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# A self-regulating braking mechanism in black hole X-ray binaries

## 1. Introduction

Soft X-ray transients (SXT) are binaries where a low-mass secondary star transfers mass by Roche lobe overflow to the compact primary via an accretion disk. The primary can either be a neutron star or a black hole. For black hole binaries the outbursts mostly occur after extremely long quiescence intervals. These so-called X-ray novae are usually detected in X-rays during the outburst. But for several systems only one outburst is known, that means the recurrence time is longer than at least 30, maybe 50 years. A recent review by Charles (1998) on black holes in our galaxy gives a comprehensive description of the observations.

The evolution of the accretion disk and the triggering of an outburst can be understood and modelled in the same way as dwarf nova outbursts. The first investigations were made by Huang & Wheeler (1989) and Mineshige $ Wheeler (1989). Later detailed investigations by Cannizzo et al. (1995) and Cannizzo (1998, review 1999) including evaporation (in a simplified way) and the effects of irradiation focussed on modelling the exponential decline of the outburst. For the evolution of the disk during quiescence one feature, present also in dwarf nova disks but of minor role, is important in SXTs. It is necessary to have a truncated inner disk, otherwise the disk cannot be cool throughout. Such a geometrically thin cool disk results naturally from evaporation of the innermost disk region (Meyer & Meyer-Hofmeister 1994) into a corona/ADAF. Using the advection-dominated flow (ADAF) a number of quiescent black hole soft X-ray transients, A0620-00, V404 Cyg (Narayan et al. 1996, 1997), Nova Muscae (Esin et al. 1997) and GRO J1655-40 (Hameury et al. 1997) have been modelled successfully. The ADAF in the inner disk region together with the geometrically thin disk further out, the transition produced by evaporation, provides a consistent picture for the accretion disk in SXTs and allows to understand the outburst cycles. We computed the disk evolution consistently (as will be described later) and found a minimum mass transfer rate to trigger the instability. An important ingredient is that matter flows through the disk into the corona continuously.

A problem is posed by the very long recurrence times. observed. As the modelling of SXT disk evolution has shown (Meyer-Hofmeister & Meyer 2000) a spread in the rates of mass overflow from the companion will result in a spread of recurrence times. That means both, binaries with rare outbursts and systems with more frequent oubursts, should be found. But the observations indicate many more cases of extremely long recurrence time.

According to standard theory of binary evolution the Roche lobe overflow from the companion star is caused by loss of angular momentum through gravitational radiation or magnetic braking or by expansion of the companion during nuclear evolution off the main sequence. The question which mass transfer rates are expected in black hole SXTs was already addressed earlier. King et al. (1996) considered the transient behaviour in low mass X-ray binaries based on magnetic braking and/or gravitational radiation and pointed out that irradiation of the disk by the central source is important for neutron star binaries but absent in black hole systems.

The present investigation concerns the long recurrence times. The theoretical modelling explains the long or even extremely long recurrence times, but it is not understood why we observe mainly systems with very rare outbursts. Could there be any mechanism which influences the mass overflow from the companion star in a way that rare outbursts are favored? We make a suggestion for such a kind of “self-regulating braking”. We suggest that a circumbinary disk irradiated in outbursts has such an effect.

## 2. Modelling the outburst cycles of X-ray transients

The observations for X-ray novae in outburst and quiescence provide constraints for the theoretical modelling such as an estimate of the amount of matter accreted during the outburst, values of the accretion rate in quiescence from the ADAF model based spectral fits, the radius of the transition from the thin disk to the ADAF from the maximum velocity width of the accretion disk H$`\alpha `$ line (Kepler velocity) (for a review see Narayan et al. 1998).

The only free parameters for the disk evolution during quiescence are the mass overflow rate $`\dot{M}`$ and the viscosity parameter for the cool state $`\alpha _{cool}`$. A further ingredient is the amount of matter and its distribution in the disk right after the outburst. King & Ritter (1998) showed that irradiation can explain the long-lasting exponential outburst decline observed for X-ray transients. This results in a practically empty disk after the outburst. Therefore we assume that only little mass is left in the disk at the beginning of the new quiescence. In this case the disk evolution in quiescence and outburst can be studied separately. The accumulation of mass in the disk during the long quiescence and the question when o a new outburst is triggered does not depend on the foregoing outburst. Our computer code for the evolution of the disk in quiescence (Meyer-Hofmeister & Meyer 1999) includes a variable inner and outer disk edge (the inner edge determined by evaporation, the outer edge by conservation of angular momentum and the 3:1 resonance appropriate for systems with a low mass ratio (Whitehurst 1988, Lubow 1991)).

For the modelling of A0620-00 we took the standard viscosity value $`\alpha _{cool}`$= 0.05, used also for dwarf nova outburst modelling. (We point out that despite similarities in the outburst cycles of SXTs and WZ Sge stars a very small value of $`\alpha _{cool}`$ used for the modelling of the latter (Meyer-Hofmeister et al. 1998) cannot be adequate here, otherwise the total amount of matter in the SXT disk would be much too high.) That the modelling of A620-00 fits the observational constraints makes these results a promising description of SXT disk evolution. Following the method used there we also studied the evolution of the disks for binaries with different black hole mass and different mass overflow rates. Orbital periods of 4, 8 and 16 hours were considered. The period determines the size of the accretion disk. The computations for this range of parameters describe the variety of outburst behavior in the observed black hole X-ray binaries. One of the results of theoretical modelling is that about one half of the mass transferred from the companion star is accreted on to the black hole during quiescence and one half during the outburst (wind loss neglected). The fraction of accumulated mass to transferred mass decreases with increasing outburst recurrence time, but is surprisingly similar for different black hole masses. This fact is related to the evaporation efficiency which increases with black hole mass (Meyer-Hofmeister & Meyer 2000).

In Fig.1 we show the computed recurrence times. Given a black hole mass and orbital period (which determines the disk size, larger for longer periods) the outburst recurrence time decreases with increasing mass transfer rate. This behavior is expected because the critical surface density at which an outburst is triggered (for details see Meyer-Hofmeister & Meyer 1999) is reached later for a lower transfer rate. For very low rates the matter accumulation never reaches the critical surface density value and no outburst occurs. The difficulty to trigger an outburst for relatively low transfer rates is reflected in the steep increase of recurrence time.

The dependence of the evaporation on the black hole mass influences the location of the transition from disk to ADAF and therefore the mass flow and accumulation of matter. A larger black hole mass results in more evaporation and a higher mass transfer rate is needed to trigger an outburst after a given time interval, for example higher by a factor 2.5 for a disk around a $`8M_{}`$ than for a disk around a $`4M_{}`$ black hole, as can be seen from Fig. 1. But from Fig. 1 we see also that for a spread of $`\dot{M}`$ we would expect only very few systems with extremely long and many with shorter recurrence times. The same is true for a sample of SXTs with different black hole masses.

In Table 1 we give data for systems established as black hole transient sources. Charles (1998) discusses in detail all constraints and procedures for the derivation of the black hole masses and gives ranges of uncertainty. In other compilations for some systems narrower ranges are given (see also Tanaka & Shibazaki 1996, Chen et al. 1997, (Ritter & Kolb 1998). For three further candidates for black holes V4641 Sgr, J1858+2239 and MN Vel only few data are available.

For a remarkable number of black hole SXTs only one outburst was observed. Chen et al. (1997) discussed the properties of X-ray novae, the event distribution over 30 years, sky coverage and detection probability. A detection of an optical nova outburst prior to 1975 on archival plates as for A0620-00 (Nova Mon 1975) and GS2023+338 (Nova Cyg 1989) vis difficult because of the low appearant luminosity (see discussion in Romani 1998). But even if an outbursts would have been missed, the question arises why we find such long recurrence times. In our theoretical picture this means the mass transfer rates would have to be the marginal ones, and different for different black hole masses. This seems implausible if not these rates were adjusted in some way to cause the long recurrence times.

## 3. Magnetic braking, mass overflow rates and resulting recurrence times

The problem posed by the observed extremely long recurrence times brings us to an interesting question: what causes the mass transfer rates? In Fig. 2 we show the mass transfer rates resulting from different angular momentum loss mechanisms. If the secondary would be a main sequence star the rates from magnetic braking would clearly be higher than the estimates from observation for SXTs (compare Tanaka & Shabazaki 1996). But King et al. (1996) had already argued that the radius of the secondary star in black hole binaries must be larger than its main sequence radius if it is to fill its Roche lobe. We therefore give here the transfer rates for half of the main sequence star mass (following King et al. 1996). The comparison of rates shows that the magnetic braking (reduced mass) could just give the rates necessary to produce outbursts. But if this mechanism determines the transfer rate we should also find many systems with shorter recurrence time.

## 4. An mechanism of self-adjusted braking

### 4.1. General properties of a self-adjusting braking mechanism

We search for a braking mechanism which establishes the mass transfer rates so that long recurrence times result, a kind of “adaptive braking procedure”. (We then assume that magnetic braking is not the dominant mechanism). If the outburst should occur every 30 or 50 years, or even more rarely, such a mechanism must work in the way that the recurrence time increases if the outbursts tend to appear more often and vice versa. We here discuss the braking by a circumbinary disk and the effect of irradiation during the outburst on this disk.

