $`H>1/2`$. We can use our previous construction of a table of false alarm probabilities for various values of $`H`$ . For $`H=0.6`$, the false alarm probability corresponding to the observed peak $`P_N(\omega _f)=121`$ is $`<0.01\%`$, for $`H=0.7`$ it is $`0.2\%`$, for $`H=0.8`$ it is $`3\%`$ and for $`H=0.9`$ it is $`20\%`$. This means that the statistical significance of the log-periodicity is very high.

Bothmer has addressed the problem of the influence of noise dependence in the determination of the statistical significance of log-periodic oscillations . He considers specifically the dependence introduced in data which have a cumulative nature (like a price which is the logarithm of the sum of returns). For this, Bothmer introduced the so-called cumulative Lomb periodogram and found it to be exponentially distributed independently of the frequency  for the null hypothesis of no oscillations. Actually, using a data set which involves a sum of noise contributions around a power law leads to a spurious peak on the Lomb periodogram corresponding to a most probable noise . This mechanism explains the peak at $`\omega _{\mathrm{mp}}=2.42`$ observed in the averaged Lomb periodogram, which corresponds to about $`11.5`$ oscillations over the whole time span.

A strong additional evidence for log-periodicity lies on the presence of several higher-order harmonics of the fundamental $`\omega _f`$, as illustrated in the lower inset of Fig. 3. Here, we follow our previous aproach applied to hydrodynamic turbulence . The vertical arrows point to the peaks that identify a series of characteristic angular log-frequencies $`\omega _{kf}`$’s as a function of their order $`k`$ from left to right. The upper inset of Fig. 3 shows the linear relationship between the $`\omega _{kf}`$’s as a function of their order $`k`$ for $`k=1,2,\mathrm{},8`$. A linear regression is shown as the dashed line and gives $`\omega _{kf}=6.87k+0.35`$. The value $`6.87`$ slightly under-estimates the previously determined fundamental frequency $`\omega _f=7.04`$, and results from the positive intercept $`0.35`$. If we interpret the $`\omega _{kf}`$’s as the harmonics of $`\omega _f`$, we should expect $`\omega _{kf}=k\omega _f`$. The solid line of the upper inset of Fig. 3 shows the corresponding linear regression with the constraint of passing through the origin. This gives the relation $`\omega _f=6.93`$, which is in good agreement with our previous determination $`\omega _f=7.04`$. Another straightforward method is to form the ratios $`\omega _{kf}/k`$, which should be constant and equal to $`\omega _f`$ if the $`\omega _{kf}`$ are indeed the harmonics of $`\omega _f`$. We find $`\omega _{kf}/k=7.05\pm 0.42`$, again confirming the value of the fundamental angular log-frequency and the presence of several harmonics.

Let us end this section by a note of caution. We have termed “non-parametric” the Lomb analysis of the residues defined by (3). Strictly speaking, this is not entirely correct, since the construction of $`S`$ uses the fitted $`t_c`$, $`m`$, and $`A`$ parameters, as criticized by . This problem can be alleviated in several ways. One solution is to fit the data first using a pure power law, setting $`C_1=0`$ in Eq. (1), to obtain $`A`$, $`m`$ and $`t_c`$. Then, the parameters do not contain information on the searched log-periodicity (at the linear level of description). We have made these tests and find no differences in the results. An alternative solution is to estimate $`A`$ and $`t_c`$ by maximizing the linear correlation coefficient betwen $`\mathrm{ln}(tt_c)`$ and $`y(t)A`$ and then obtain $`m`$ with a simple linear regression of the two aforementioned sequences . In addition, one can also perform a generalized $`q`$-analysis on the data $`y(t)`$ by scanning $`t_c`$ . This last method has been applied to test log-periodicity in stock market bubbles and antibubbles , in the USA foreign capital inflow bubble ending in early 2001 , and in the ongoing UK real estate bubble . We shall use it in section 5 to analyze the log-periodic patterns of the Federal funds rate.

## 3 The third-order harmonic

Previous analyses have shown that higher-order harmonics provide significant contributions to the structure of antibubbles . The antibubble documented here on the yields is no exception as we now document. Figure 3 and in particular its lower inset shows that the leading contribution to the power spectrum is provided by the third harmonics $`\omega _{3f}=3\omega _f`$ rather than by the second one $`\omega _{2f}=2\omega _f`$. This is reminiscent of the log-periodicity found in two-dimensional hydrodynamic turbulence where the strongest harmonics is also for $`3\omega _f`$ while $`2\omega _f`$ gives almost no contribution . This suggests that, in the spirit of a Landau expansion of the type used in , the nonlinearity is third-order rather than quadratic.

To test quantitatively the impact of the third harmonic, we thus extend the previous parametric fit in section 2.1 by using expression (1) with $`N=3`$ but fixing the coefficient $`C_2=0`$ of the second harmonic. Figure 4 shows the corresponding ten fits of the ten yields, whose parameters are listed in Table 2. Again, the fits to the yields with maturity larger than two years exhibit evident LPPL signatures. The corresponding values of $`t_c`$, $`m`$ and $`\omega `$ of these six fits are close to those obtained with the simple first-order LPPL fits. These results are consistent with the spectral analysis reported in Fig. 3. Since the power calculated in the Lomb periodogram is proportional to the square of the amplitude of the periodic component, for this parametric analysis to be consistent with the non-parametric power spectrum, we should have

$$\frac{P_N(\omega _f)}{P_N(\omega _{nf})}=\left(\frac{C_1}{C_n}\right)^2.$$
(4)
From Fig. 3, we measure $`P_N(\omega _f)/P_N(\omega _{3f})=5.8`$ for the averaged Lomb periodogram. On the other hand, $`\left(C_1/C_3\right)^2`$ is in the range $`510`$ for the five yields with larger maturities, using the values reported in Table 2. This is in reasonable agreement with (4). A similar consistency has been reported previously for the US 2000 S&P 500 antibubble .

Table 2 shows some systematic effects in the variations of the parameters $`t_c`$, $`m`$ and $`\omega `$ as a function of maturity, for the six yields with maturity larger than two years. Firstly, the estimated critical time $`t_c`$ increases slightly but systematically, suggesting an increasing (small) lag of the antibubble inception with increasing maturity. Secondly, the exponent $`m`$ increases with maturity. Thirdly, the angular log-frequency $`\omega `$ decreases. We will come back to these observations to propose an interpretation.

