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Generalized Random Energy Model at Complex Temperatures

Motivated by the Lee--Yang approach to phase transitions, we study the partition function of the Generalized Random Energy Model (GREM) at complex inverse temperature $β$. We compute the limiting log-partition function and describe the fluctuations of the partition function. For the GREM with $d$ levels, in total, there are $\frac 12 (d+1)(d+2)$ phases, each of which can symbolically be encoded as $G^{d_1}F^{d_2}E^{d_3}$ with $d_1,d_2,d_3\in\mathbb{N}_0$ such that $d_1+d_2+d_3=d$. In phase $G^{d_1}F^{d_2}E^{d_3}$, the first $d_1$ levels (counting from the root of the GREM tree) are in the glassy phase (G), the next $d_2$ levels are dominated by fluctuations (F), and the last $d_3$ levels are dominated by the expectation (E). Only the phases of the form $G^{d_1}E^{d_3}$ intersect the real $β$ axis. We describe the limiting distribution of the zeros of the partition function in the complex $β$ plane (= Fisher zeros). It turns out that the complex zeros densely touch the positive real axis at $d$ points at which the GREM is known to undergo phase transitions. Our results confirm rigorously and considerably extend the replica-method predictions from the physics literature.