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# Optical Observations of Type II Supernovae

## INTRODUCTION

Supernovae (SNe) occur in several spectroscopically distinct varieties; see reference avf97 , for example. Type I SNe are defined by the absence of obvious hydrogen in their optical spectra, except for possible contamination from superposed H II regions. SNe II all prominently exhibit hydrogen in their spectra, yet the strength and profile of the H$`\alpha `$ line vary widely among these objects.

The early-time ($`t1`$ week past maximum brightness) spectra of SNe are illustrated in Figure 1. \[Unless otherwise noted, the optical spectra illustrated here were obtained by my group, primarily with the 3-m Shane reflector at Lick Observatory. When referring to phase of evolution, the variables $`t`$ and $`\tau `$ denote time since maximum brightness (usually in the $`B`$ passband) and time since explosion, respectively.\] The lines are broad due to the high velocities of the ejecta, and most of them have P-Cygni profiles formed by resonant scattering above the photosphere. SNe Ia are characterized by a deep absorption trough around 6150 Å produced by blueshifted Si II $`\lambda `$6355. Members of the Ib and Ic subclasses do not show this line. The presence of moderately strong optical He I lines, especially He I $`\lambda `$5876, distinguishes SNe Ib from SNe Ic.

Figure 1: Early-time spectra of SNe, showing the main subtypes.

The late-time ($`t4`$ months) optical spectra of SNe provide additional constraints on the classification scheme (Figure 2). SNe Ia show blends of dozens of Fe emission lines, mixed with some Co lines. SNe Ib and Ic, on the other hand, have relatively unblended emission lines of intermediate-mass elements such as O and Ca. At this phase, SNe II are dominated by the strong H$`\alpha `$ emission line; in other respects, most of them spectroscopically resemble SNe Ib and Ic, but with narrower emission lines. The late-time spectra of SNe II show substantial heterogeneity, as do the early-time spectra.

To a first approximation, the light curves of SNe I are all broadly similar lei91a , while those of SNe II exhibit much dispersion pat93 . It is useful to subdivide the majority of early-time light curves of SNe II into two relatively distinct subclasses bar79 ; dog85 . The light curves of SNe II-L (“linear”) generally resemble those of SNe I, with a steep decline after maximum brightness followed by a slower exponential tail. In contrast, SNe II-P (“plateau”) remain within $`1`$ mag of maximum brightness for an extended period. The peak absolute magnitudes of SNe II-P show a very wide dispersion you89 , almost certainly due to differences in the radii of the progenitor stars. The light curve of SN 1987A, albeit unusual, was generically related to those of SNe II-P; the initial peak was very low because the progenitor was a blue supergiant, much smaller than a red supergiant arn89 . The remainder of this review concentrates on SNe II.

Figure 2: Late-time spectra of SNe. At even later phases, SN 1987A was dominated by strong emission lines of H$`\alpha `$, \[O I\], \[Ca II\], and the Ca II near-infrared triplet.

## SUBCLASSES OF TYPE II SUPERNOVAE

Most SNe II-P seem to have a relatively well-defined spectral development, as shown in Figure 3 for SN 1992H (see also reference clo96 ). At early times the spectrum is nearly featureless and very blue, indicating a high color temperature ($``$ 10,000 K). He I $`\lambda `$5876 with a P-Cygni profile is sometimes visible. The temperature rapidly decreases with time, reaching $`5000`$ K after a few weeks, as expected from the adiabatic expansion and associated cooling of the ejecta. It remains roughly constant at this value during the plateau (the photospheric phase), while the hydrogen recombination wave moves through the massive ($`10M_{}`$) hydrogen ejecta and releases the energy deposited by the shock. At this stage strong Balmer lines and Ca II H&K with well-developed P-Cygni profiles appear, as do weaker lines of Fe II, Sc II, and other iron-group elements. The spectrum gradually takes on a nebular appearance as the light curve drops to the late-time tail; the continuum fades, but H$`\alpha `$ becomes very strong, and prominent emission lines of \[O I\], \[Ca II\], and Ca II also appear.

Figure 3: Montage of spectra of SN 1992H in NGC 5377. Epochs (days) are given relative to the estimated time of explosion, February 8, 1992.

Few SNe II-L have been observed in as much detail as SNe II-P. Figure 4 shows the spectral development of SN 1979C bra81 , an unusually luminous member of this subclass. Near maximum brightness the spectrum is very blue and almost featureless, with a slight hint of H$`\alpha `$ emission. A week later, H$`\alpha `$ emission is more easily discernible, and low-contrast P-Cygni profiles of Na I, H$`\beta `$, and Fe II have appeared. By $`t1`$ month, the H$`\alpha `$ emission line is very strong but still devoid of an absorption component, while the other features clearly have P-Cygni profiles. Strong, broad H$`\alpha `$ emission dominates the spectrum at $`t7`$ months, and \[O I\] $`\lambda \lambda `$6300, 6364 emission is also present. Several authors whe90 ; avf91a ; sch96  have speculated that the absence of H$`\alpha `$ absorption spectroscopically differentiates SNe II-L from SNe II-P, but the small size of the sample of well-observed objects precluded definitive conclusions.