Is the inclusion of the third-order log-periodic component significant? Comparing Table 1 with Table 2, we observe that the fits including the third-order term lead to a $`10\%`$ reduction in the r.m.s. of the residuals. The fact that there is an improvement is not surprising since there are more parameters. However, since the third-order formula (1) with $`N=3`$ contains the first-order formula (1) with $`N=1`$ as a special case, we can use the statistics of embedded hypothesis and the Wilks test  to check if the hypothesis $`C_3=0`$ can be rejected. Under the hypothesis of i.i.d. normal residuals, the probability for $`C_3=0`$ to be rejected is equal to the probability that a variable taken from a chi-square distribution with 2 degrees of freedom (two is the difference in the number of parameters between the two formulas with $`N=3`$ and $`N=1`$ with $`C_2=0`$) exceeds $`2n\mathrm{ln}(\chi /\chi ^{})`$, where $`n`$ is the size of the time series. For the six yields with maturities larger than 2 years, we have $`2n\mathrm{ln}(\chi /\chi ^{})=`$ 30, 99, 131, 146, 170, and 166, respectively. This gives a probability that $`C_3=0`$ of less than $`0.01\%`$. Therefore, the third-order log-periodic component appears to be very significant.

## 4 A hierarchy of antibubbles

The theory underlying the LPPL formula (1) uses a so-called renormalization group formalism, which suggests that the large scale LPPL structure studied until now may cascade down the scales, such that LPPL structures can be observed at many different scales . Such a hierarchical structure with LPPL observed as several embedded scales has been noticed over the years by several investigators (private communications) but was first mentioned in print at a qualitative level in a discussion of the Deutsche Aktien Index (German stock index) bubble before its burst in 1998 . There has not been a convincing demonstration however that the LPPL patterns can be observed unambiguously at different time scales because small-scale structures are vulnerable to noise . The observation of LPPL at several embedded scales become feasible when the large scale is very large, so that the smaller scales remain large. This situation describes the Japanese Nikkei 225 index: an antibubble was identified quantitatively to start in 2000, that is, on top of the more-than-one-decade long antibubble since 1990 . In this case, the small LPPL structure spans more than one year. Actually, one year (or maybe down to six months) might be the lower cutoff for the detection of statistically significant LPPL structures in financial bubbles or antibubbles, based on daily data. Johansen proposed that LPPL patterns can only be ascertained about a time scale of one or two years . Here we provide yet another example of such LPPL-within-LPPL structure for the yield data.

Figure 5 shows 29 years of the evolution of the U.S. 10-year treasury bond yield from 1975 to 2003. It is interesting to realize that the evolution at such large time scales can be represented also by an antibubble that started in 1979. The inception of this antibubble of the yield is associated with the peak in 1979-1980 of the inflation rate. Figure 5 also shows three small-scale antibubbles embedded within the large-scale. We have fitted these four antibubbles with the first-order LPPL formula (1). The data set used in these fits goes from the local high to the local low that breaks the structure when available . The smooth oscillatory lines in Fig. 5 show the fits to a large-scale antibubble and three small-scale antibubbles.

The parameters of the four fits are the following. The data set of the large-scale antibubble used in the LPPL fit is from 1981/09/30 to 2003/10/03 and we find $`t_c=1979/01/04`$, $`m=0.17`$, $`\omega =10.36`$, $`\varphi =0.52`$, $`A=15.27`$, $`B=98.5917`$, $`C=3.4737`$, with a r.m.s. of the fit residuals equal to $`\chi =0.711`$. The data set for the first small-scale antibubble used in the LPPL fit goes from 1984/05/30 to 1986/08/29 and we find $`t_c=1984/02/23`$, $`m=1.04`$, $`\omega =12.41`$, $`\varphi =4.20`$, $`A=14.01`$, $`B=0.0057`$, $`C=0.0006`$, with a r.m.s. of the fit residuals equal to $`\chi =0.323`$. The data set of the second small-scale antibubble goes from 1990/08/24 to 1993/10/15 and we find $`t_c=1989/10/28`$, $`m=0.99`$, $`\omega =11.19`$, $`\varphi =2.10`$, $`A=9.49`$, $`B=0.0027`$, $`C=0.0002`$, with the r.m.s. of the fit residuals equal to $`\chi =0.233`$. The data set of the third small-scale antibubble goes from 2000/09/09 to 2003/10/10 and we find $`t_c=2000/10/23`$, $`m=0.62`$, $`\omega =7.03`$, $`\varphi =3.18`$, $`A=5.72`$, $`B=0.0213`$, $`C=0.0089`$, with a r.m.s. of the fit residuals equal to $`\chi =0.237`$. This last antibubble has already been documented in Table 1.

The 1979-2003 large-scale antibubble and the recent 2000-2003 small-scale antibubble provide predictions for the future evolution of the 10-year yield, obtained by extrapolating the LPPL fits to the coming years. The extrapolation of the large-scale antibubble suggests that the 10-year yield will decrease for about two years and then rebound, while that of the small-scale antibubble suggests an increase following by a reversal during the first quarter of 2004 which could last two years before reverting to growing again. At face value, it seems that these two predictions are contradictory: they can not be both right. This is actually not the case: the essence of the renormalization group formulation of antibubbles is that small structures can be carried by larger structures, in the way exemplified in Figs. 6 and 7. The small-scale structure is carried by the large-scale structure and provides details of the overall pattern delineated by the large scale structure. Thus, the two scenarios shown in Fig. 5 can be reconciled by not opposing them but by combining them and viewing them as two predictions of the same overall multi-scale process observed at two different time resolutions. Combining the prediction of these two time scales suggest that the 10-year yield will decrease at large scale with local rallies and falls until its recovery two years later.

## 5 Log-periodic patterns in Federal funds rate

It is well-known that the yields are driven by the Federal funds rate, which fixes the target overnight interest rate. The driving of the yields with longer maturities by the Federal funds rate is transmitted by the “rigidity” of the yield curve (or similarly of the forward rate curve) controlled by arbitraging . A simple picture is to imagine an elastic string whose handle (the Federal funds rate) is held by the Federal Reserve Chairman who moves it up or down, while the rest of the string slowly moves with lags and delays due to the interplay of inertial and elastic interactions.