### 4.2. The circumbinary disk

Matter in a circumbinary disk might have remained from an earlier common envelope phase when binary stars with an extreme mass ratio evolve into a helium star and a low mass companion, or during the expected subsequent collapse of the helium star into a black hole (for recent work on black hole formation see e.g. Kalogera 1999). Fossil disks formed by fallback matter in supernova explosions have been discussed in connection with accretion on to anomalous X-ray pulsars( Perna et al. (2000) and are indicated by the observation of planets around a neutron star (Wolszczan 1994).

In the evolution of such disks mass is settling inward while angular momentum is transported outward. At the inner edge mass flow is halted by the tidal transfer of angular momentum from the interior binary which thereby is braked. The more mass piles up at the inner edge of the circumbinary disk the stronger is the braking of the binary orbit and the stronger is the induced mass transfer from secondary to primary.

There are now two effects that work in such a system in a way to let us see more soft X-ray transients in a phase of marginal mass transfer than in phases of higher transfer rates. One is the natural aging of the circumbinary disk, As it receives angular momentum from the inner binary it spreads viscously to larger and larger distances and its mass distribution flattens. This relieves the braking torque at its inner edge and leads to gradually decreasing inner binary transfer rates. The diffusive “aging” of such disks typically in power law decay with time (e.g. Meyer & Meyer-Hofmeister 1989) such that the duration of each phase is proportional to the age of the system at this phase. Therefore one finds ten times more systems with about marginal mass transfer rates than with ten times higher transfer rates.

### 4.3. Irradiation

The other effect is the irradiation of the circumbinary disk by X-rays during the outbursts of the inner binary (Fig. 3). This results in the formation of a hot corona with X-ray temperatures. At that distance from a primary black hole where the inner circumbinary disk finds itself, of the order of the binary separation, these temperatures are high enough to drive a wind with considerable mass loss. If outbursts occur significantly frequently such mass loss is enough to remove all matter from the inner circumbinary disk which is continuously settling inward.

Whether this mechanism constitutes an efficient self-regulating machine to bring soft X-ray transients always close to marginal mass transfer rates and long quiescent intervals depends on the strength of the mass loss rates during the outbursts. If a large amount of mass is lost during each outburst infrequent outbursts suffice to keep the braking rate low. We have performed estimates of the rate of mass loss by wind using a detailed analysis performed for Her X-1 (Schandl & Meyer 1994) as a guide line.

Irradiation is reduced by the foreshortened appearance of the flat X-ray radiating inner accretion disk and by possible shadowing through a scattering optically deep coronal layer in the inner region. The softer X-rays (1 keV) of the SXTs, on the other hand are more effectively photo-absorbed by metals than the harder ones (10 keV) of Her X-1 giving more efficient heating and higher pressure in the corona in comparison.

We have estimated the effects and calculated the wind loss from such an irradiation caused corona above the inner region of a circumbinary disk, at a characteristic distance of $`10^{11.6}`$cm from the inner black hole system, appropriate e.g. for A0620-00. Integrating over the X-ray light curve with an initial luminosity of $`10^{38}`$ erg/s exponentially decreasing on a timescale of 80 days we obtain a mass loss $`\mathrm{\Delta }M_\mathrm{w}`$ by wind from the circumbinary disk of

$$\mathrm{\Delta }M_\mathrm{w}=10^{25.7}\mathrm{g}$$

per outburst. If outbursts occur every 50 years this constitutes a mean mass removal rate of

$$\dot{M}_\mathrm{w}=10^{16.5}\mathrm{g}/\mathrm{s}$$

and correspondingly higher or lower for more or less frequent outbursts.

It can be shown that the removal of mass at such a rate reduces the braking efficiency of the circumbinary disk by very closely the amount whose braking effect would have induced a mass transfer rate from the secondary to the primary of the same amount. One can now see in Fig. 2 that this is of the right order of magnitude to efficiently affect the rate of occurrence of outbursts in these soft X-ray transients.

## 5. Conclusions

Our estimates for the rates of mass transfer from the companion star caused by braking by a circumbinary disk need confirmation by more accurate calculations. But they indicate that a circumbinary disk could explain why most of the observed soft X-ray transients appear to operate at marginal mass transfer rates. With a circumbinary disk providing most of the orbital braking these systems, as long as they are visible, will spend most of their time in phases where their braking without irradiation would produce mass transfer above but not an order of magnitude above the marginal rate. In these extended phases however, the irradiation produced wind loss will shift the actual braking rate very close to the marginal one, as observed.

This contribution is dedicated to Peter Eggleton on the occasion of his $`60^{th}`$ birthday in respect and gratitude for his so fundamental, rich, and fruitful work.

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# Relativistic Hartree-Bogoliubov Calculation of Specific Heat of the Inner Crust of Neutron Stars Talk presented at the 3rd JAERI Symposium on Science of Hadrons under Extreme Conditions, January 2001.

## Abstract

We calculate the specific heat of the inner crust of neutron stars within a local-density approximation to an improved relativistic Hartree-Bogoliubov theory. Non-uniformness of the system enhances the specific heat in particular at low temperatures. The degree of enhancement is similar to that in the spherical phase of Elgarøy et al. We examine a schematic interpolation between the results of Broglia et al. adopting the Gogny force and ours based on the Lagrangian of the relativistic mean field model.

1Department of Physics, Kyushu University, Fukuoka 812-8581, Japan
2Department of Physics, Fukuoka University of Education,
Munakata, Fukuoka 811-4192, Japan

The inner crust of neutron stars, with densities ranging from the neutron drip density to that of the order of the saturation one, is a non-uniform system consisting of a Coulomb lattice of neutron-rich nuclei and a sea of free neutrons. This part conveys temperature drop due to neutrino emission in the core to the surface. The rate of the conveyance depends on the specific heat and the thickness of the inner crust. Since the former is sensitive to superfluidity, we study this non-uniform system as an application of the improved description of pairing correlation based on the RMF interaction, that is, a one-boson exchange interaction derived from the Lagrangian of the relativistic mean field (RMF) model. As a first step of this application, we adopt a local-density approximation and neglect possible non-spherical shapes of neutron-rich nuclei, in this talk. In this sense, this is a relativistic counterpart of Ref. and of the spherical part of Ref..

The first attempt to describe superfluidity in uniform infinite nuclear matter adopting the RMF interaction was done in Ref.; but its result was not very realistic in that the resulting pairing gap was too large. The reason can be ascribed to an unphysical behavior of the RMF interaction at high momenta: Repulsion is too strong. Note that repulsion also contributes positively to pairing gap at high momenta beyond a sign change of the gap function. Tanigawa and one of the present authors proposed a method to determine quantitatively a density-independent parameter to cut the momentum integration in the gap equation . Although a more natural way to modulate the high-momentum part smoothly was also developed later , the simple method in Ref. is enough for the present purpose since only the pairing gap at the Fermi surface at each density is necessary under a local-density approximation.

In order to describe the non-uniform system composed of a lattice of neutron-rich nuclei and a sea of free neutrons, we adopt the Wigner-Seitz (WS) approximation; each spherical cell contains at its center one nucleus permeated by free neutrons which dripped off from it. We parametrize the neutron density given by a density-dependent Hartree-Fock calculation  in terms of a Woods-Saxon shape,

$$\rho _n(r)=\frac{\rho _{0,n}}{1+\mathrm{exp}[(rR_n)/a_n]}+\rho _{\mathrm{ext},n},$$
(1)
as done in Ref.. We perform calculations at five representative densities conforming to this reference; the parameters entering into Eq.(1) and the radii of the WS cell are summarized in Table 1. Here we introduce a local-density approximation — assume uniform Fermi gas of neutrons at each spatial point. Then the local Fermi momentum is calculated from the local density given by Eq.(1) as

$$k_\mathrm{F}(r)=(3\pi ^2\rho _n(r))^{1/3}.$$
(2)
Its profile in each WS cell is shown in the left panel of Fig.1. This determines the profile of pairing gap since the gap in the uniform neutron matter can be calculated as a function of $`k_\mathrm{F}`$ by using the method of Ref. . (Note that the symmetric nuclear matter case was presented there.) The result is shown in the right panel. The local pairing gap shown there gives the local quasiparticle energy,

$$E(r,p)=((E(p)E(k_\mathrm{F}(r)))^2+\mathrm{\Delta }(r,p)^2)^{1/2},$$
(3)
with $`E(p)=(p^2+M^2)^{1/2}`$, $`M^{}`$ being the density-dependent effective neutron mass.