Figure 4: Montage of spectra of SN 1979C in NGC 4321, from reference bra81 ; reproduced with permission. Epochs (days) are given relative to the date of maximum brightness, April 15, 1979.

The progenitors of SNe II-L are generally believed to have relatively low-mass hydrogen envelopes (a few $`M_{}`$); otherwise, they would exhibit distinct plateaus, as do SNe II-P. On the other hand, they may have more circumstellar gas than do SNe II-P, and this could give rise to the emission-line dominated spectra. They are often radio sources sra90 ; moreover, the ultraviolet excess (at $`\lambda 1600`$ Å) seen in SNe 1979C and 1980K may be produced by inverse Compton scattering of photospheric radiation by high-speed electrons in shock-heated ($`T10^9`$ K) circumstellar material fra82 ; fra84 . Finally, the light curves of some SNe II-L reveal an extra source of energy: after declining exponentially for several years, the H$`\alpha `$ flux of SN 1980K reached a steady level, showing little if any decline thereafter uom86 ; lei91b . The excess almost certainly comes from the kinetic energy of the ejecta being thermalized and radiated due to an interaction with circumstellar matter che90 ; lei94 .

The very late-time optical recovery of SNe 1979C and 1980K lei91b ; fes95 ; fes99  and other SNe II-L supports the idea of ejecta interacting with circumstellar material. The spectra consist of a few strong, broad emission lines such as H$`\alpha `$, \[O I\] $`\lambda \lambda `$6300, 6364, and \[O III\] $`\lambda \lambda `$4959, 5007. A Hubble Space Telescope (HST) ultraviolet spectrum of SN 1979C reveals some prominent, double-peaked emission lines with the blue peak substantially stronger than the red, suggesting dust extinction within the expanding ejecta fes99 . The data show general agreement with the emission lines expected from circumstellar interaction che94 , but the specific models that are available show several differences with the observations. For example, we find higher electron densities ($`10^5`$ to $`10^7`$ cm-3), resulting in stronger collisional de-excitation than assumed in the models. These differences can be used to further constrain the nature of the progenitor star. Note that based on photometry of the stellar populations in the environment of SN 1979C (from HST images), the progenitor of the SN was at most 10 million years years old, so its initial mass was probably 17–18 $`M_{}`$ van99a .

During the past decade, there has been the gradual emergence of a new, distinct subclass of SNe II avf91a ; avf91b ; sch90 ; lei94  whose ejecta are believed to be strongly interacting with dense circumstellar gas, even at early times (unlike SNe II-L). The derived mass-loss rates for the progenitors can exceed $`10^4M_{}`$ yr-1 chu94 . In these objects, the broad absorption components of all lines are weak or absent throughout their evolution. Instead, their spectra are dominated by strong emission lines, most notably H$`\alpha `$, having a complex but relatively narrow profile. Although the details differ among objects, H$`\alpha `$ typically exhibits a very narrow component (FWHM $`200`$ km s-1) superposed on a base of intermediate width (FWHM $``$ 1000–2000 km s-1; sometimes a very broad component (FWHM $``$ 5000–10,000 km s-1) is also present. This subclass was christened “Type IIn” sch90 , the “n” denoting “narrow” to emphasize the presence of the intermediate-width or very narrow emission components. Representative spectra of five SNe IIn are shown in Figure 5, with two epochs for SN 1994Y.

The early-time continua of SNe IIn tend to be bluer than normal. Occasionally He I emission lines are present in the first few spectra (e.g., SN 1994Y in Figure 5). Very narrow Balmer absorption lines are visible in the early-time spectra of some of these objects, often with corresponding Fe II, Ca II, O I, or Na I absorption as well (e.g., SNe 1994W and 1994ak in Figure 5). Some of them are unusually luminous at maximum brightness, and they generally fade quite slowly, at least at early times. The equivalent width of the intermediate H$`\alpha `$ component can grow to astoundingly high values at late times. The great diversity in the observed characteristics of SNe IIn provides clues to the various degrees and forms of mass loss late in the lives of massive stars.

Figure 5: Montage of spectra of SNe IIn. Epochs are given relative to the estimated dates of explosion.

## TYPE II SUPERNOVA IMPOSTORS?

The peculiar SN IIn 1961V (“Type V” according to Zwicky zwi65 ) had probably the most bizarre light curve ever recorded. (SN 1954J, also known as “Variable 12” in NGC 2403, was similar hum94 .) Its progenitor was a very luminous star, visible in many photographs of the host galaxy (NGC 1058) prior to the explosion. Perhaps SN 1961V was not a genuine supernova (defined to be the violent destruction of a star at the end of its life), but rather the super-outburst of a luminous blue variable such as $`\eta `$ Carinae goo89 ; avf95 .