In view of our finding of significant LPPL structures in yields with maturities larger than 2 years, the question naturally arises as to their origin. Are the LPPL structures intrinsic or endogenous to these yields with medium and large maturities? Or are they reflecting and amplifying a log-periodicity already present in the driving Federal funds rate? The difficulty of this question lies in the fact that the Federal funds rate is a staircase of plateaus with jumps and the number of jumps is not large. In a first bold attempt, we have fitted the Federal funds rate with the LPPL formula (1) following the same procedure used for fitting the other yields. We are not able to find a reliable signal because the power law part of the formula is absent. But, equation (1) contains two ingredients: (i) a power law $`(tt_c)^m`$ and a log-periodic oscillation $`\mathrm{cos}[\omega \mathrm{ln}(tt_c)]`$. Is it still possible for the log-periodic pattern to be present while the power law is absent? To address this question, we note that this amounts to asking if the times $`t_n`$ at which the funds rate is changed by the Federal Reserve could exhibit a geometric time series in the variable $`t_nt_c`$ with a suitable value of $`t_c`$.

To our knowledge, the most robust method to attack this question is to use the generalized $`(H,q)`$-analysis on the Federal funds rate $`y(t)`$. The $`(H,q)`$-analysis  is a generalization of the $`q`$-analysis , which is a natural tool for the description of discretely scale invariant fractals. The $`(H,q)`$-derivative of the function $`y(\tau )`$ is defined as

$$D_q^Hy(\tau )\stackrel{\mathrm{}}{=}\frac{y(\tau )y(q\tau )}{[(1q)\tau ]^H},$$
(5)
where $`\tau =tt_c`$ is the time to the critical value $`t_c`$. The special case $`H=1`$ recovers the normal $`q`$-derivative, which itself reduces to the normal derivative in the limit $`q1^{}`$. There is no loss of generality by constraining $`q`$ in the open interval $`(0,1)`$ . The parameter $`q`$ tests for the log-periodic structure, while $`H`$ acts as a high-pass filter to remove the global trend in the time series ensuring that the resultant series is almost stationary. The introduction of $`H`$ allows us to analyze non-fractal signals which nevertheless contain log-periodic components.

In order to perform the $`(H,q)`$-analysis of the Federal funds rate $`y(t)`$, we need to choose a value for $`t_c`$. In this goal, we use the following guidelines. First, Table 2 shows that $`t_c`$ for the yields decreases when the maturity decreases. Extrapolating, this suggests that the $`t_c`$ for the Federal funds rates is prior (but probably not much) to those estimated for the yields with larger maturities. This should be the case if the main driver of the yield rates was fixed by commercial banks who react following the central bank. It turns out that the $`(H,q)`$-analysis is very robust with respect to misspecification of $`t_c`$: the absence of an accurate estimate of $`t_c`$ does not impact much on the extraction of log-periodic components if (1) $`q`$ is close to $`1`$ so that the analysis is performed at a finer resolution and (2) $`H`$ is negative so that the part of $`(H,q)`$-derivative far from the critical time $`t_c`$ pays a more importance role in the analysis. In practice, using positive $`H`$’s give a majority of the angular log-frequencies with very low values: this can be interpreted to be caused by the remaining global trend in the signal. Also, if we use small $`q`$’s, we find small and unstable angular log-frequencies.

In order to implement concretely the $`(H,q)`$-analysis, we use here $`t_c=2000/10/20`$, which is compatible with the above considerations. We scan a $`21\times 16`$ rectangular grid in the $`(H,q)`$ parameter plane, with $`H=1:0.1:1`$ and $`q=0.6:0.02:0.9`$. For each pair of $`(H,q)`$, we calculate the $`(H,q)`$-derivative, on which we perform a Lomb periodogram analysis. We have found that most of the Lomb periodograms have a similar shape as shown in Fig. 3. The highest Lomb peak of the resultant periodogram allows us to identify an angular log-frequency $`\omega `$ with its height $`P_N`$, which are both functions of $`H`$ and $`q`$. Figure 8 shows the histogram of occurrences of $`\omega `$. Its inset gives the bivariate distribution of pairs $`(\omega ,P_N)`$. There are clear clusters. The cluster peaked at low $`\omega `$ close to 1.7 is produced by relatively large (usually positive) $`H`$’s and relatively small $`q`$’s. The part of the histogram for $`\omega <8`$ corresponds to $`q<0.76`$. For $`q>0.76`$ and negative $`H`$’s, we see a well-defined cluster at $`\omega `$ close to $`8.3\pm 0.2`$ (indicated by an arrow with $`\omega _f`$). We attribute this value to the fundamental $`\omega _f`$. We can also discern two harmonics at $`\omega _{2f}15.7`$ and $`\omega _{3f}22.5`$, indicated by arrows.

We thus conclude that there is no power law but a significant log-periodic structure in the Federal funds rate since October 2000, with an estimated angular log-frequency $`\omega _f=8.3\pm 0.2`$.

Theoretically, the $`(H,q)`$-analysis can be employed to estimate $`t_c`$ endogenously by searching for the highest Lomb peak obtained by varying $`t_c`$ in some range. However, the predictive power of this method has proven rather weak in other applications  and we do not pursue it here. Changing $`t_c`$ by a few months both ways does not change significantly our conclusions.

## 6 Causality between stock markets and Federal funds rate

The similarity between the LPPL structures observed in the stock market since August 2000 and in the yields since October 2000 begs the question of the origin of these common properties. Let us consider the following scenarios.

1. Is the FRB (reacting to macroeconomic indicators together with its monetary policy) the source of log-periodicity in the timing of its interventions, which then spills over and is amplified in the yields with larger maturities, themselves influencing the stock market? In this scenario, the FRB is the source of log-periodicity in its response to other stimuli, which is then transferred to bonds and then to stocks.
2. Is the stock market first developing LPPL which then influence the yields of large maturities, both of them influencing the FRB timing of its intervention?
3. Or, keeping the hypothesis of the primary influence of the LPPL of the stock market, is the FRB the secondary step in reacting to the stock market which then spills over and influences the yields with larger maturities?
4. Is the LPPL observed both on the stock market and the yields the result of an overarching common origin to which they respond almost simultaneously?