Now we are ready to calculate the specific heat of the system. The specific heat is calculated from the entropy,

$$S=2d^3r\frac{d^3p}{(2\pi )^3}\left\{f(r,p)\mathrm{ln}f(r,p)+[1f(r,p)]\mathrm{ln}[1f(r,p)]\right\},$$
(4)
as

$$C_{Vn}=T\frac{S}{T}|_V.$$
(5)
The phase-space distribution function in Eq.(4) is

$$f(r,p)=\frac{1}{1+\mathrm{exp}[E(r,p)/T]},$$
(6)
where the quasiparticle energy is given by Eq.(3). The final expression is

$$C_{Vn}=\frac{1}{\pi TV_{\mathrm{ws}}}_{V_{\mathrm{ws}}}𝑑rr^2𝑑pp^2\frac{E(r,p)}{\mathrm{cosh}^2[E(r,p)/2T]}\left[\frac{E(r,p)}{T}\frac{dE}{dT}\right].$$
(7)
The spatial integration is performed over each WS cell and the momentum integration is done up to $`\mathrm{\Lambda }`$ = 3.60 fm-1 determined in Ref. to give physical pairing gaps. Note that the temperature dependence of the quasiparticle energy is neglected because only low temperatures are of interest in the present study. In addition to neutrons, degenerate electron gas gives a comparable contribution,

$$C_{Ve}=\frac{1}{3}k_\mathrm{F}^2(m^2+k_\mathrm{F}^2)^{1/2}T,$$
(8)
while that from protons is negligible. Then the total specific heat is given by

$$C_{V\mathrm{tot}}=C_{Vn}+C_{Ve}.$$
(9)
The effect of non-uniformness can be seen by comparing the left (showing $`C_{Vn}`$ for uniform matter) and the center (for non-uniform) panels of Fig.2. One characteristic is that density dependence is weak in the non-uniform system. This is brought about by a density-dependent increase of $`C_{Vn}`$. The reason why non-uniformness increases it can be inferred from an expression obtained by a weak-coupling approximation for the uniform system ,

$$\frac{C_{Vn}}{T}\left(\frac{\mathrm{\Delta }_0}{T}\right)^{5/2}\mathrm{exp}\left(\frac{\mathrm{\Delta }_0}{T}\right),$$
(10)
with $`\mathrm{\Delta }_0`$ being the uniform gap. This is a decreasing function of $`\mathrm{\Delta }_0/T`$ at low temperatures, $`\mathrm{\Delta }_0/T>`$ 5/2, and consequently leads to $`C_{Vn}(\mathrm{normal})>C_{Vn}(\mathrm{super})`$. Since non-uniformness produces a region where the gap is small, it results in an increase of $`C_{Vn}`$. This effect is conspicuous in particular at lower temperatures because a small variation in $`\mathrm{\Delta }_0`$ leads to a large one in $`\mathrm{\Delta }_0/T`$. Conversely, difference in $`\mathrm{\Delta }_0`$ is not important at high temperatures.

Since the contribution from electrons is of the same order (the right panel of Fig.2) as that from the non-uniform neutrons, the enhancement of $`C_{V\mathrm{tot}}`$,

$$\frac{C_{V\mathrm{tot}}(\mathrm{nu})}{C_{V\mathrm{tot}}(\mathrm{u})}=\frac{C_{Vn}(\mathrm{nu})+C_{Ve}}{C_{Vn}(\mathrm{u})+C_{Ve}},$$
(11)
where “nu” and “u” stand for non-uniform and uniform, respectively, is factor 3 – 4 as shown in Fig.3. Comparing this to Fig.3 in Ref. highlights the difference at low temperatures. The consideration above indicates that the difference originates from the region where pairing gap is small — the interior region of the nucleus at the center of the WS cell. Actually, although the Gogny force adopted in Ref. is known to provide us with pairing properties similar to those given by bare interactions at low densities , there is a big difference at high densities — superfluid phase survives up to much above the saturation density (see Fig.5.4 of Ref., for example). In contrast, our cutoff parameter in the RMF description was determined so as to reproduce the pairing properties given by the Bonn-B potential and accordingly pairing gap closes at around the saturation density. This makes the gap in the interior region vanish. In Ref., the non-relativistic version of the Bonn-A potential was adopted, and the results for $`\rho /\rho _0`$ = 0.058 and 0.176 in the spherical phase were also presented. Our results resemble theirs. Here one comment is in order on the double-counting problem of short-range correlations which arises when effective interactions are adopted in the gap equation. In principle this problem exists as pointed out in Ref., but an analysis in Ref. indicates that it is not serious practically.

Since the essential difference between Ref. and ours is the gap in the interior region as mentioned above, we examine a schematic interpolation between the two models; we vary the gap in this region by hand as shown in the left panel of Fig.4 for density (b). The resulting specific heats are presented in the center panel. Clearly $`C_{Vn}`$ approaches to that in Ref. (see Fig.2 there) as the gap in the interior region is increased, and to that of the uniform matter by a further increase. Finally the total specific heats are shown in the right panel. This confirms that the vanishing gap in the interior region is the very cause of the enhancement of $`C_{V\mathrm{tot}}`$ at low temperatures.

Beyond this first-step calculation, two kinds of refinements are in order; one is to take into account non-spherical shapes of lattice nuclei in the high-density part of the inner crust, the other is the so-called proximity effect beyond the local-density approximation, that is, spread of the pair wave function. The former was examined in Refs. and shown to strengthen non-uniformness, whereas the latter was shown to weaken it .


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# Failed optical afterglows

## 1 Observations

Figure 1 shows magnitudes of the detected bursts and upper limits of failed optical afterglows (FOAs), all in the $`R`$ band, versus the time of observation. Filled and empty circles correspond to BeppoSAX and non–BeppoSAX bursts with detected optical afterglows, while arrows are upper limits.

The visual inspection of Figure 1 reveals a clear segregation of arrows from dots, the former being systematically fainter than the latter at comparable times. This impression is confirmed by the application of a bidimensional KS test (Press et al. 1992). The probability for the circles (empty $`+`$ filled) and the arrows being derived from the same parent distribution is $`P`$ 0.2 per cent.

This result shows that in most cases we failed to detect the optical afterglow not because the search was conducted without the necessary depth, but instead because the FOAs are indeed fainter than the detected ones. Yet, it is possible that FOAs are optically fainter because intrinsically less energetics at all wavelengths, or because they are more distant. In order to check this, we compared the X–ray and $`R`$ band flux densities of bursts with and without optical detection 12 hours after the burst event, finding that the X–ray fluxes of FOAs are not systematically fainter than the fluxes of afterglows with optical detection, indicating that FOAs are indeed optically poor and define a different population with respect to optically detected afterglows.

We have checked that local Galactic extinction does not play a crucial role by comparing the hydrogen column densities in the direction of detected afterglows with those in the direction of FOAs.

## 2 Intrinsic Absorption?

We have investigated the possibility that the difference between the two groups is due to absorption local to the burst. We can quantify in roughly 2 magnitudes the amount of average absorption in the $`R`$ band needed for more than half of the bursts to go undetected in the optical.

Can a typical molecular cloud produce such an absorption in more than half of the bursts? In order to answer this question we (Lazzati et al. 2001) have computed the average (i.e. over many line of sights) and the maximum absorption of known molecular clouds in our galaxy, taking into account that observations of bursts in the $`R`$ band actually correspond to light emitted at shorter wavelengths, where extinction is more effective. Since the redshifts of FOAs is obviously unknown, we have assumed $`z=1`$ for all of them.

Our results can be summarized as follows:

* If the burst is located at random within a molecular cloud, it will on average be absorbed with the mean value of the cloud absorption. In this case we found that only a few percent of the burst afterglows could be missed for this reason.
* If bursts are located in star forming regions, then they lie in the densest parts of the cloud, i.e. those with maximum absorption. In this case it is (albeit marginally) possible that up to 60 per cent of the bursts have optical afterglows sufficiently absorbed to have avoided detection. But consider that we have been very conservative in our procedure, because our results are based on considering upper limits on the optical flux, and peak absorption columns expected in giant molecular clouds.
* The latter assumptions may well be too conservative, if the dust is bound to evaporate when illuminated and heated by the powerful optical/UV flash of the gamma–ray burst (Waxman & Draine 2000) and by its X–ray radiation (Fruchter et al. 2000). This dust sublimation is suggested for a sample of burst afterglows (Vreeswijk et al. 1999, Galama & Wijers 2000), in which a very large hydrogen column density $`N_\mathrm{H}\stackrel{>}{}10^{22}`$ cm<sup>-2</sup>, as estimated by X–ray data, is associated with almost no optical extinction. The results can be understood only in terms of a dust to gas ratio $`100`$ times smaller than the Galactic average value. In turns, such low values of the dust to gas ratio can be explained only if the dust has been completely sublimated in the surroundings of the burst. Indeed the theoretical models mentioned above predict that dust can be destroyed by the burst emission out to a radius comparable to the dimension of a typical molecular cloud (up to a few tens of parsecs). If this is the case, the material responsible for absorption in FOAs is not the overdense cocoon surrounding the star forming region, but the cloud as a whole (or even less), and the discrepancy between the observed and measured value becomes extremely compelling.