A related object may have been SN IIn 1997bs, the first SN discovered in the Lick Observatory Supernova Search (LOSS) that we are conducting with the 0.75-m Katzman Automatic Imaging Telescope (KAIT) at Lick Observatory wli00 . Its spectrum was peculiar (Figure 6), consisting of narrow Balmer and Fe II emission lines superposed on a featureless continuum. Its progenitor was discovered in an HST archival image of the host galaxy van99b . It is a very luminous star ($`M_V7.4`$ mag), and it didn’t brighten as much as expected for a SN explosion ($`M_V13`$ at maximum). These data suggest that SN 1997bs may have been like SN 1961V — that is, a supernova impostor. The real test will be whether the star is still visible in future HST images obtained years after the outburst.

Figure 6: Spectrum of SN 1997bs, obtained on April 16, 1997 UT.

## LINKS BETWEEN TYPE II AND TYPE Ib/Ic SUPERNOVAE

Filippenko avf88  discussed the case of SN 1987K, which appeared to be a link between SNe II and SNe Ib. Near maximum brightness, it was undoubtedly a SN II, but with rather weak photospheric Balmer and Ca II lines. Many months after maximum brightness, its spectrum was essentially that of a SN Ib. The simplest interpretation is that SN 1987K had a meager hydrogen atmosphere at the time it exploded; it would naturally masquerade as a SN II for a while, and as the expanding ejecta thinned out the spectrum would become dominated by emission from deeper and denser layers. The progenitor was probably a star that, prior to exploding via iron core collapse, lost almost all of its hydrogen envelope either through mass transfer onto a companion or as a result of stellar winds. Such SNe were dubbed “SNe IIb” by Woosley et al. woo87 , who had proposed a similar preliminary model for SN 1987A before it was known to have a massive hydrogen envelope.

Figure 7: Early-time spectral evolution of SN 1993J. A comparison with the Type Ib SN 1984L is shown at bottom, demonstrating the presence of He I lines in SN 1993J. The explosion date was March 27.5, 1993.

The data for SN 1987K (especially its light curve) were rather sparse, making it difficult to model in detail. Fortunately, the Type II SN 1993J in NGC 3031 (M81) came to the rescue, and was studied in greater detail than any supernova since SN 1987A whe96 . Its light curves ric96  and spectra avf93 ; avf94 ; mat00  amply supported the hypothesis that the progenitor of SN 1993J probably had a low-mass (0.1–0.6 $`M_{}`$) hydrogen envelope above a $`4M_{}`$ He core nom93 ; pod93 ; woo94 . Figure 7 shows several early-time spectra of SN 1993J, showing the emergence of He I features typical of SNe Ib. Considerably later (Figure 8), the H$`\alpha `$ emission nearly disappeared, and the spectral resemblance to SNe Ib was strong. The general consensus is that its initial mass was $`15M_{}`$. A star of such low mass cannot shed nearly its entire hydrogen envelope without the assistance of a companion star. Thus, the progenitor of SN 1993J probably lost most of its hydrogen through mass transfer to a bound companion 3–20 AU away. In addition, part of the gas may have been lost from the system. Had the progenitor lost essentially all of its hydrogen prior to exploding, it would have had the optical characteristics of SNe Ib. There is now little doubt that most SNe Ib, and probably SNe Ic as well, result from core collapse in stripped, massive stars, rather than from the thermonuclear runaway of white dwarfs.

SN 1993J held several more surprises. Observations at radio van94  and X-ray suz95  wavelengths revealed that the ejecta are interacting with relatively dense circumstellar material fra96 , probably ejected from the system during the course of its pre-SN evolution. Optical evidence for this interaction also began emerging at $`\tau 10`$ months: the H$`\alpha `$ emission line grew in relative prominence, and by $`\tau 14`$ months it had become the dominant line in the spectrum avf94 ; pat95 ; fin95 , consistent with models che94 . Its profile was very broad (FWHM $``$ 17,000 km s-1; Figure 8) and had a relatively flat top, but with prominent peaks and valleys whose likely origin is Rayleigh-Taylor instabilities in the cool, dense shell of gas behind the reverse shock che92 . Radio VLBI measurements show that the ejecta are circularly symmetric, but with significant emission asymmetries mar95 , possibly consistent with the asymmetric H$`\alpha `$ profile seen in some of the spectra avf94 .

Figure 8: In the top spectrum, which shows SN 1993J about 7 months after the explosion, H$`\alpha `$ emission is very weak; the resemblance to spectra of SNe Ib is striking. A year later (bottom), however, H$`\alpha `$ was once again the dominant feature in the spectrum (which was scaled for display purposes).