In short, we address a problem of causality between two or more time series, which has a rich literature in economics (see for instance  and references therein). Determining causality is notoriously difficult and often ill-defined and one has in general to assume drastic simplifications, such as stationarity of the time series, linear least-squares projections, and mean-square errors. While these assumptions are convenient to make when conducting empirical tests, they are not realistic. Here, we draw from our analysis to propose that the most probable scenario is number 2: Stock Market $``$ Fed Reserve (Federal funds rate) $``$ short-term yields $``$ long-term yields. This conclusion is based on the following.

First, we have found that the critical inception times $`t_c`$ of the yields as well as of the Federal funds rate are about two months after that of the 2000 US stock market antibubble. In addition, $`t_c`$ tends to increase with the yield maturity.

Second, we notice that the log-periodic angular frequency decreases from the value $`\omega =10.3\pm 0.2`$ for the S&P 500 Index to $`\omega =8.3\pm 0.2`$ for the Federal funds rate and to values $`7<\omega <8`$ for yields when increasing their maturity (see Table 2). This trend in $`\omega `$ is consistent with the view that the Federal funds rate cuts was driven by the US stock market oscillations and thus developed a lower log-periodic frequency, which in turn drove the yields into still lower log-periodic frequencies.

Third, Fig. 9 shows in the same plot the Federal funds rate $`y(t)`$, the logarithm of the S&P 500 Index $`x(t)`$, and the logarithm of the NASDAQ Composite $`z(t)`$. One observes that the Federal funds rate $`y(t)`$ was increasing in the bull market and has been decreasing in bear market. After the burst of the new economy bubble, the Federal Reserve cut the interest rate from $`6^{\frac{1}{2}}`$ to 6 on 2001/01/03, at a time lagging more than four months behind the onset of the stock market antibubble and more than eight months after the burst of the bubble. This suggests that this Federal Reserve’s interest rate moves in the recent period have been caused at least partially by the behavior of the stock markets.

Fourth, Fig. 10 presents the cross-correlation between the Federal funds rate and the S&P 500 Index in the time period from October 1999 to mid-2003. The results are essentially the same when varying the start date from October 1999 to October 2000. Specifically, we construct the increments $`\mathrm{\Delta }y(t)`$ of the Federal funds rate and of the logarithm of the S&P 500 Index (which defines the returns $`\mathrm{\Delta }\mathrm{ln}x(t)`$) at the weekly, monthly and quarterly scales. Taking increments ensure to work with time series which are approximately stationary. We then calculate the cross-correlation coefficient with the Federal funds rate translated by $`n`$ time steps (trading days) according to the formula

$$C(n)=\mathrm{Corr}(\mathrm{\Delta }\mathrm{ln}x(t),\mathrm{\Delta }y(t+n)),$$
(6)
where $`\mathrm{Corr}(x,y)`$ is the statistical correlation between $`x`$ and $`y`$. Figure 10 shows the cross-correlation coefficient function $`C(n)`$ as a function of $`n[300,300]`$ for the three time scales. While the weekly scale is too noisy to conclude, the cross-correlation coefficient exhibits a clear maximum for the two other time scales for a positive lag in the range 30-50 trading days: such a positive lag means that the S&P 500 Index in the past has a predictive power on the Federal funds rate in the future. Since correlations detect only linear predictability, this means that there is a linear (Granger) predictability of the Federal funds rate by the stock market.

Figure 11 is similar to Fig. 10 with the following modifications: it uses a single time scale of one quarter to calculate the increments and shows the cross-correlation coefficient between the increments of the logarithm of the S&P 500 Index and the increments of the lagged yields for all maturities 0M (Federal funds rate), 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y and 30Y.

Fig. 11 exhibits the robust feature that the cross-correlation coefficients of the pairs (stock market; bond yield) for the smallest maturities 0M (Federal funds rate), 3M, 6M, 1Y peak for a lag close to 30-50 days. In contrast, the yields with longer maturities have their cross-correlation with the S&P 500 Index exhibit two peaks, one for a lag around 30 days and one for a zero lag. This gives us an important information in addition to that obtained from Fig. 10: not only do we see the impact of the S&P 500 Index in the past on all future bond yields, we also find that the S&P 500 Index is impacting or causing the variation of the bond yield with large maturities instantaneously. This is consistent with the scenario in which the S&P 500 Index “causes” the FRB moves which itself drives the yields with the shorter maturities and at the same time the yields with the longer maturities are directly and instantaneously influenced by the S&P 500 Index (and the stock market more generally). In other words, we are uncovering the existence of two driving forces on the yields: the stock market and the monetary policy of the FRB. The stock market prevails strongly for long-term yields and in addition influences significantly causally the FRB actions which then dominates in its influence on the short-term yields.

The existence of a positive lag found here means that the S&P 500 Index in the past has a linear Granger predictive power on bond yields in the future for all maturities In other words, we can assert that there is a Granger causality of the stock market on the bond yields, at least in the recent past, from 2000 till mid-2003.

## 7 Conclusion

Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we have shown the existence of an antibubble in the yields of maturities larger than 1 year since October 2000. The concept of “antibubble” describes the existence of a specific LPPL pattern that is thought to reflect collective herding effects. We have presented a series of tests on the significance of log-periodicity: based on the existence of strong harmonics, on the fact that the dominant harmonics improve very significantly the power of explanation of the yield data, on the consistency between our parametric and non-parametric analyses, we can assert the existence of the LPPL antibubble on the yields since October 2000. We have then performed a simple cross-correlation calculation which has confirmed the following scenario, already suggested from the dependence of the parameters of the LPPL formula as a function of yield maturities:

* Herding and competition with value investing has led to a collective LPPL antibubble unfolding in the U.S. stock markets since August 2000 (and which may have already ended ).
* The Federal Reserve Board (FRB) reacted to and lagged (by about 30 trading days) behind the log-periodicity of the stock markets by a series of steps lowering the Federal funds rate according to a pattern mimicking the log-periodicity of the stock market.
* The yields with maturities less than 1 or 2 years then followed by amplifying the FRB steps by the interplay of risk and herding.
* The yields with larger maturity were also influenced directly and instantaneously by the stock market.