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# Properties of Black Holes in Stellar Binary Systems

## 1. Introduction

During the 1980’s and 1990’s, optical radial velocity studies of stellar companions in quiescent X-ray binary systems in the Galaxy identified a group of compact objects that were more massive than the theoretical upper limit ($`3`$ M$``$) for the mass of a neutron star (see Charles 1998). It was noted that while in outburst, these “heavy” compact objects also lack the X-ray signatures of neutron stars, viz. pulsations or type I X-ray bursts. These cases eventually gained widespread recognition as “dynamically established black hole binaries”. The measured optical mass functions were combined with estimates for the binary mass ratio and inclination angle, which were also determined from optical studies of the companion stars, to yield black hole mass estimates in the range of 5–15 M$``$. Recent additions to this group include SAX J1819.3$``$2525 (Orosz et al. 2001), and XTE J1118+480 (McClintock et al. 2000). There are now 13 known X-ray binaries in which the compact object is very likely to be a black hole. During X-ray outbursts, the black-hole systems often exhibit composite spectra consisting of a $`1`$ keV thermal component and a broad power-law component that may extend well beyond 100 keV (see Tanaka & Lewin 1995). These spectral characteristics are often used to suggest that a particular source is a black hole “candidate” (BHC) when dynamical observations of the companion star are lacking, sometimes because of high extinction at optical/IR wavelengths.

Another important topic for quiescent X-ray binaries is whether the black hole systems are further distinguished (compared to neutron stars) by spectral characteristics that can only be understood as a consequence of a black hole’s event horizon (Narayan, Garcia, & McClintock 1997; Menou et al. 1999). The optical, UV, and X-ray energy distribution of quiescent black hole binaries is inconsistent with models for thermal emission from a disk with a low rate of mass transfer. The high-energy radiation also appears intrinsically fainter than that of quiescent neutron-stars (McClintock & Remillard 2000). The differences between black holes and neutron stars may then be explained as the inevitable thermalization of infall energy (i.e. crash) at the neutron star surface, in contrast with the flow of energy into a black hole’s event horizon. While the qualitative aspects of quiescent spectra in black hole binaries is quite intriguing, the application of detailed models remains controversial. The “Advection Dominated Accretion Flow” model (e.g. Narayan & Yi 1995) can account for many of the observed spectra, but issues of convective stability have ushered in the “Convection Dominated Accretion Flow” model (Ball, Narayan, & Quataert 2001). There are also alternative scenarios for explaining the “underluminous” spectra of quiescent disks, e.g. by via mass loss from the system (Blandford & Begelman 1999) or by invoking magnetic instabilities in a cool disk (Nayakshin 2000).

One undesirable consequence of low radiative efficiency in quiescent transients is the limited opportunity to study black holes by observing the detailed characteristics of the accreting matter near the event horizon. This perspective has encouraged renewed interest in X-ray outbursts, where the highest accretion rates are seen. Since the the launch of the Rossi X-ray Timing Explorer (RXTE) in 1995 December, we have witnessed historical contributions to scientific studies of black holes in active states of accretion. These efforts have brought new themes to the forefront of high-energy astrophysics, such as the application of General Relativity (GR) to black hole binaries. In the sections below, we review some of the ongoing efforts to use X-ray timing and spectroscopy to evaluate black hole mass and spin, to understand the physics of black hole accretion, and to determine the origins of relativistic jets in X-ray binary systems (i.e. the “microquasars”).

### 1.1. X-ray Spectra of Accreting Black Holes

The dedication of the RXTE Mission to studies of X-ray transients is reflected in the statistics (1996-2000) of monitoring programs for pointed observations: 81 exposures of GRO J1655$``$40 (1996-1998); 222 for 4U1630$``$47 (4 outbursts), 316 for XTE J1550$``$564 (3 maxima), and 618 for GRS 1915+105. The typical observation with the PCA (2-60 keV) and HEXTE (20-200 keV) instruments provides several million detections during a few ks with sub-ms time resolution. The All Sky Monitor (ASM) independently records X-ray intensities (2-12 keV) by scanning the celestial sphere several times per day.

Black hole binaries in states of active accretion usually show two spectral components with a large diversity in their relative strength. This is shown in Figure 1 for the case of GRO J1655$``$40 The “soft” X-ray component represents thermal emission ($`1`$ keV) from an accretion disk, while the power-law continuum in hard X-rays is commonly associated with inverse Compton scattering of ambient photons by energetic electrons. As the luminosity of GRO J1655$``$40 exceeds $``$0.2 $`L_{Edd}`$, the power-law becomes dominant and several types of quasi-periodic oscillations (QPO) are seen in the PCA power spectrum (see lower panels). The nature of this Compton emission, which is the dominant mechanism for radiative losses at the highest accretion rates, remains one of the fundamental mysteries of accretion energetics in black hole binaries.

At luminosities of roughly $`0.010.2L_{Edd}`$, the thermal component (accretion disk) usually dominates the spectrum. Such “soft state” or “high state” spectra have been modelled with a multi-temperature accretion disk (Shakura & Sunyaev 1973; Mitsuda et al. 1984) with an inner radius near the marginally stable orbit predicted by GR theory. Here, a weaker Compton component is usually present, but its origin and geometry are unknown. As the luminosity evolves, unexpected variations are seen in the apparent disk temperature and radius for many sources (e.g. Sobczak et al. 1999a). The interpretation of these results requires new disk models with more sophisticated treatment of effects due to GR and radiative transfer through the disk atmosphere (see 2.2 below).

We continue to learn about the importance of the hard X-ray power law, but its behavior is fraught with complications. When the spectral characteristics and evolution of all black hole binaries is considered, it is found that the power-law component has two inherently different types (Grove et al. 1998). The spectrum associated with the very high state (Fig. 1) has a photon index $``$2.5, and this component has been seen out to 1 MeV or higher without a cutoff in a few bright sources (Tomsick et al. 1999). A different power-law at lower luminosity (roughly $`L_x<0.01L_{Edd}`$), with a photon index $``$1.7 and an exponential cutoff near 100 keV, characterizes the “low-hard” state (e.g. Cyg X$``$1). Since the high-energy cutoff suggests a limit to the energy distribution of Compton electrons, it seems paradoxical that the low-hard state is associated with a steady type of radio jet (see below).

There are now considerable efforts underway (e.g. Hua, Kazanas & Cui 1999; Poutanen & Fabian 1999; Nowak et al. 1999). to deduce physical insights about the hard X-ray component by combining spectral analyses with variability measurements such as phase lags and coherence (vs. Fourier frequency) between different energy bands, as well as the properties of low-frequency QPOs. These oscillations can attain amplitudes as high as 30-40% of the average flux, e.g. at 1-5 Hz (Morgan, Remillard, & Greiner 1996; Cui et al. 1999).

Further insights can be gained by identifying repetitive patterns of correlated spectral and timing variations gained from the monitoring programs. Prior to RXTE is had been widely presumed that the emergent photon spectrum depends primarily on the black hole mass and the accretion rate. Then it was shown that the hard/soft state transition in Cyg X$``$1 involves almost no change in bolometric luminosity (Zhang et al. 1997). In a more general sense, it has been noted that almost all of the BHCs with persistent X-ray emission exhibit the same spectral states as X-ray transients, while extreme changes in mass accretion rate are only expected for the latter group (Wilms et al. 2001). Along the same lines, it has been shown that changes in luminosity in a single source, in different outbursts, may follow very different tracks in the way the energy divides between the accretion disk and power-law components. In the microquasar GRS 1915+105, a plot of the luminosity contributions from the disk vs. power-law components reveals two tracks: one branch shows luminosity changes occurring primarily in the disk, while an alternate track shows luminosity changes entirely diverted to the power-law. The latter track contains all of the observations in which there are low-frequency (0.5 to 15 Hz) QPOs (Muno, Morgan, & Remillard 1999). Even more complicated tracks are seen in the BHC XTE J1550$``$564 (Sobczak et al. 1999b). All of these results imply that there are primary factors that have received insufficient recognition in our descriptions of the energetics of black hole accretion. The dependent variables may include conditions in the outer disk, magneto-hydrodynamic turbulence, or the presence of jets.

## 2. Constraints on Black Hole Properties Using General Relativity

### 2.1. High-Frequency Quasi-Periodic Oscillations in X-rays

The X-ray sources GRS 1915+105 and GRO J1655$``$40 yielded the first detections of fast X-ray oscillations thought to be signatures of strong-field GR effects in the inner accretion disk. RXTE discovered a transient QPO in GRS 1915+105 at 67 Hz (Morgan, Remillard, & Greiner 1997). When detected, the QPO frequency appears fixed, despite variations in X-ray luminosity by a factor of 4. A QPO at 300 Hz in GRO J1655$``$40 (Remillard et al. 1999b) was seen during $``$6 observations that exhibit the highest levels of luminosity observed by RXTE from this source. The first evidence of a BHC with a fast QPO having variable frequency is found in the case of XTE J1550$``$564 (100-284 Hz; Remillard et al. 1999a; Homan et al. 2001). Additional high-frequency QPOs were found in the recurrent BHC transient 4U 1630$``$47 (184 Hz; Remillard et al. 1999c), and in XTE J1859+226 (150-187 Hz; Cui et al. 2000), again by combining power spectra over many PCA observations at high luminosity. Figure 2 illustrates these results. All of these QPOs have rms amplitudes in the range of 0.5% to 3.5% of the mean count rate.