## SPECTROPOLARIMETRY OF TYPE II SUPERNOVAE

Spectropolarimetry of SNe can be used to probe their geometry leo00a . The basic question is whether SNe are round. Such work is important for a full understanding of the physics of SN explosions and can provide information on the circumstellar environment of SNe. We have obtained spectropolarimetry of one object from each of the major SN types and subtypes, generally with the Keck-II 10-m telescope.

Figure 9: Polarization data for SN 1998S, obtained with Keck-II on March 7, 1998. (a) Total flux, in units of $`10^{15}`$ ergs s-1 cm-2 Å-1. (b) Observed degree of polarization. (c,d) The normalized $`q`$ and $`u`$ Stokes parameters, with prominent narrow-line features indicated. (e) Average of the (nearby identical) $`1\sigma `$ statistical uncertainties in the Stokes $`q`$ and $`u`$ parameters. See reference leo00b  for details.

We have completed our analysis of the peculiar Type IIn SN 1998S leo00b . The data consist of one epoch of spectropolarimetry (5 days after discovery) and total flux spectra spanning the first 494 days after discovery. The SN is found to exhibit a high degree of linear polarization (Figure 9), implying significant asphericity for its continuum-scattering environment. Prior to removal of the interstellar polarization, the polarization spectrum is characterized by a flat continuum (at $`p2\%`$) with distinct changes in polarization associated with both the broad (symmetric, half width near-zero intensity $`10,000`$ km s-1) and narrow (unresolved, FWHM $`<300`$ km s-1) line emission seen in the total flux spectrum. When analyzed in terms of a polarized continuum with unpolarized broad-line recombination emission, however, an intrinsic continuum polarization of $`p3\%`$ results, suggesting a global asphericity of $`45\%`$ from the oblate, electron-scattering dominated models of Höflich hof91 . The smooth, blue continuum evident at early times is inconsistent with a reddened, single-temperature blackbody, instead having a color temperature that increases with decreasing wavelength. Broad emission-line profiles with distinct blue and red peaks are seen in the total flux spectra at later times, suggesting a disk-like or ring-like morphology for the dense ($`n_e10^7\mathrm{cm}^3`$) circumstellar medium, generically similar to what is seen directly in SN 1987A, although much denser and closer to the progenitor in SN 1998S.

The Type IIn SN 1997eg also exhibits considerable polarization leo00a ; there are sharp polarization changes across its strong, multi-component emission lines, suggesting distinct scattering origins for the different components. Based on our rather small sample, it appears as though SNe II-P are considerably less polarized than SNe IIn, at least within the first month or two after the explosion. Leonard et al. leo00a  show some spectropolarimetric evidence of asphericity in the ejecta of SN II-P 1997ds, but it does not match the degree of polarization of SNe IIn 1998S and 1997eg. Moreover, SN II-P 1999em does not reveal significant polarization variation across the strong Balmer lines shortly after its explosion leo99 .

## SUPERNOVAE ASSOCIATED WITH GAMMA-RAY BURSTS?

At least a small fraction of gamma-ray bursts (GRBs) may be associated with nearby SNe. Probably the most compelling example thus far is that of SN 1998bw and GRB 980425 gal98 ; iwa98 ; woo99 , which were temporally and spatially coincident. SN 1998bw was, in many ways, an extraordinary SN; it was very luminous at optical and radio wavelengths, and it showed evidence for relativistic outflow. Its bizarre optical spectrum is often classified as that of a SN Ic, but the object should be called a “peculiar SN Ic” if not a subclass of its own; the spectrum was distinctly different from that of a normal SN Ic.

As discussed by several speakers at this meeting, models suggest that SNe associated with GRBs are highly asymmetric. Thus, spectropolarimetry should provide some useful tests. In particular, perhaps objects such as SN 1998S, discussed above, would have been seen as GRBs had their rotation axis been pointed in our direction. That of SN 1998S was almost certainly not aligned with us leo00b ; both the spectropolarimetry and the appearance of double-peaked H$`\alpha `$ emission suggest an inclined view, rather than pole-on.

Figure 10: Spectral evolution of SN 1999E, which may have been associated with GRB 980910.

The case of GRB 970514 and the very luminous SN IIn 1997cy is also interesting ger00 ; tur00 ; there is a reasonable possibility that the two objects were associated. The optical spectrum of SN 1997cy was highly unusual, and bore some resemblance to that of SN 1998bw, though there were some differences as well. SN 1999E, which might be linked with GRB 980910 but with large uncertainties tho99 , also had an optical spectrum similar to that of SN 1997cy avf99 ; cap99 ; see Figure 10. The undulations are very broad, indicating high ejection velocities. Besides H$`\alpha `$, secure line identifications are difficult, though some of the emission features seem to be associated with oxygen and calcium. Perhaps SN 1999E was produced by the highly asymmetric collapse of a carbon-oxygen core.

