On the integrated behaviour of non-stationary volatility in stock markets

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.Comment: 10 pages, 3 figures. Paper presented in the APFA 5 conferenc

On the integrated behaviour of non-stationary volatility in stock markets

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.Comment: 10 pages, 3 figures. Paper presented in the APFA 5 conferenc

On the dynamics of planetesimals embedded in turbulent protoplanetary discs with dead zones

(abridged) Accretion in protoplanetary discs is thought to be driven by [...] turbulence via the magnetorotational instability (MRI). Recent work has shown that a planetesimal swarm embedded in a fully turbulent disc is subject to strong excitation of the velocity dispersion, leading to collisional destruction of bodies with radii R_p < 100 km. Significant diffusion of planetesimal semimajor axes also arises, leading to large-scale spreading of the planetesimal population throughout the inner regions of the protoplanetary disc, in apparent contradiction of constraints provided by the distribution of asteroids within the asteroid belt. In this paper, we examine the dynamics of planetesimals embedded in vertically stratified turbulent discs, with and without dead zones. Our main aims are to examine the turbulent excitation of the velocity dispersion, and the radial diffusion, of planetesimals in these discs. We employ three dimensional MHD simulations [...], along with an equilibrium chemistry model [...] We find that planetesimals in fully turbulent discs develop large random velocities that will lead to collisional destruction/erosion for bodies with sizes below 100 km, and undergo radial diffusion on a scale \sim 2.5 au over a 5 Myr disc life time. But planetesimals in a dead zone experience a much reduced excitation of their random velocities, and equilibrium velocity dispersions lie between the disruption thresholds for weak and strong aggregates for sizes R_p < 100 km. We also find that radial diffusion occurs over a much reduced length scale \sim 0.25 au over the disc life time, this being consistent with solar system constraints. We conclude that planetesimal growth via mutual collisions between smaller bodies cannot occur in a fully turbulent disc. By contrast, a dead zone may provide a safe haven in which km-sized planetesimals can avoid mutual destruction through collisions.Comment: 18 pages, 13 figures, 3 tables, MNRAS in press, minor corrections to match the published versio

Dust flow in gas disks in the presence of embedded planets

We study the dynamics of gas and dust in a protoplanetary disk in the presence of embedded planets. We investigate the conditions for dust-gap formation in terms of particle size and planetary mass. We also monitor the amount of dust that is accreted by the planet relative to the amount of gas, which is an important parameter in determining the enrichment of solids in giant planets compared to the solid content of the central star. We use a new two-fluid hydrodynamics code to solve the flow equations for both gas and dust. For the gas, we use a Godunov-type scheme with an approximate Riemann solver (the Roe solver). The dust is treated as a pressureless fluid by essentially the same numerical method as is used for the gas. We find that it only takes a planet of 0.05 Jupiter masses to open up a gap in a disk with a significant population of mm-sized particles. Dust particles larger than 150 micron participate in gap formation. We also find that the formation of the gap severely slows down dust accretion compared to that in the gas. Therefore, it is not possible to enrich a newly formed giant planet in solids, if these solids are contained in particles with sizes from 150 micron to approximately 10 cm.Comment: 13 pages, 12 figures, accepted for publication in A&

On the dynamics of planetesimals embedded in turbulent protoplanetary discs

(abridged) Angular momentum transport and accretion in protoplanetary discs are generally believed to be driven by MHD turbulence via the magneto-rotational instability (MRI). The dynamics of solid bodies embedded in such discs (dust grains, boulders, planetesimals and planets) may be strongly affected by the turbulence, such that the formation pathways for planetary systems are determined in part by the strength and spatial distribution of the turbulent flow. We examine the dynamics of planetesimals, with radii between 1m \^a 10 km, embedded in turbulent protoplanetary discs, using three dimensional MHD simulations. The planetesimals experience gas drag and stochastic gravitational forces due to the turbulent disc. We use, and compare the results from, local shearing box simulations and global models in this study. The main aims of this work are to examine: the growth, and possible saturation, of the velocity dispersion of embedded planetesimals as a function of their size and disc parameters; the rate of radial migration and diffusion of planetesimals; the conditions under which the results from shearing box and global simulations agree. We find good agreement between local and global simulations when shearing boxes of dimension 4H x 16H x 2H are used (H being the local scale height). The magnitude of the density fluctuations obtained is sensitive to the box size, due to the excitation and propagation of spiral density waves. This affects the stochastic forcing experienced by planetesimals. [...] Our models show that fully developed MHD turbulence in protoplanetary discs would have a destructive effect on embedded planetesimals. Relatively low levels of turbulence are required for traditional models of planetesimal accretion to operate, this being consistent with the existence of a dead zone in protoplanetary discs.Comment: 23 pages, 28 figures, 3 tables, accepted for publication in MNRA

Global MHD simulations of stratified and turbulent protoplanetary discs. I. Model properties