Our interpretation is that the FRB is “causally slaved” to the stock market, because the later is now more and more considered as a proxy for the present and future health of economy. The impact of the stock market both economically and psychologically is obvious from the large fraction of the US population actively invested and by the sheer size of the stock market capitalization that has grown significantly larger than the GDP.

The present work reinforces the picture in which anticipations and collective beliefs play growing roles in controlling and shaping the future evolution of not only the stock market but also the economy itself.

Acknowledgments

We are grateful to P.M. Thomas for attracting our attention to this problem. This work was supported by the James S. Mc Donnell Foundation 21st century scientist award/studying complex system.


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# Noise-driven transition to quasi-deterministic limit cycle dynamics in excitable systems

## Abstract

The effect of small-amplitude noise on excitable systems with large time-scale separation is analyzed. It is found that small random perturbations of the fast excitatory variable result in the onset of a quasi-deterministic limit cycle behavior, absent without noise. The limit cycle is established at a critical value of the amplitude of the noise, and its period is nontrivially determined by the relationship between the noise amplitude and the time scale ratio. It is argued that this effect might provide a mechanism by which the function of biological systems operating in noisy environments can be robustly controlled by the level of the noise.

Understanding the effect of random perturbations in dynamical systems is a fundamental problem with a large number of applications in physical, chemical, and biological sciences. When these perturbations are small, noise-driven systems may often exhibit rare events which lead to switching-like dynamics on long time-scales Freidlin and Wentzell (1984). This behavior is well understood in systems obeying detailed balance, which is typical of systems close to thermal equilibrium (see, for example, Gardiner (1985)).

Systems far from equilibrium often fail to obey detailed balance. Even in the absence of noise, these systems are capable of having complex dynamical behaviors. One example of such a behavior is limit cycle oscillations. Another example is excitability: in excitable systems, small perturbations of the unique stable steady state decay, while sufficiently large perturbations lead to large-amplitude dynamical excursions before the system returns to the steady state (see, for example, Mikhailov (1990)). Excitable systems are very common in biology, with nerve cells being just one example (see, for example, Keener and Sneyd (1998)).

The purpose of this Letter is to show that under certain conditions small noise may transform the dynamics of an excitable system into a quasi-deterministic limit cycle, signifying a transition from excitable to oscillatory behavior under the action of the noise. This transition occurs at a critical value of the noise amplitude. Furthermore, the frequency and other parameters of the limit cycle are controlled by the amplitude of the noise, which distinguishes this mechanism from other mechanisms of noise-induced coherence (see, e.g., Gang et al. (1993); Pikovsky and Kurths (1997); Osipov and Ponizovskaya (2000)).

The key to our argument is the existence of a strong time scale separation in the system’s dynamics. In biology, this is typically the case: excitability often arises as a result of the competition of positive and negative feedbacks operating on different time-scales, with fast excitatory and slow recovery variables Keener and Sneyd (1998). In this situation it is possible to have an interplay between the slow deterministic time-scale of the recovery variable and the exponentially long time-scale associated with rare events induced by the noise. It is precisely this interplay that makes the considered effect possible.

Consider a general dynamical system

$`\dot{u}`$ $`=`$ $`f(u,v)+\sqrt{\epsilon }\eta ,`$ (1)
$`\dot{v}`$ $`=`$ $`\alpha g(u,v).`$ (2)
In the context of excitable systems, $`u`$ and $`v`$ (generally, vectors) will be sets of excitatory and recovery variables, respectively; $`f`$ and $`g`$ are the nonlinearities, $`\alpha `$ is the ratio of the time-scales, $`\eta `$ is some external noise perturbing the excitatory variables, and $`\epsilon 1`$ measures its amplitude. If $`\alpha 1`$, there is a large time-scale separation in the deterministic part of the dynamics governed by $`f`$ and $`g`$, with $`u`$ and $`v`$ being the “fast” and the “slow” variables, respectively 111This distinction is only legitimate when both $`u`$ and $`v`$ are $`O(1)`$. During a large excursion, it may no longer remain the case.. That is, on the time-scale of order 1 the dynamics of $`u`$ is governed by (1) with $`v`$ frozen. Therefore, in the absence of the noise, the trajectory quickly approaches the slow manifold defined by the solutions of $`f(u,v)=0`$ for fixed $`v`$, and then proceeds on the time scale $`\alpha ^1`$ along this slow manifold and into the globally attracting equilibrium point.

With the introduction of the noise, the situation changes. Indeed, the trajectory may escape the slow manifold in the $`u`$ direction via a noise-activated process on the Arrhenius time-scale $`\tau =\nu ^1\mathrm{exp}(\beta (v)/\epsilon )1`$, where $`\beta (v)`$ is some energy barrier to be crossed to initiate the escape and $`\nu `$ is some characteristic frequency Freidlin and Wentzell (1984). As a result, the system can perform a large excursion driven by the deterministic part of the dynamics, after which the trajectory can land again somewhere on the slow manifold. The dynamics can then proceed along the slow manifold until another escape event happens, and so on. This process may lead to a bona-fide limit cycle because of the following two ingredients. First, the interplay between the escape events and the motion along the slow manifold requires that their time-scales be comparable. But since the escape rate is a rapidly varying function of $`v`$, escape from the slow manifold will occur with overwhelming probability in the small vicinity of point $`v=v_{}`$ on this manifold, where $`v_{}`$ satisfies

$`\beta (v_{})=\epsilon \mathrm{log}\alpha ^1.`$ (3)
Here we assumed that $`\alpha ,\epsilon 0`$ in a way that $`\epsilon \mathrm{log}\alpha ^1`$ remains finite and neglected higher order terms. The next ingredient to obtain a limit cycle behavior is then a mechanism of reset. It requires that after a large excursion initiated from $`v_{}`$, the trajectory returns to the slow manifold to a point which leads again to $`v_{}`$ by the slow motion. Then the process will repeat itself indefinitely and the dynamics of the system will indeed be a limit cycle. Let us point out that the mechanism of escape at a fixed $`v_{}`$ is related to the phenomenon of stochastic resonance (for a review, see Gammaitoni et al. (1998)). Also note that the possibility of limit cycle behavior under the action of small noise in systems lacking such behavior in the absence of the noise was recently pointed out by Freidlin Freidlin (2001).