Shortly before this meeting, SN IIn 1999eb was discovered with KAIT mod99 , and Terlevich et al. ter99  pointed out that it might be associated with GRB 991002. However, KAIT data show that the optical SN was visible at least 10 days before the GRB occurred, making it very unlikely that the two were linked. If SN 1999eb ends up showing double-peaked H$`\alpha `$ emission at late times, as did SN 1998S, it will be another argument against the SN/GRB association in this particular case, since our view will not have been pole-on.

## THE EXPANDING PHOTOSPHERE METHOD

Despite not being anything like “standard candles,” SNe II-P (and some SNe II-L) are very good distance indicators. They are, in fact, “custom yardsticks” when calibrated with the “Expanding Photosphere Method” (EPM); see eas96 . A variant of the famous Baade-Wesselink method for determining the distances of pulsating variable stars, this technique relies on an accurate measurement of the photosphere’s effective temperature and velocity during the plateau phase of SNe II-P.

Briefly, here is how EPM works. The radius ($`R`$) of the photosphere can be determined from its velocity ($`v`$) and time since explosion ($`tt_0`$) if the ejecta are freely expanding: $`R=v(tt_0)+R_0v(tt_0)`$, where we have assumed that the initial radius of the star ($`R_0`$ at $`t=t_0`$) is negligible relative to $`R`$ after a few days. The velocity of the photosphere is determined from measurements of the wavelengths of the absorption minima in P-Cygni profiles of weak lines such as those of Fe II or, better yet, Sc II. (The absorption minima of strong lines like H$`\alpha `$ form far above the photosphere.) The angular size ($`\theta `$) of the photosphere, on the other hand, is found from the measured, dereddened flux density ($`f_\nu `$) at a given frequency. We have $`4\pi D^2f_\nu =4\pi R^2\zeta ^2\pi B_\nu (T)`$, so

$$\theta =\frac{R}{D}=\left[\frac{f_\nu }{\zeta ^2\pi B_\nu (T)}\right]^{1/2},$$

where $`D`$ is the distance to the supernova, $`B_\nu (T)`$ is the value of the Planck function at color temperature $`T`$ (derived from broadband measurements of the supernova’s brightness in at least two passbands), and $`\zeta ^2`$ is the flux dilution correction factor (basically a measure of how much the spectrum deviates from that of a blackbody, due primarily to the electron-scattering opacity).

The above two equations imply that $`t=D(\theta /v)+t_0.`$ Thus, for a series of measurements of $`\theta `$ and $`v`$ at various times $`t`$, a plot of $`\theta /v`$ versus $`t`$ should yield a straight line of slope $`D`$ and intercept $`t_0`$. This determination of the distance is independent of the various uncertain rungs in the cosmological distance ladder; it does not even depend on the calibration of the Cepheids. It is equally valid for nearby and distant SNe II-P.

An important check of EPM is that the derived distance be constant while the SN is on the plateau (before it has started to enter the nebular phase). This has been verified with SN 1987A eas89  and a number of other SNe II-P schmidt92 ; schmidt94a . Moreover, the EPM distance to SN 1987A agrees with that determined geometrically through measurements of the brightening and fading of emission lines from the inner circumstellar ring pan91 . It is also noteworthy that EPM is relatively insensitive to reddening: an underestimate of the reddening leads to an underestimate of the color temperature $`T`$ \[and hence of $`B_\nu (T)`$ as well\], but this is compensated by an underestimate of $`f_\nu `$, yielding a nearly unchanged value of $`\theta `$. Indeed, for errors in $`A_V`$ \[the visual extinction, or $`3.1E(BV)`$\] of 0–1 mag, one incurs an error in $`D`$ of only $`0`$–20% schmidt92 .

Of course, EPM has some caveats or potential limitations. A critical assumption is spherical symmetry for the expanding ejecta, yet polarimetry shows that SN 1987A was not spherical jef91 , as do direct HST measurements of the shape of the ejecta. As discussed above, the few other SNe II-P that have been studied don’t show very much polarization, though it is possible that deviations from spherical symmetry could be a severe problem for some SNe II-P. On the other hand, the average distance derived with EPM for many SNe II-P might be almost unaffected, given random orientations to the line of sight. (Sometimes the cross-sectional area will be too large, and other times too small, relative to spherical ejecta.) Indeed, comparison of EPM and Cepheid distances to the same galaxies shows agreement to within the expected uncertainties for a sample of 6 objects ($`D_{\mathrm{Cepheids}}/D_{\mathrm{EPM}}=0.98\pm 0.08`$; eas96 ).