Given those high frequencies and their display in X-rays, it is straightforward to hypothesize that the fast QPOs are produced in the inner accretion disk, near the black hole event horizon. Here, there are GR predictions of oscillations that do not exist in Newtonian gravity. The competing models for these oscillations incorporate GR effects at some level, and the QPO frequency then depends on both the mass and spin of the black hole, and possibly on the gas conditions or vertical structure of the inner disk. Some models invoke GR phenomena directly, suggesting that the QPOs represent the the last stable orbit (Shapiro & Teukolsky 1983), or “frame dragging” (i.e. Lense-Thirring precession; Merloni et al. 1999), or relativistic periastron precession (Stella, Vietri, & Morsink 1999). Other models suggest a more subtle interplay between GR and fluid dynamics, such as ”disko-seismic modes” (Perez et al. 1997; Ortega-Rodriguez & Wagoner 2000) or inertial-acoustic instabilities (Milsom & Taam 1997). To date, there is only one of the five sources (GRO J1655$``$40) for which the mass of the black hole ($`7`$ M$``$) is available from optical studies (Orosz & Bailyn 1997; Shahbaz et al. 1999). In this case the dimensionless spin parameter ($`a`$) could be as low as $`a=0`$ if the QPO signifies the last stable orbit ($`R6GM/c^2`$), while values closer to $`a=1`$ are deduced for several of the other models.

The possibility that one may constrain the mass and spin of an accreting black hole using high-frequency X-ray QPOs, which are independent of the usual systematic uncertainties about distance, inclination angle, and extinction, is surely a compelling theme for vigorous scientific analyses. However, there are many serious problems that must be addressed. All of the high-frequency QPOs appear to be stronger at higher photon energy, which resembles the X-ray power law, rather than the thermal component from the inner disk, where the QPOs are expected to originate. Therefore, detailed emissivity models are required for each type of GR oscillation, including considerations for the energetic electrons believed responsible for the X-ray power-law via inverse Compton emission. We have seen the first simulations of frame dragging oscillations and how they may survive against damping (Markovic & Lamb 1998). There are also more generalized considerations as to how these oscillations may be excited by the hydrodynamic turbulence in the accretion flow (Psaltis & Norman 2001). All of these crucial topics will continue to evolve in parallel with observational developments gained with RXTE.

### 2.2. Spectroscopic Inference of the Inner Radius of the Disk

Spectral analysis of the thermal component in the X-ray spectrum yields information on the radius and temperature of the inner disk, when the distance and binary inclination are well constrained, e.g. by optical and radio observations. If the accretion disk extends all the way in toward the event horizon, i.e. there are no shocks or transitions to radial accretion, then the disk is expected to terminate at the radius of the last stable orbit given by GR theory. Since the luminosity is dominated by the inner disk, there is an opportunity, in principle, to derive an absolute value for the inner disk radius and then to constrain the value of the black hole’s spin if the mass is known via binary dynamics. This is tantamount to a ”spectroscopic parallax” of the inner accretion disk.

Zhang, Cui, & Chen (1997) applied this technique to observations of microquasars, while estimating corrections for effects such as radiative transfer through the disk atmosphere and GR modifications on the structure and emissivity of the inner disk. The accuracy of these corrections was strongly questioned (Merloni, Fabian, & Ross 2000). There are also complications arising from unexplained changes in the apparent radius of the inner disk in several sources (Belloni et al. 1997; Sobczak et al. 1999b; Muno, Morgan, & Remillard 1999). Finally, a number of black hole accretion models specify structural elements that contradict the assumption of an idealized accretion disk that extends all the way to the event horizon (e.g. Chakrabarti 1996; Titarchuk, Lapidus, & Muslimov 1998).

Despite these problems, there may eventually be useful ways to derive constraints on black hole mass and spin from X-ray spectroscopy. Progress will depend, in part, on improved accretion disk models. One strategy might be to select only the spectra that exhibit a dominance of the thermal component, with perhaps an additional selection for minimal variability displayed in the power spectrum. It is also conceivable that accretion models could gain important diagnostic support from X-ray line spectroscopy, if observations from the Chandra Observatory or an anticipated re-flight of the Astro-E calorimeter establish broad Fe lines in the spectra of black hole binaries.

## 3.  The Disk-Jet Connection

Since 1994, radio astronomers have discovered a handful of Galactic X-ray binaries that produce transient radio jets traveling at velocities $`0.9`$c (Mirabel & Rodgriques 1999). These sources are referred to as “microquasars”, since they appear to be scaled-down versions of the jets in AGN. Interest in microquasars is heightened by the opportunity to observe the formation and evolution of mass ejections on timescales of seconds to days, while such processes take years to millennia in quasars. Theoretical arguments favor magnetic fields as the mechanism that collimates and accelerates the ejecta. The outflow energy may originate in the spin of the black hole and/or the accretion energy in the disk (see Blandford 2000). In some microquasars, one may study the jets with knowledge of the black hole mass, which is constrained via optical studies of the mass-donor companion star.

One may describe microquasar jets as occurring in at least 4 types: explosive bipolar ejections at relativistic speed; weaker oscillatory ejections at regular intervals ($`30`$ min); very weak radio flares that preceed X-ray flares, and steady jets which may persist from days to months. It can be argued that GRS 1915+105 and Cyg X$``$3 are the prototypical microquasars for their recurrent production of jets of more than one type. The X-ray (ASM) and radio (Greenbank Interferometer) light curves for these sources are shown in Figure 3.

In the case of GRS 1915+105, the ”superluminal” ejections seen with the VLA and MERLIN (Mirabel & Rodriguez 1994; Fender et al. 1999a) typically reach maxima of 0.5–2.0 Jy at 2.25 GHz. Even stronger events are seen in Cyg X$``$3 (e.g. Newell et al, 1998). And in the case of V4641 Sgr (Hjellming et al. 2000), a dynamical black hole binary with an evolved A star companion (Orosz et al. 2001), the fast-moving, single-sided jet implies ejection at 0.99 c. The X-ray behavior associated with these rare events is not known. However, weaker ejections (0.01–0.10 Jy) may appear as series of radio flares that repeat every $`30`$ min (Fender & Pooley 1998; Eikenberry et al. 1998; Fender & Pooley 2000). These oscillatory ejections have brought important lessons about the crucial role of X-ray monitors in understanding the jet formation process. There are smooth IR and radio flares (to 0.02 Jy at 2.25 GHz) that represent successively delayed peaks in synchrotron emission associated with the expansion of an ejected plasma cloud. The X-ray light curve is far more complex, and yet the wild patterns also repeat every 30 min! Eikenberry et al. (1998) found similar sequences of X-ray dips, flashes, and bright flares preceeding all 6 IR flares observed at both wavelengths. Spectral analysis of the X-ray dip indicates evolution from a small, hot disk to a much cooler one with larger inner radius (Belloni et al. 1997). The conclusion is that the emergence of the jet is a consequence of the rapid disappearance and followup replenishment of the inner accretion disk.

There are also reports of weaker, isolated radio or IR flares that preceed X-ray flares (Eikenberry et al. 1999; Feroci et al. 1999). These are interpreted as small ejections that arise from ”outside-in” instabilities, or waves that fuel a small jet before reaching the innermost region of the accretion disk.

Finally, there has been substantial recent progress in demonstrating the presence of a steady type of jet associated with the ”low-hard” X-ray state seen in many X-ray binaries. Radio monitoring and ASM observations of GX 339$``$4 have revealed positive correlations during the X-ray hard state, with the radio flux becoming quenched as GX 339$``$4 transits to its soft state (Hannikainen et al. 1998; Corbel et al. 2000). The radio emission is consistent with optically-thick synchrotron emission of extent $`>10^{12}`$ cm (Wilms et al. 1999). A clear association of the hard state with a steady type of jet was gained by Fender et al. (1999b), with the detection of extended radio structure during the hard state. Simultaneous RXTE observations indicate an X-ray power law ($`Gamma1.7`$) that is consistent with Comptonization via a 50-100 keV corona with radius approximately $`<100GM/c^2`$.

There are also VLBI images of a jet associated with steady X-ray and radio emission in the case of GRS 1915+105 (Dhawan, Mirabel, & Rodriguez 2000). Here the jet is visible on all dimensions between 10 and 500 AU! In addition, steady-jet properties are seen in the low-hard state of Cyg X$``$1 (Pooley, Fender, & Brocksopp 1999; Brocksopp et al. 1999). All of these results are focusing efforts to relate the ($`Gamma1.7`$) type of power law to Compton scattering at the base of a steady jet. As might be expected, however, the detailed changes in X-ray characteristics as a function of radio flux within the low-hard state appear to be quite complicated (Muno, Remillard, & Morgan 2001).