To demonstrate the feasibility of the scenario above, we will consider the Brusselator Nicolis and Prigogine (1977). This is a prototypical model of a system far from equilibrium in which the nonlinearities take on the following form

$`f=1+u^2v(1+A)u,g=Auu^2v.`$ (4)
Here $`u`$ and $`v`$ are scalars and $`A`$ is a control parameter. For simplicity we will assume that $`\eta `$ is external white Gaussian noise, with $`\eta (t)\eta (t^{})=\delta (tt^{})`$.

The Brusselator is an excitable system when $`\alpha 1`$ and $`A<1`$. This can be seen from its phase portrait shown in Fig. 1. When $`A<1`$, the nullclines of Eqs. (1) and (2) intersect on the stable branch of the $`u`$-nullcline, so the flow is always into the unique equilibrium point

$`u_0=1,v_0=A.`$ (5)
Note that the slow manifold here is the rising part of the $`u`$-nullcline (see Fig. 1). It is also clear from the figure that sufficiently large increases in the $`u`$ variable away from equilibrium will result in large excursions.

We performed numerical simulations of the stochastic differential equations given by Eqs. (1), (2), and (4). Fig. 2(a) shows the time series for one realization of the noise. This figure shows a train of large amplitude spikes in the excitatory variable. What is striking is that the spikes are occurring in an almost periodic fashion, with their amplitude and other characteristics being approximately the same. This can be better seen from the phase plane, Fig. 2(b). In fact, Fig. 2(b) strongly suggests a nearly limit cycle behavior in the $`u`$ and $`v`$ variables. To verify this, we computed the stationary probability distribution function (PDF) for this process (not shown). The PDF is found to be concentrated around a part of the slow manifold. One can also see a pronounced loop in the PDF for large values of $`u`$. Importantly, the PDF has a maximum at some value of $`v=v_{}<v_0`$. Let us point out that this result shows that our system lies beyond the region of applicability of the large deviations theory (if the latter were true, the PDF would be monotonically decreasing away from the equilibrium point Freidlin and Wentzell (1984)).

To further investigate the effect of the noise, we have analyzed the statistics of the interspike time intervals for different values of the noise amplitude $`\epsilon `$. For the purpose of this analysis, we defined as a spike any excursion with an amplitude $`u_{\mathrm{max}}10`$. Fig. 3 shows the mean interspike distance $`T`$ and its standard deviation $`\sigma _T`$ obtained from the numerical solution of Eqs. (1), (2) and (4) for different value of the amplitude of the noise. Also, in the inset we show the ratio $`\sigma _T/T`$ as a function of $`\epsilon `$, which characterizes the “signal-to-noise ratio” for the interspike distance.

First, observe that for very small $`\epsilon `$ the spikes are exceedingly rare and have the character of a Poisson process (see the inset). They represent rare large-amplitude fluctuations away from the equilibrium point. Then, at some critical value of $`\epsilon 0.02`$ the increase in the noise amplitude results in a rapid decrease in the interspike distance. Furthermore, the ratio $`\sigma _T/T`$ rapidly decreases and stays low in a broad range $`0.05\epsilon 0.5`$, signifying high degree of signal coherence (see Fig. 2). Let us emphasize that in this range $`T`$ shows significant dependence on $`\epsilon `$, while $`\sigma _T`$ does not (as seen from the errorbars). In other words, the noise amplitude really acts as a control parameter for the deterministic oscillatory behavior of the system. Finally, for larger noise amplitude, the spike train looses coherence again, since then the noise is no longer weak.

To explain these observations and corroborate the general scenario given above, let us consider the limit of strong time-scale separation. On the fast time-scale the value of $`v`$ is fixed, hence Eq. (1) describes the motion of a particle in the potential well of the form $`V(u)=\frac{1}{3}vu^3+\frac{1}{2}(1+A)u^2u`$. This is the classical escape problem of Kramers, for which the average escape time $`\tau `$ is given by the following formula Gardiner (1985)

$`\tau ={\displaystyle \frac{2\pi }{\sqrt{(1+A)^24v}}}\mathrm{exp}\left\{{\displaystyle \frac{[(1+A)^24v]^{3/2}}{3v^2\epsilon }}\right\}.`$ (6)
From this equation, we obtain explicitly $`\beta (v)=[(1+A)^24v]^{3/2}/3v^2`$. This $`\beta (v)`$ is inserted into Eq. (3), which fixes $`v_{}`$ as a function of $`\alpha `$ and $`\epsilon `$.

After the trajectory escapes the neighborhood of the stable nullcline at $`v=v_{}`$, it continues moving toward increasing values of $`u`$. At this point the effect of the noise becomes negligible. With the increase of $`u`$, the effective time-scale of $`v`$ decreases \[see Eq. (2)\], so when the system undergoes a large excursion, the time-scales of these two variables can no longer be separated. On the other hand, when $`u1`$ and $`v1`$, Eqs. (1) and (2) can be simplified by neglecting all the terms except $`u^2v`$. The resulting system of equations with the asymptotic boundary conditions $`u(\mathrm{})=0`$, $`v(\mathrm{})=v_{}`$ can be integrated to give $`v=v_{}\alpha u`$ and $`\dot{u}=u^2(v_{}\alpha u)`$. This equation can be solved exactly to give the transition layer for the rising part of the spike. It shows that in the spike $`u`$ rises to $`u_{\mathrm{max}}=\alpha ^1v_{}1`$ on the time-scale of $`\alpha 1`$, while $`v`$ approaches zero asymptotically. This is then followed by the fall of the trajectory onto the $`u`$-nullcline with fixed (small) $`v`$ on the slower time scale of order 1, see Eq. (1) with $`v=0`$ (a more precise layer analysis of the solution can be performed Lubashevskii et al. ).