Another limitation of EPM is that one needs a well-observed SN II-P in a given galaxy in order to measure its distance; thus, the technique is most useful for aggregate studies of galaxies, rather than for distances of specific galaxies in a random sample. Finally, knowledge of the flux dilution correction factor, $`\zeta ^2`$, is critical to the success of EPM. Fortunately, an extensive grid of models eas96  shows that the value of $`\zeta ^2`$ is mainly a function of $`T`$ during the plateau phase of SNe II-P; it is relatively insensitive to other variables such as helium abundance, metallicity, density structure, and expansion rate. Also, it does not differ too greatly from unity during the plateau. There are, however, some differences of opinion regarding the treatment of radiative transfer and thermalization in expanding supernova atmospheres bar96 . The calculations are difficult and various assumptions are made, possibly leading to significant systematic errors.

The most distant SN II-P to which EPM has successfully been applied is SN 1992am at $`z=0.0487`$ schmidt94b . The derived distance is $`D=180_{25}^{+30}`$ Mpc. This object, together with 15 other SNe II-P at smaller redshifts, yields a best fit value of $`H_0=73\pm 7`$ km s-1 Mpc-1, where the quoted uncertainty is purely statistical schmidt94a ; eas96 . A systematic uncertainty of $`\pm 6`$ km s-1 Mpc-1 should also be associated with the above result. The main source of statistical uncertainty is the relatively small number of SNe II-P in the EPM sample, and the low redshift of most of the objects (whose radial velocities are substantially affected by peculiar motions). My group is currently trying to remedy the situation with EPM measurements of additional nearby SNe II-P (at Lick Observatory), as well as with Keck spectra of SNe II-P in the redshift range 0.1–0.3.

## ACKNOWLEDGMENTS

My recent research on SNe has been financed by NSF grant AST–9417213, as well as by NASA grants GO-6584, GO-7434, AR-6371, and AR-8006 from the Space Telescope Science Institute, which is operated by AURA, Inc., under NASA Contract NAS5-26555. The Committee on Research (U.C. Berkeley) provided partial travel support to attend this meeting. I am grateful to the students and postdocs who have worked with me on SNe over the past 14 years for their assistance and discussions. Tom Matheson and Doug Leonard were especially helpful with the figures for this review.


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# Symmetry alteration of ensemble return distribution in crash and rally days of financial markets

\[

## Abstract

We select the $`n`$ stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the $`k`$ trading days of our database from the stock price time series. We study the ensemble return distribution for each trading day and we find that the symmetry properties of the ensemble return distribution drastically change in crash and rally days of the market. We compare these empirical results with numerical simulations based on the single-index model and we conclude that this model is unable to explain the behavior of the market in extreme days.

89.90.+n

\]

In the last few years physicists interested in financial analysis have performed several empirical researches investigating the statistical properties of stock price and volatility time series of a single asset (or of an index) at fixed or at different time horizons . Other researches have been focusing on the cross-correlation properties of simultaneously traded stocks . Another key aspect of the financial dynamics concerns the behavior of the market in days of extreme gain or loss. Statistical properties at, before and immediately after extreme days have been recently investigated by considering the behavior of market indices . In this letter we investigate extreme market days by following a different approach. Specifically, we investigate the return distribution of an ensemble of $`n`$ selected stocks simultaneously traded in a financial market in market days of extreme crash or rally in the period of our database (from January 1987 to December 1998).

The investigation of the return distribution of an ensemble of stocks simultaneously traded was introduced in . The customary statistical properties of price return distribution of an ensemble of stocks are discussed elsewhere , here we pose and answer the following question: Are crash and rally days significantly different from the typical market days with respect to the statistical properties of return distribution of an ensemble of stocks?

The investigated market is the New York Stock Exchange (NYSE) during the 12-year period from January 1987 to December 1998 which corresponds to 3032 trading days. The total number of assets $`n`$ traded in NYSE is rapidly increasing and it ranges from $`1128`$ in 1987 to $`2788`$ in 1998. The total number of data records exceeds $`6`$ million.

The variable investigated in our analysis is the daily price return, which is defined as

$$R_i(t)\frac{Y_i(t+1)Y_i(t)}{Y_i(t)},$$
(1)
where $`Y_i(t)`$ is the closure price of $`i`$th asset at day $`t`$ ($`t=1,2,..`$). In our study we consider only the trading days and we remove the weekends and the holidays from the data set. Moreover we do not consider price returns which are in absolute values greater than $`50\%`$ because some of these returns might be attributed to errors in the database and may affect in a considerable way the statistical analyses. We extract the $`n`$ returns of the $`n`$ stocks for each trading day and we consider the normalized probability density function (PDF) of price returns. The distribution of these returns gives an idea about the general activity of the market at the selected trading day. In the absence of extreme events, the central part of the distribution is conserved for long time periods. In these periods the shape of the distribution is systematically non-Gaussian and approximately symmetrical . We attribute the non-Gaussian profile of the central part of the PDF to the presence of correlations among the stocks. Sometimes the PDF changes abruptly its shape either towards positive returns or towards negative returns. A systematic study of these days shows that they corresponds to extreme events in the market, i.e. to crash days and to rally days. In other words the periods in which the shape of the PDF changes corresponds to period of financial turmoil in the market. The most prominent example is the dramatic change of shape and of scale of the PDF observed during and after the 19 October 1987 crash. Other dramatic changes are observed at the beginning of 1991 and at the end of 1998. To illustrate in detail this behavior we consider the financial crisis of October 1987. Figure 1 shows the surface and contour plot of the ensemble return PDFs determined in a $`200`$ trading days time interval centered at 19th October 1987 (which correspond in abscissa to the arbitrary value 0). The $`z`$-axis is logarithmic in Figure 1. The central part of the ensemble return distribution shows an triangular-like shape which is approximately conserved far from the crisis.