In closing, it must be noted that the classical work to determine binary parameters and stellar constituents for the Galactic black hole systems remains a core component of this science. Confronting the high-energy phenomenology of these systems requires the knowledge and context provided by measurements of the binary system, and any practical prospects for gaining evaluations of black hole spin require the mass measurements derived from binary dynamics. As we continue to pursue all of the science of black hole mass and spin and the jets that propel matter at relativistic speeds directly from the gravitational jaws of these black holes, it is essential that we maintain a vigorous program of ground-based observations for the same X-ray transients that are studied from space.

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text:
# Cauchy Horizon Stability and Cosmic Censorship

## Abstract

Some interesting consequences of spacelike matter shells are presented, in particular the possibility of travelling through Cauchy horizons and violating the strong cosmic censorship hypothesis. These show that the weak energy condition does not guarentee cosmic censorship.

The ability to predict the future from given initial conditions might seem like an essential requirement for a classical theory of physics, but this remains an open issue in General Relativity whilst the conditions needed for cosmic censorship are not known. The situation could be resolved by finding some property of realistic matter which prevents the formation of naked singularities. In this letter we examine this question by looking at violations of cosmic censorship inside black holes.

The form of the strong cosmic censorship conjecture which we use is that ‘every generic, inextendible space-time containing physically reasonable matter is globally hyperbolic’ . This form of the conjecture seems to be difficult to violate. If we take the charged black hole solution, for example, this is extendable beyond the globally hyperbolic region by the usual coordinate construction, but it is not considered generic because the Cauchy horizon is not stable to linear perturbations.

The instability of the Cauchy horizon has a simple physical explanation originally due to Penrose . Incoming radiation ariving at the Cauchy horizon is blue shifted and the energy flux measured by an observer approaching the Cauchy horizon diverges .

A detailed analysis of black hole perturbations in spacetimes with a cosmological constant has shown that the stability of the Cauchy horizon can still be related to the energy flux. Stability depends on the values of the surface gravity at the Cauchy horizon $`\kappa _1`$, the event horizon $`\kappa _2`$ and the cosmological horizon $`\kappa _3`$. Stability requires $`\kappa _1<\kappa _3`$ and $`\kappa _1<\kappa _2`$. . (The second requirement was not appreciated before reference ).

None of the vacuum black hole spacetimes satisfy the stability requirements. We will consider the effect of adding matter, specifically spacelike shells, to the inside of the black hole. These spacelike shells are best thought of as transition layers separating different vacuum phases, where the phase transition is triggered by the high spacetime curvature inside the black hole . The shells can have internal stresses and carry currents, and generalise the bubble walls associated with broken symmetry phase transitions .

Similar forms of matter have appeared in the literature previously in connection with the limiting curvature hypothesis, the idea that quantum gravity effects may prevent spacetime curvature singularities . The spacelike shells allow the transformation of the black hole into a nonsingular wormhole. However, we shall consider only black holes with singularities.

The spacetime is shown in figure (1). The shell is placed at $`r_s`$ and the metric on either side of the shell is given by

$$ds^2=\frac{r^2}{\mathrm{\Delta }}dr^2+\frac{\mathrm{\Delta }}{r^2}dt^2+r^2\mathrm{\Omega }^2$$
(1)
where

$$\mathrm{\Delta }=2Mrr^2+Q^2\frac{1}{/}3\mathrm{\Lambda }r^4$$
(2)
For $`r<r_s`$, the parameters take on values $`M_1`$, $`Q_1`$ and $`\mathrm{\Lambda }_1`$ and for $`r>r_s`$, $`M_2`$, $`Q_2`$ and $`\mathrm{\Lambda }_2`$. Both $`\mathrm{\Lambda }_1`$ and $`\mathrm{\Lambda }_2`$ will be suposed fixed by the details of some phase transition. For simplicity, we will take $`Q_2=0`$. This would be the case, for example, if the charge $`Q_1`$ is associated with a gauge symmetry which is broken outside the shell.

Suppose that $`h_{ab}`$ is the metric induced in the shell and $`u_a`$ is a unit vector along the $`t`$ direction, then the stress-energy of the shell has the form

$$S_{ab}=p_su_au_b+p_{}(h_{ab}u_au_b).$$
(3)
The junction conditions imply that the metric is continuous and the extrinsic curvature satisfies,

$$\left[K_{ab}\right]=8\pi \left(S_{ab}\frac{1}{/}2h_{ab}S\right).$$
(4)
For the metric (1),

$`\left[\mathrm{\Delta }^{1/2}\right]`$ $`=`$ $`4\pi r^2p_s,`$ (5)
$`\left[r(\mathrm{\Delta }^{1/2})^{}\right]`$ $`=`$ $`8\pi r^2p_{}.`$ (6)
The junction conditions can be solved for $`M_1`$ and $`Q_1`$ as functions of the radius $`r_2`$ and the pressures $`p_s`$ and $`p_{}`$. Figure (2) shows contours of constant pressure $`p_{}`$ when $`p_s=0`$. As $`p_{}\mathrm{}`$, the solution approaches a line

$$Q^2Q_c^2=2r_2\left(MM_c\right)$$
(7)
where $`M_c=r_2\frac{2}{/}3\mathrm{\Lambda }_1r_2^2`$ and $`Q_c^2=r_2^2\mathrm{\Lambda }r_2^4`$ correspond to a black hole with coincident horizons.

The linear perturbation analysis of the black hole can be carried out on either side of the shell. The perturbations propagate as waves and undergo a constant redshift at the shell, leaving the same Cauchy horizon stabilty conditions on the surface gravity as before.

The Cauchy horizon lies inside the shell at $`r=r_1`$, where the surface gravity is given by $`\kappa _1=\mathrm{\Delta }^{}/(2r^2)`$. From (2), and the condition $`\mathrm{\Delta }(r_1)=0`$, one can obtain

$`M_1`$ $`=`$ $`\kappa _1r_1^2+r_1{\displaystyle \frac{2}{/}}3\mathrm{\Lambda }_1r_1^3`$ (8)
$`Q_1^2`$ $`=`$ $`2\kappa _1r_1^3+r_1^2\mathrm{\Lambda }_1r_1^4`$ (9)
Figure (3) shows contours of constant $`\kappa _1`$ in the $`(M_1,Q_1)`$ parameter space. The surface gravity vanishes at the point $`(M_c,Q_c)`$. Comparing this figure with figure (2), we see that if the pressure is sufficiently large, we can make the surface gravity arbitrarily small. In particular, we can satisfy the stability requirements $`\kappa _1<\kappa _2`$ and $`\kappa _1<\kappa _3`$ for the Cauchy horizon.

The stability of the shell itself can be analysed by taking the radius $`r_s`$ to be a function of the proper time along the shell, as described in reference . The junction conditions become

$`\left[K_{\theta \theta }\right]`$ $`=`$ $`4\pi r^2p_s`$ (10)
$`\left[\dot{K}_{\theta \theta }\right]`$ $`=`$ $`8\pi r\dot{r}p_{}`$ (11)
where $`K_{\theta \theta }=(r^2\dot{r}^2+\mathrm{\Delta })^{1/2}`$. If $`\delta p_s=c^2\delta p_{}`$, perturbations about the static shell satisfy

$$\left[\mathrm{\Delta }^{1/2}\right]\delta \ddot{r}+\left(\frac{1}{2}\left[r^1(\mathrm{\Delta }^{1/2}r^1\mathrm{\Delta }^{})^{}\right]\frac{2}{c^2}\left[r^1(r^2\mathrm{\Delta }^{1/2})^{}\right]\right)\delta r=0$$
(12)
We find neutral stability when $`p_s=0`$, whilst for $`0p_sp_{}`$ there exists a $`c_{max}`$ such that stability occurs for $`0<c<c_{max}`$.

The spacelike shells which we have considered have zero density and therefore when $`p_s0`$ they marginally satisfy the weak energy condition, $`\rho 0`$ and $`\rho +p0`$. We can infer that the weak energy condition does not imply strong cosmic censorship.

The spacelike shells considered by Frolov et al.  were specifically aimed at domonstrating the possibility of singularity avoidance in gravitational collapse by the creation of wormholes and for this the shell must have ‘exotic’ matter with $`p+\rho <0`$. Wormholes are not globally hyperbolic and violate the strong cosmic censoship principle. We find that spacelike shells which satisfy the weak energy condition can still violate cosmic censorship and produce naked singularities.

###### Acknowledgements.

We would like to thank Manolo Per for helpful discussions. WSG is supported by CONACYT (Mexico) grant number 116020.


text:
# How Traders enter the Market through the Book

## I Introduction

The dynamics of stockmarket oscillations is not yet completely understood. It is anyway clear that market price returns resemble the scaling laws characterizing physical systems dominated by the interaction of a large number of units. In  it is shown that, since the details of the circumstances governing the expectations and decisions of all the individuals are unknown to the modeler, the behavior of a large number of heterogeneous agents may best be formalized using a probabilistic setting, taking into account that the properties of macro variables are not necessarily identical to those of the corresponding micro variables .