Following the excursion, on the slow time-scale the trajectory moves along the $`u`$-nullcline, starting at $`v=0`$ (asymptotically). After a little algebra we obtain for the slow motion:

$`\dot{v}={\displaystyle \frac{2\alpha (Av)}{1+A2v+\sqrt{(1+A)^24v}}}.`$ (7)
From Eq. (7), $`\dot{v}>0`$ for $`0<v<v_0`$, so the trajectory will reach the point $`v=v_{}`$ on the $`u`$-nullcline in time $`T=T(v_{})`$, which can be explicitly calculated by integrating Eq. (7). Upon reaching $`v_{}`$, the trajectory jumps off from the nullcline and returns onto the $`u`$-nullcline at the point where $`v=0`$, thus completing the loop \[cf. Fig. 2(b)\]. In summary, we obtain a limit cycle whose amplitude and period are asymptotically determined by the value of $`v_{}`$, which is in turn a function of $`\alpha `$ and $`\epsilon `$.

Since the system spends most of the time on the slow manifold, asymptotically the period of the limit cycle will be equal to $`T(v_{})`$. This prediction can be compared with the mean interspike distance obtained from the simulations of Fig. 3. We found that the two are in qualitative agreement for $`0.05\epsilon 0.5`$, but $`T(v_{})`$ consistently underestimates the observed value of $`T`$ by a factor of about 1.5. This is not unexpected, since the small parameter of the asymptotics is $`1/\mathrm{ln}\alpha ^1`$, which in practice is not very small. We verified that the accuracy increases with decrease of $`\alpha `$.

The above analysis also predicts the existence of a critical amplitude of the noise for the establishment of the limit cycle behavior. Indeed, the attainable values of $`v`$ on the $`u`$-nullcline lie in the interval $`0<v<v_0`$. Therefore, the solution of Eq. (3) may lie in this interval only if $`\epsilon >\epsilon _c`$, where

$`\epsilon _c={\displaystyle \frac{(1A)^3}{3A^2\mathrm{log}\alpha ^1}}.`$ (8)
No limit cycle behavior is possible when $`\epsilon <\epsilon _c`$. As $`\epsilon `$ approaches $`\epsilon _c`$ from above, we have $`v_{}v_0`$, and $`T(v_{})\mathrm{}`$. Therefore, for fixed deterministic part of the dynamics there is a transition to a limit cycle behavior at a critical value of the amplitude of the noise. We verified that the predicted value of $`\epsilon _c`$ gives the correct order of magnitude for the onset of the oscillatory behavior.

Let us emphasize that the mechanism described above is robust: it does not require fine-tuning of the system’s parameters. This is in contrast with other mechanisms, by which noise can induce coherence (see, for example, Gang et al. (1993); Pikovsky and Kurths (1997); Osipov and Ponizovskaya (2000)). Those mechanisms require that in the absence of the noise the system is near the threshold between excitable and oscillatory behavior.

Now we discuss the potential implications of the observed phenomena. First of all, our results suggest that in systems with strong time-scale separation one should be careful in identifying the class of dynamical models for explaining the observations of oscillatory behaviors. Real systems are always noisy, and our analysis indicates that oscillatory behavior can be obtained in systems with intrinsically non-oscillatory dynamics. In particular, this may be relevant to the identification of cell types in model neural networks (see for example the discussions in Terman and Lee (1997); Vilar et al. (2002)). We note that the noise-induced transition similar to the one discussed in this Letter was recently observed in the numerical simulations of randomly forced Hodgkin-Huxley neuron Takahata et al. (2002).

Another possible implication has to do with coupled excitable systems. Our analysis indicates that in such systems the level of the noise, both extrinsic and intrinsic, may be used as an information carrier and transformed into (quasi-)deterministic signal. As a prototype, consider a system of all-to-all positively coupled excitable cells. Under the action of the noise of sufficiently small amplitude each cell will occasionally generate a spike. These spikes will have random phases, so their total input on each individual cell may average to a stationary random signal of low intensity. Now, if the noise level suddenly increases due to an external disturbance, the cells may switch to the noise-assisted oscillatory mode. This will further increase the effective noise amplitude, so that the oscillatory mode may persist even after the disturbance is removed. In colloquial terms, the system in a dormant state may wake up from the outside rattle.

In a similar way, our results may be applied to spatially distributed excitable media Mikhailov (1990). In these systems the analogue of the noise-activated event will be the formation of the radially-symmetric nucleus, leading to the consequent initiation of the radially-divergent wave Osipov and Muratov (1995); Muratov and Osipov (2001). In the wake of such a wave the system will undergo recovery. It is clear, then, that the system will be most recovered at the position where the wave was initiated. Hence, the new wave will be initiated again at the same spot, with the dynamics repeating periodically. This suggests that the well-known phenomenon of target pattern formation in two-dimensional excitable media Mikhailov (1990) might have an alternative interpretation in terms of noise-driven quasi-periodic wave generation.

C. B. M. is partially supported by NSF via grant DMS02-11864. E. V.-E. is partially supported by NSF via grants DMS01-01439, DMS02-09959 and DMS02-39625. W. E is partially supported by NSF via grant DMS01-30107.


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# The Physical Parameters and Excitation of Jets and Knots in PNe

## 1. Introduction

Our study is based on a sample of PNe with high quality images that allow us to separate the properties of jets/knots from those of the main components. Previous studies (Balick et al. 1994; Hajian et al. 1997) have attempted to access the nature of FLIERs (fast, low-ionization, emission regions) with similar analyses. We are now trying to extend the work to a larger sample of LIS (20 PNe), including not only FLIERs but also the other types of LIS. So far, we have analyzed only part of the sample and we describe our results here.

We obtained long-slit spectra of NGC 7009, NGC 6891, NGC 6543, and K 4-47 on August 2001 using the 2.5 m Isaac Newton Telescope at La Palma, Spain. We used the IDS, with a configuration such that the spectra cover the wavelength region from 3650 Å to 7000 Å, with spectral and spatial sampling of 3.3 Å pix-1 and 0.70′′ pix-1. The spectra were wavelength and flux calibrated, corrected for extinction, and then emission line intensities were measured allowing us to derive the physical parameters.