At the crisis, the ensemble distribution moves towards negative returns and then begins to oscillate between positive and negative returns. These oscillations are clearly evident for an interval of $`70`$ trading days after the 1987 crash. In that case, this is the time interval the market needed to come back to a ’typical’ state. This phenomenon is partly reflected into the oscillatory behavior of the Standard and Poor’s 500 index (S&P500) observed after the 1987 crash .

It is worth to investigate the changes of the ensemble return PDF not only by investigating the tails of the distribution but also its central part. In particular, it is important to understand whether in extreme days only the return mean value and the scale of the PDF are changed or if the shape of the PDF is modified also. To this end, we select the $`9`$ trading days of our database in which the S&P500 has negative extreme returns. We also consider the opposite case of the $`9`$ trading days in which the S&P500 has the greatest positive returns. These days are listed in Table I with the corresponding S&P500 return value. In Figure 2 and 3 we show the return distributions observed in the New York Stock Exchange in the days of extreme absolute returns. Specifically, Figure 2 shows the return distribution in crash days whereas Figure 3 shows the return distribution in rally days. Figure 2 shows that in crash days the PDF has a peak at a negative value of return. Moreover the distribution is asymmetric and the positive tail is steeper than the negative one. Therefore in crash days not only the scale but also the shape and symmetry properties of the distribution change.

A specular behavior is observed during the days of great gain of the market. Figure 3 shows that in these trading days the negative tail of the distribution is steeper than the positive one and the distribution has a peak at a positive return.

These findings can be quantified by noting that the distribution is negatively skewed in crash days, whereas the distribution is positively skewed in days of great gains. A quantitative estimate of the asymmetry of the PDF is difficult in finite statistical sets because the skewness parameter depends on the third moment of the distribution. Moments higher than the second are essentially affected by rare events rather than by the central part of the distribution. Due to the finite number of stocks in our statistical ensemble, a measure of the asymmetry of the distribution based on its skewness is not statistically robust. We overcome this problem by considering a different measure of the asymmetry of the distribution. Specifically, we extract the median and the mean of the distribution for all trading days. When a probability distribution is symmetric the median coincides with the mean. Therefore the difference between the mean and the median is a measure of the degree of asymmetry of the distribution. For positively (negatively) skewed distribution the median is smaller (greater) than the mean. The median depends weakly on the rare events of the random variable and therefore is much less affected than the skewness by the finiteness of the number of records of the ensemble. In order to estimate the median value we construct an histogram of the returns and we evaluate the median value as the value for which the area of the histogram below and above it are equal.

Figure 4 shows the difference between the mean and the median as a function of the mean for each trading day of the investigated period. In the Figure each circle refers to a different trading day. The circles cluster in an asymmetrical pattern which resembles a sigmoid shape. In days in which the mean is positive (negative) the difference between mean and median is positive (negative). In extreme days (for example those listed in Table I) the corresponding circles are characterized by great absolute value of the the mean and a great value of the difference between mean and median. Another result summarized in Figure 4 is that this effect is not exclusive of the days of extreme crash and rally but it is also evident for trading days of intermediate absolute average return. The change of the shape and of the symmetry properties during the days of large absolute returns suggests that in extreme days the behavior of the market cannot be statistically described in the same way of the ’normal’ periods. Moreover Figure 4 indicates that the difference from normal to extreme behavior increases gradually with the absolute value of the average return.

Among the extreme days one circle does not cluster around the sigmoid shape and shows a different behavior having a negative mean but a positive difference between mean and median. This circle (indicated by an arrow in Figure 4) corresponds to the 20 October 1987 day, which is the day after the black Monday. The ensemble return distribution for this day is shown in panel b of Figure 3. This day is quite anomalous because the S&P500 had a $`5.24\%`$ positive return, but the mean return of all the assets traded in NYSE was $`5.28\%`$. In other words in this day companies performed returns which were strongly correlated with their capitalization. In summary, with just one exception, our results provide an empirical evidence that the ensemble statistical properties of a set of stocks traded simultaneously in a financial market change in a systematic way when the market moves far from the typical day characterized by a small average return.