In our model we introduce only one kind of trader, since we want the features of the time serie of the market price (of course a macro variable) to derive from the collective behavior of the agents (micro variable) competing for the same goal and sharing the same resources. The well-known adage *time is money* applies perfectly here: The way to success lies in picking the right price at the right moment. The book is the most suitable structure to take into account the joint effect of these two factors. The insertion of an order implies the storage of the desired price and orders are sorted according to their arrival time.

Every trader has a limited amount of money and a given propension towards investment. The simulation starts with the *Initial Public Offer* (IPO): All the shares belong to one agent, supposed to be the bank responsible of the new emission. During this time, lasting until the bank does not own any share more, traders are encouraged to buy: The buying list becomes longer and longer and agents get the shares at the IPO price, the price decided by the bank for the emission. Some people may want to sell shares before the end of this phase, but the occurrence of such an event is unlikely, since they ask a price bigger than the bank (this is the soul of speculation).

The bank cannot operate on the market when this transient is finished; who owns shares want to sell them for a higher price and agents without shares want to buy them at a fair price. Of course the meaning of *fairness* is very different for buyers and sellers and this price formation represents one of the key aspect of the model. Every trader, when willing to buy, has to identify the price according to past trends, opinion of the media and indications coming from competitors. The price coming out in the order is a weighted sum of the previous. The quality of an investment has to take into account the involved time, too. That is why agents are also characterized by a threshold, a kind of critical age of the share: They do not want to own it for a longer time than what is justified by the money brought from the investment.

## II Building the Book

All the simulations presented here have been performed considering $`N`$ traders trading just $`1`$ stock with $`M`$ shares on a common market. A detailed description of the data structure for the *type\_trader* is given in Appendix. Here we comment only part of the field in that record. The algorithm is carried out in the following way: At each time step a trader is randomly selected and, according to the parameter *investment\_inclination* the decision whether he/she will trade or not is taken. In this way we model the difference between intraday speculators and people who do not like to perform too many operations.

Through the parameter *neighbours\[\]* we model the herding behavior, since agents share some information with acquaintances. To the same aim we have introduced *memory\[\]*: The noise trader philosophy concerns with the analysis of past values of the market price looking for trends. These values are not constant, since not all the people have the same attitude to ask others for opinions and the amount of information they can consult about the stock varies from agent to agent, too.

Suppose now that the selected trader really wants to trade, namely he/she wants to sell (buy) some shares. In this case a new entry in the book list has to be created. Orders are stored according to the type (buy or sell), to the price and to the submission time. At every time step, after the trader’s query, we also check the book state, looking for the occurrence of a transaction: It happens every time that the cheapest price among the sell list equals the most expensive offer in the buying list and this defines the market price in that moment.

When formulating the price $`p`$ for the order, every trader performs a weighted average over the following values:

* $`p\mathrm{\_}acq`$, the target price averaged over all the acquanintances of the given agent.
* $`p\mathrm{\_}bro`$, the target price broadcasted by the media.
* $`p\mathrm{\_}tre`$, the expected price due to the actual trend, formulated taking into account the trend over the past *MEM* prices.

The value of $`p\mathrm{\_}bro`$ is generated considering the last market price $`p\mathrm{\_}las`$ and comparing the current ratio between the number of buyers and the number of sellers in the book ($`b\mathrm{\_}unb`$ stands for book unbalance) with the parameter $`B`$ (unbalance of the book), in the following way: $`p\mathrm{\_}bro=p\mathrm{\_}las(1+g_{max})`$ if $`b\mathrm{\_}unb>B`$, $`p\mathrm{\_}bro=p\mathrm{\_}bro`$ if $`\frac{1}{B}<b\mathrm{\_}unb<B`$, $`p\mathrm{\_}bro=p\mathrm{\_}las(1g_{max})`$ if $`b\mathrm{\_}unb<\frac{1}{B}`$.

To get the fair price with which entering the market, every trader subtracts a given quantity to $`p`$, according to his/her *expected\_gain*. When querying an agents who is still waiting for the execution of a submitted order, he/she can also decide to change some parameter of it, considering the elapsed time and all the other information already discussed in this section.

In Tab.I we give an example of the first five levels of the book. We can see that orders are divided according to the type, namely buy or sell, and ordered on the basis of price (decreasing order for the buy side, increasing order for the sell side), time of arrival. Therefore the first line of the book contains the highest buying price and the cheapest selling price. Since the second value is bigger than the first, there is no chance for any transaction to occur. For more details we refer the reader to the Appendix, where the pseudo\_code for the algorithm is presented.

## III Getting the Market Price Time Series

The result of a typical simulation run is shown in Fig.1: We can clearly see the IPO phase lasting few hundreds of ticks, where the price remains constant because the bank offers the shares to the traders at a suggested value. After this transient, the pressure made from people without shares forces the price to raise. Letting the time evolve, one runs into a tranquil period, with a slowly oscillating price, since owners do not want to sell because they hope to get more money if the wait a little bit more and agents without shares want to buy at a lower price. This dynamical equilibrium is unstable and leads to a small burst whose effect is that the price increases to a more suitable value for owners. A rally is usually followed by a crash (a kind of settlement), as reported in  under the name of *on-off intermittency*, an aperiodic switching between static, or laminar, behavior and chaotic bursts of oscillations. On the other hand a rally usually follows a crash, what is happening in the last part of Fig.1.

In Fig.2 we have plotted the corresponding volumes of Fig.1. The correlation between the total amount of exchanged shares and the price variations is clear. It becomes particularly evident in the last part of the graph, where the big crash occurs: A lot of people would like to sell shares, but they can do that only subject to a cheapest request; as the price starts to decrease some agents may sell as a consequence of their stop-loss constraints and this produces a further diminution of the market price, such that many of the buying orders can be performed. These new owners do not sell immedietely the shares and this helps to escape from the *panic selling phase*: The crash is finished and immediately followed by a rally period.

As already mentioned, universal characteristics exhibited by financial prices comprise a distribution with fat tails (events with a distance bigger than $`3\sigma `$ from the average return are not so uncommon as a Gaussian distribution would forecast) and a correlation in the volatility (alternation between tranquil and tumultuous periods). In Tab.II we report on the presence of a strong persistence in the volatility. This is done estimating the self-similarity parameter H  for raw and absolute returns (being the latters a measure of volatility). The behavior of our simulation is in total agreement with empirical results, as proved by H going from 0.52 to 0.85. A random walk shows no significant increase of H when switching from raw returns to absolutes ones.

Fat tails are detectable through the probability density function (PDF) of the returns. In Fig.3 we show the PDF of our simulated time series together with a gaussian distribution of returns having the same standard deviation. Extreme events happen with a higher frequency in the simulation, giving raise to the typically observed alternation between tranquil period, rally days and crashes.

We want now to discuss a problem found in evaluating the richness of traders. Every agent can possess cash money and shares. The value of the former is obvious, but concerning the latter some problem arises: If one has 100 shares, which is the equivalent amount of richness, the actual market value or maybe the original buying price? If the number of shares is small compared to the total volumes, then one can be almost surely able to sell them at the market price, but what happens if too many people want to do the same simultaneously? This problem is similar to the Taylor series, whose validity is limited to a small neighbourood of the central point. So, if we want to evaluate the richness of all the traders at a given time we have to cope with the following problem: Which value should we give to each share?

To illustrate it in more details, we can consider what happens if we evaluate the richness of a trader as given by the sum of the cash and the invested money, i.e. associating the original buying price to the shares. Considering the invested money as real money we suppose (without any reason) that the trader is able to sell the shares exactly at the buying price. As a consequence of this assumption, the virtual richness increases and decreases together with the market price, with a small delay. We call therefore virtual this richness. But how can we conciliate the fact that the market is a closed one with such a variability of the richness? The reason is the assumption about the value of the shares and we can easily prove that the virtual richness comes back to the starting value if and only if the market price comes back (and remains constant a sufficiently long period of time) to the IPO value in order to let all the people perform transactions at this market price. But evaluating the richness of a trader as the sum of cash plus number of shares time the IPO price we neglet all the dynamics of the market price. Furthermore when we decide to stop the simulation we impose an artificial behavior to our simulated market without any equivalence with the real life.

To solve this evaluating problem we should provide a mechanism that allow all the traders to sell the shares to a special *buy-back bank* exactly at the IPO price. Since the agents do not know when the end of the simulation will occur, they cannot take into account this buy-back procedure and if the market price is above (below) the IPO value, they will loose (gain) money without any reason. We will address this problem in a future work, for the moment we just wanted to point out the difficulties arising when trying to evaluate the richness in a financial market context.

## IV Conclusions

We have simulated a stockmarket through the costruction of the book for buying and selling orders. Our model is able to reproduce the two main characteristics of empirical data, namely correlated volatility and fat tails of the PDF of returns, with only one type of traders in competition with similar strategies, similar resources and similar whishes. They do not want to wait too much before they can have back the invested money plus a significant gain, they state clearly through the inserted orders which is the minimum gain they would like to get and up to which losses they can continue to play. Furthermore they do not invest all the money they have at disposal, since they want to use it in the most appropriate and less risky way. These conditions have been implemented thanks to the strategy of price formation and the broadcasting of advertisements, mechanisms with which we provide both a local and a global coupling, responsible of the good agreement with empirical data. The key aspect here is the interplay between time and money, namely between the price formation and the insertion of the order.