We present the results of global 3-D MHD simulations of stratified and turbulent protoplanetary disc models. The aim of this work is to develop thin disc models capable of sustaining turbulence for long run times, which can be used for on-going studies of planet formation in turbulent discs. The results are obtained using two codes written in spherical coordinates: GLOBAL and NIRVANA. Both are time--explicit and use finite differences along with the Constrained Transport algorithm to evolve the equations of MHD. In the presence of a weak toroidal magnetic field, a thin protoplanetary disc in hydrostatic equilibrium is destabilised by the magnetorotational instability (MRI). When the resolution is large enough (25 vertical grid cells per scale height), the entire disc settles into a turbulent quasi steady-state after about 300 orbits. Angular momentum is transported outward such that the standard alpha parameter is roughly 4-6*10^{-3}. We find that the initial toroidal flux is expelled from the disc midplane and that the disc behaves essentially as a quasi-zero net flux disc for the remainder of the simulation. As in previous studies, the disc develops a dual structure composed of an MRI--driven turbulent core around its midplane, and a magnetised corona stable to the MRI near its surface. By varying disc parameters and boundary conditions, we show that these basic properties of the models are robust. The high resolution disc models we present in this paper achieve a quasi--steady state and sustain turbulence for hundreds of orbits. As such, they are ideally suited to the study of outstanding problems in planet formation such as disc--planet interactions and dust dynamics.Comment: 19 pages, 29 figures, accepted in Astronomy & Astrophysic

Turbulent transport and its effect on the dead zone in protoplanetary discs

Protostellar accretion discs have cool, dense midplanes where externally originating ionisation sources such as X-rays or cosmic rays are unable to penetrate. This suggests that for a wide range of radii, MHD turbulence can only be sustained in the surface layers where the ionisation fraction is sufficiently high. A dead zone is expected to exist near the midplane, such that active accretion only occurs near the upper and lower disc surfaces. Recent work, however, suggests that under suitable conditions the dead zone may be enlivened by turbulent transport of ions from the surface layers into the dense interior. In this paper we present a suite of simulations that examine where, and under which conditions, a dead zone can be enlivened by turbulent mixing. We use three-dimensional, multifluid shearing box MHD simulations, which include vertical stratification, ionisation chemistry, ohmic resistivity, and ionisation due to X-rays from the central protostar. We compare the results of the MHD simulations with a simple reaction-diffusion model. The simulations show that in the absence of gas-phase heavy metals, such as magnesium, turbulent mixing has essentially no effect on the dead zone. The addition of a relatively low abundance of magnesium, however, increases the recombination time and allows turbulent mixing of ions to enliven the dead zone completely beyond a distance of 5 AU from the central star, for our particular disc model. During the late stages of protoplanetary disc evolution, when small grains have been depleted and the disc surface density has decreased below its high initial value, the structure of the dead zone may be significantly altered by the action of turbulent transport.Comment: 20 pages, 11 figures, accepted for publication in A&A, high resolution pdf available at http://www.maths.qmul.ac.uk/~rpn/preprints/index.htm

Application of Zhangs Square Root Law and Herding to Financial Markets

We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We show that this model is equivalent to the so called 3/2-model of stochastic volatility. The description of the unconditional distribution for the absolute returns is in good agreement with the DAX independent whether one uses the square root or a conventional linear relation. Only the statistic of extreme events prefers the former. The description of the autocorrelations are in much better agreement for the square root law. The volatility clusters are described by a scaling law for the distribution of returns conditional to the value at the previous day in good agreement with the data.Comment: 25 pages, 3 figures, Late

The Heavy Element Composition of Disk Instability Planets Can Range From Sub- to Super-Nebular

Transit surveys combined with Doppler data have revealed a class of gas giant planets that are massive and highly enriched in heavy elements (e.g., HD149026b, GJ436b, and HAT-P-20b). It is tempting to consider these planets as validation of core accretion plus gas capture because it is often assumed that disk instability planets should be of nebular composition. We show in this paper, to the contrary, that gas giants that form by disk instability can have a variety of heavy element compositions, ranging from sub- to super-nebular values. High levels of enrichment can be achieved through one or multiple mechanisms, including enrichment at birth, planetesimal capture, and differentiation plus tidal stripping. As a result, the metallicity of an individual gas giant cannot be used to discriminate between gas giant formation modes.Comment: Accepted by Ap

Radiatively heated, protoplanetary discs with dead zones. I. Dust settling and thermal structure of discs around M stars

The irradiation of protoplanetary discs by central stars is the main heating mechanism for discs, resulting in their flared geometric structure. In a series of papers, we investigate the deep links between 2D self-consistent disc structure and planetary migration in irradiated discs, focusing particularly on those around M stars. In this first paper, we analyse the thermal structure of discs that are irradiated by an M star by solving the radiative transfer equation by means of a Monte Carlo code. Our simulations of irradiated hydrostatic discs are realistic and self-consistent in that they include dust settling with multiple grain sizes (N=15), the gravitational force of an embedded planet on the disc, and the presence of a dead zone (a region with very low levels of turbulence) within it. We show that dust settling drives the temperature of the mid-plane from an $r^{-3/5}$ distribution (well mixed dust models) toward an $r^{-3/4}$. The dead zone, meanwhile, leaves a dusty wall at its outer edge because dust settling in this region is enhanced compared to the active turbulent disc at larger disc radii. The disc heating produced by this irradiated wall provides a positive gradient region of the temperature in the dead zone in front of the wall. This is crucially important for slowing planetary migration because Lindblad torques are inversely proportional to the disc temperature. Furthermore, we show that low turbulence of the dead zone is self-consistently induced by dust settling, resulting in the Kelvin-Helmholtz instability (KHI). We show that the strength of turbulence arising from the KHI in the dead zone is $\alpha=10^{-5}$.Comment: 19 pages, 20 figures, 3 tables, accepted for publication in MNRA