Note, from Table 1 of Gonçalves et al. (2001), that for most of the PNe in our sample good kinematical studies exist in the literature. They allow to compare the kinematical ages of the LIS with those of the main nebular shells, and in particular of the bright inner rims (created by the interaction of the AGB with the post-AGB winds). For two of the PNe (NGC 7009 and NGC 6891), the LIS and rims appear to be coeval; in NGC 6543 LIS are younger than the rim, and the pair of knots in K 4-47 is likely older than the nebular core. Generally, their orientations in space seems to coincide with the main axis of the axisymmetrical shells (‘polar’ flows), or a little tilted (by as much as 30 for those discussed here). With the exception of NGC 6891, the tips of all the other jets are located (in projection) outside the rim.

## 2. NGC 7009 and the Other PNe

In Table 1 we present the physical parameters ($`N_\mathrm{e}`$\[S ii\], $`N_\mathrm{e}`$\[Cl iii\], $`T_\mathrm{e}`$\[O iii\], $`T_\mathrm{e}`$\[N ii\], and $`T_\mathrm{e}`$\[S ii\]) for selected features of each PN. Note that “R” stands for rim, “S” for the shell attached to the rim, “J” for jet, “K” for knot, and “NEB” for the results associated with the emission integrated along the slit for the entire nebula. Position angles (P.A.) are also given in Table 1 (numbers that appear beside the PN or feature name).

NGC 7009: We selected six ‘microstructures’ in this PN (see Figure 2 of Gonçalves’s paper, this volume)— including the outer pair of knots (K1, K4), the pair of jets (J1, J2), the inner pair of knots (K2, K3), in addition to the rim (R1, R2). Our main results are: i) the electron temperature throughout the nebula is remarkably constant, $`T_\mathrm{e}`$\[O iii\]= 10 200 K; ii) the bright inner rim and inner pair of knots have similar densities of $`N_\mathrm{e}`$ 6000 cm-3, whereas a much lower density of $``$1500 cm-3 is derived for the outer knots and for the jets; iii) all the regions (rim, inner knots, jets and outer knots) are mainly radiatively excited; and iv) there are no clear abundance changes across the nebula for He, O, Ne, or S. There is a marginal evidence for an overabundance of nitrogen in the outer knots (ansae), but the inner ones (caps) and the rim have similar N/H values that are at variance with previous results.

The derived values for $`T_\mathrm{e}`$, $`N_\mathrm{e}`$ and the abundances of the whole nebula (see NEB column in Table 1) are in fair agreement with previous determinations (Hyung & Aller 1995; Rubin et al. 2002). The properties of each region are more difficult to compare with other works because there are no previous studies of this PN which make such a detailed study of individual features of NGC 7009. But, again, for the positions for which these parameters are available, there is at least a marginal agreement with our values (Bohigas et al. 1994; Balick et al. 1994).

The fact that none of NGC 7009’s features is shock-excited put in doubt the nature of its pair of jets. Are these real jets that are expanding supersonically through the halo? The failure to find evidence for shock excitation in the outer knots and jets might simply reflect their moderate velocities or, as discussed by Gonçalves et al. (2003), be in contradiction with the model predictions. However, very recently, two groups of researchers have studied in detail the kinematics of this PN and both find that the jets are indeed supersonic features (Fernández et al. 2003; F. Sabbadin, private communication).

NGC 6543: At variance with the other PNe in the sample, the electron temperatures of its jet are higher than those of the inner nebula, at least the \[S II\] temperature 111$`T_e`$\[S ii\] is obtained from the $`I`$(6716Å+6731Å)/$`I`$(4069Å+4076Å) line ratio., whereas densities are lower or equal to those of the inner regions. None of the six selected features of this PN is dominated by shock excitation.

NGC 6891: Spectra were obtained at two position angles, 135 (along the jets) and 45 (from which we analyze the properties of the rim). Table 1 shows that densities and temperatures do not vary (within the errors) at the positions of the rim and the jets. As in the diagnostic diagrams discussed below, the emission of the rim and the jets is dominated by photoionization by the central star.

K 4-47: This is a particularly unusual PN, being mainly composed of an unresolved core and a pair of high velocity blobs, with important differences when compared to the other objects in the sample. First, note that its $`T_\mathrm{e}`$ are very much higher than those of the others, $`T_\mathrm{e}`$\[O iii\] always being above 16 000 K throughout the PN and reaching values as high as 24 000 K for K1. These temperatures indicate, by themselves, that associated emission should be contaminated or even dominated by shock excitation. If so, the temperature calculation itself would be doubtful. Second, the densities of the knots in K 4-47 are higher than in the core, in such a way that K1 has $`N_\mathrm{e}`$\[S ii\]=5400 cm-3, almost three times the density of the nebular core, while K2 is only 30% denser than the core. Third, the knots of this PN are the only structures in the whole sample that clearly show line ratios characteristics of shock excited emission (see next section).

## 3. Diagnostic Diagrams

We put in these diagrams the line emission ratios H$`\alpha `$/\[N II\](6548+6583) versus H$`\alpha `$/\[S II\](6716+6531) and \[O III\](4959+5007)/H$`\alpha `$ versus \[S II\](6716+6531)/H$`\alpha `$ (from Phillips & Cuesta 1999) for the different regions of a number of PNe with knots and jets (Figure 3 of Gonçalves’s paper, this volume, which contains the PNe discussed here, as well as some others whose data come from the literature). Note that the LIS in He 2-429 and He 1-1 (Guerrero et al. 1999) do not have peculiar velocities with respect to the PNe main bodies in which they are embedded and are useful for comparing their excitation properties with those of the high-velocity features.

These diagrams show that only certain features of K 4-47, KjPn 8, and M 2-48 show evidence for shock excitation. K 4-47 and M 2-48 share many properties with young PNe, such as M 1-16 (Schwarz 1992), being probably the youngest PN in the sample. So far, therefore, our search for the excitation mechanisms of LIS (jets/knots) indicate that in general high-velocity jets/knots in evolved PNe might not be shock excited any longer. Another important thing shown by these diagrams is that properties of the low-velocity features cannot be distinguished from those of the high-velocity ones.

Dopita (1997) and Miranda et al. (2000) have already called our attention to the fact that jets in PNe contain some contribution from shock excitation; however, the main excitation of these jets is radiative. In any case, very strong shocks, like those present in the jets of young stellar objects, clearly do not exist in PNe. Another important issue to investigate is whether the spatial resolution presently available is able to resolve the shocked regions from the generally photoionized extended nebular environment (M. Perinotto, private communication).

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