Pseudo-code

### -A Parameters

```
#define NUM_TRADER 1000
#define THRESHOLD 10000
#define NUM_MAX_NEIGHBOURS 10
#define NUM_MIN_NEIGHBOURS 1
#define GAIN_MIN 0.05
#define GAIN_MAX 0.15
#define LOSS_MIN 0.03
#define LOSS_MAX 0.10
#define INVESTMENT_INCLINATION_MIN 0.2
#define INVESTMENT_INCLINATION_MAX 0.5
#define NUM_STOCKS 5000
#define IPO_PRICE 10000
#define MINIMAL_RESOURCES 100000
#define TOTAL_ZIPF_RESOURCES 100000000
#define SIMULATION_TIME 1000000
#define MAX_MEMORY_LENGTH 50
#define BOOK_UNBALANCE 2
#define ZIPF1 0.2
#define ZIPF2 0.8

```

### -B Data structures and variables

```
struct type_news
{
  unsigned int target_price;
  char rating; /*1=buy 2=neutral 3=sell */
} news;

struct type_order
{
  int stocks;
  unsigned int price;
  unsigned int id;
  unsigned long tick;
  struct type_order *next;
} ;

struct type_order *buyers_book=NULL;
struct type_order *sellers_book=NULL;

struct type_trader
{
  unsigned long initial_resources;
  unsigned long total_resources;
  unsigned long invested_resources;
  double p_influence;
  unsigned int stocks;
  unsigned int neighbours[NUM_MAX_NEIGHBOURS];
  unsigned int num_neighbours;
  unsigned int memory[MAX_MEMORY_LENGTH];
  unsigned int memory_max;
  double personal_threshold;
  double investment_inclination;
  double liquidity_inclination;
  double expected_gain;
  double maximum_loss;
  unsigned int target_price;
  unsigned int stop_loss;
  char order_state;

} trader[NUM_TRADER];

```

### -C Data flow

#### -C1 Initialization of the traders

All the features of the traders are initialized randomly among the limits difined by the parameters. The resources are distributed according to the ZIPF’s Law. The meaning of the ZIPF’s parameters is that the `ZIPF1` of traders owns the `ZIPF2` of the total resources. Beside this, every trader is given `MINIMAL_RESOURCES` so that his/her `initial_resources` is not zero.

#### -C2 IPO-Phase (transient)

The *bank* responsible for the IPO is selected randomly among the traders:

```
IPO_TRADER=rand()*(NUMERO_TRADER-1)/RAND_MAX;
trader[IPO_TRADER].stocks=NUM_STOCKS;
saved_res=trader[IPO_TRADER].total_resources;
trader[IPO_TRADER].total_resources=0;
trader[IPO_TRADER].invested_resources=
NUM_STOCKS*IPO_PRICE;
sell_order(0,IPO_TRADER,NUM_STOCKS,IPO_PRICE);

```

News are broadcasted to convince traders to buy some shares:

```
news.target_price=IPO_PRICE*1.1;
news.rating=1;

```

Then the market evolution starts until the IPO-Phase is over:

```
while (trader[IPO_TRADER].stocks>0)
{
  ...

```

(This part is explained in the *Regime* section.)

```
}

```

At the end of the IPO-Phase the `news` are restored to more neutral positions:

```
news.target_price=IPO_PRICE;
news.rating=2;

```

and the initial condition of the ipo\_trader is restored

```
trader[IPO_TRADER].total_resources=saved_res;
trader[IPO_TRADER].initial_resources=saved_res;
trader[IPO_TRADER].invested_resources=0;

```

#### -C3 Regime

```
while (time<SIMULATION_TIME)
{
  time++;
  position=(double)rand()*(NUM_TRADER-1)/RAND_MAX;
  operativity(position);
  spread_control(0);
}

```

Here we describe the procedure `operativity`:

```
operativity(unsigned int pos)
{
  if (trader[pos].order_state==0)
  { /*no pending orders*/
    if (trader[pos].stocks==0)
    { /*no shares owned*/
      prob=(double)rand()/RAND_MAX;
      if (prob<trader[pos].investment_inclination)
      {
        price=price_formation(pos);
        trader[pos].target_price=price*
         (1+trader[pos].expected_gain);
        trader[pos].stop_loss=price*
         (1-trader[pos].maximum_loss);
        stocks=(trader[pos].liquidity_inclination*
         trader[pos].total_resources)/price;
        buy_order(time,pos,stocks,price);
      }
    }
    else
    { /*shares owned*/
      if (last_price<trader[pos].stop_loss)
      { /*stop loss application*/
        if (news.rating==3)
        {
          market_sell(pos);
        }
        else if (news.rating==1)
        {
          if (trader[pos].total_resources >
            trader[pos].liquidity_inclination*
             (trader[pos].total_resources+
              trader[pos].invested_resources))
          {
            average_buy(pos);
          }
        }
        else if (news.rating==2)
        {
          if (trader[pos].total_resources >
              trader[pos].liquidity_inclination*
              (trader[pos].total_resources+
               trader[pos].invested_resources))
          {
            average_buy(pos);
          }
          else
          {
            market_sell(pos);
          }
        }
      }
      else
      { /*insert sell order*/
        sell_order(time,pos,
         trader[pos].stocks,
         trader[pos].target_price);
      }
    }
  }
  else
  { /*pending order*/
    p1=search(sellers_book);
    if (p1)
    { /*pending selling order*/
      if (last_price<trader[pos].stop_loss)
      {
        remove_sell_order(p1);
      operativity(pos);
      }
      else if (time-p1->tick)>
      (THRESHOLD/personal_threshold)
      {
        price=price_formation(pos);
        price*=(1+trader[pos].expected_gain);
        if (price<trader[pos].target_price)
        {
          remove_sell_order(p1);
          sell_order(time,pos,
          trader[pos].stocks,price);
        }
      }
    }
    else
    {
      p1=search(buyers_book);
      if (p1)
      { /*pending buying order*/
        if (time-p1->tick)>
        (THRESHOLD/personal_threshold)
        {
          expense=p1->stocks*p1->price;
          price=p1->price;
          remove_buy_order(p1);
          prob=(double)rand()/RAND_MAX;
          if (prob<
           trader[pos].investment_inclination)
          {
            market_buy(pos,expense);
            trader[pos].target_price=
             (trader[pos].invested_resources/
             trader[pos].stocks)*
             (1+trader[pos].expected_gain);
            trader[pos].stop_loss=
             (trader[pos].invested_resources/
             trader[pos].stocks)*
             (1-trader[pos].maximum_loss);
           }
           else
           {
              price=(1+trader[pos].expected_
ΨΨΨ                           gain/2);
              stocks=expense/price;
              buy_order(time,pos,stocks,price);
           }
        }
      }
      else
      {
        printf("Error!
          No order in the books!\n");
        exit(1);
      }
    }
  }
}

```

```
unsigned int price_formation (unsigned int pos)
{
  p_acq=0;
  for (ii=0;ii<trader[pos].num_neighbours;ii++)
  {
    if (trader[trader[pos].neighbours[ii]]
       .target_price)
    {
      counter++;
      p_acq+=trader[trader[pos].neighbours[ii]]
        .target_price;
    }
  }
  p_acq/=counter;
  p_acq*=(1-trader[pos].expected_gain);
  counter=0;
  p_tre=0;
  for (ii=0;ii<trader[pos].memory_max;ii++)
  {
    if (trader[pos].memory[ii])
    {
      p_tre+=trader[pos].memory[ii];
      counter++;
    }
  }
  p_tre/=counter;
  p_bro=news.target_price*
    (1-trader[pos].expected_gain);

  price=a1*p_acq+a2*p_tre+a3*p_bro;
  return(price);
}

```

The procedures:

```
buy_order();
sell_order();
market_buy();
market_sell();
average_buy();
remove_buy_order();
remove_sell_order();

```

are used to insert orders in the book or remove them and are not reported because simply realized with list operations.

The procedure `spread_control()` has the purpose to check the book entries and compute the operations following a transaction, that is removing the entry in the book, updating the resources and the stocks owned by the trader, storing the last price and the volumes.

The procedure `search()` is used to find an order in the books.

News are generated according to the following rules:

```
evaluate_book();
if (buyers/sellers) > BOOK_UNBALANCE
{
  news.rating=1;
  news.target_price=
    last_price*(1+GAIN_MAX);
}
else if (sellers/buyers) > BOOK_UNBALANCE
{
  news.rating=3;
  news.target_price=
    last_price*(1-GAIN_MAX);
}
else
{
  news.rating=2;
}

```

The procedure `evaluate_book()` has the purpose to scan the book and return the buyers’ pressure and the sellers’ pressure, according to the number of orders and the number of shares involved.