We now compare the results of our empirical analysis with the results obtained by modeling the stock price dynamics with a simple model: the single-index model. The single-index model  assumes that the returns of all assets are controlled by one factor, usually called the market.

For any asset $`i`$, we have

$$R_i(t)=\alpha _i+\beta _iR_M(t)+ϵ_i(t),$$
(2)
where $`R_i(t)`$ and $`R_M(t)`$ are the return of the asset $`i`$ and of the market at day $`t`$, respectively, $`\alpha _i`$ and $`\beta _i`$ are two real parameters and $`ϵ_i(t)`$ is a zero mean noise term characterized by a variance equal to $`\sigma _{ϵ_i}^2`$. The noise terms of different assets are uncorrelated, $`<ϵ_i(t)ϵ_j(t)>=0`$ for $`ij`$. Moreover the covariance between $`R_M(t)`$ and $`ϵ_i(t)`$ is set to zero for any $`i`$.

Each asset is correlated with the market and the presence of such a correlation induces a correlation between any pair of assets. It is customary to adopt a broad-based stock index for the market $`R_M(t)`$. Our choice for the market is the Standard and Poor’s 500 index. The best estimation of the model parameters $`\alpha _i`$, $`\beta _i`$ and $`\sigma _{ϵ_i}^2`$ is usually done with the ordinary least squares method . To compare our empirical results with the predictions of the single-index model we build up an artificial stock market following Eq. (2). This is done by first evaluating the model parameters for all the assets traded in the NYSE and then by generating a set of $`n`$ surrogate time series according to Eq. (2).

The ensemble return distribution computed in the artificial stock market is symmetrical in ’typical’ trading days. In crash and rally days, it is still approximately symmetrical around the mean value which can be positive (rallies) or negative (crashes). By contrast, as noted above, the return distribution in the real ensemble is asymmetric in extreme days. We can again quantify the asymmetry of the distribution by evaluating the difference between mean and median. The inset of Figure 4 shows the difference between the mean and the median as a function of the mean for the artificial data for each trading day of the investigated period. The differences between the real and artificial sets of circles are evident. The circles representing the synthetic data are distributed roughly symmetrically around the origin of the plane. Moreover the values of the difference between mean and median observed for the single-index model are not very large compared with the ones observed in the real set, confirming that the ensemble return distribution of the artificial data is approximately symmetrical in extreme days too. This difference suggests that the effective correlation among the assets can be described by the single-index model only as a first approximation. The degree of approximation of the single-index model progressively becomes worst for market days of increasing absolute average return and fails in properly describing the market behavior of extreme days.

The main object of this letter is the study of the return distribution of an ensemble of stocks in a trading day with extreme absolute average return. We show that the ensemble return distribution changes shape and symmetry properties in crash and rally days. We compare our empirical results with the expected behavior of the single-index model and we observe that this simple model fails in describing the market in extreme days. In particular the main discrepancy concerns the asymmetry of the ensemble return PDF of the model which is different from the one observed in empirical data in extreme days. Changes in the shape and symmetry of the PDF may be associated to changes of the correlation properties. It is commonly accepted that the return time series of different stocks synchronously traded are correlated and several researches has been performed in order to extract information from the correlation properties . Our study suggests that the correlation properties between stocks may change during market days characterized by extreme absolute return. A precise characterization of the correlation properties and of their modification is of key importance for the modeling of market dynamics in normal and in extreme market days.

The authors thank INFM and MURST for financial support. This work is part of the FRA-INFM project ’Volatility in financial markets’. F. Lillo acknowledges an FSE-INFM fellowships. We wish to thank Giovanni Bonanno for help in numerical calculations.


text:
# THE ϕ→𝜋⁺𝜋⁻ AND ϕ RADIATIVE DECAYS WITHIN A CHIRAL UNITARY APPROACH

## 1 The $`\mathit{\varphi }\mathbf{}𝝅^\mathbf{+}𝝅^{\mathbf{}}`$ decay

The $`\varphi `$ decay into $`\pi ^+\pi ^{}`$ is an example of isospin violation. The $`\varphi `$ has isospin $`I=0`$, spin $`J=1`$, and hence it does not couple to the $`\pi ^+\pi ^{}`$ system in the isospin limit, which implies the rule $`I+J=\text{even}`$. The experimental situation on this decay is rather confusing. There are two older results whose central values are very different but their quoted errors are so big that both were still compatible: The first one from  gives $`BR=(1.94+1.030.81)\times 10^4`$. The second one from  provides $`BR=(0.63+0.370.28)\times 10^4`$. Very recently two new, more precise, but conflicting results have been reported from the two experiments at the VEPP-2M in Novosibirsk: the CMD-2 Collaboration reports a value $`BR=(2.20\pm 0.25\pm 0.20)\times 10^4`$  whereas the SND Collaboration  obtains $`BR=(0.71\pm 0.11\pm 0.09)\times 10^4`$.

Isospin violation has become a fashionable topic in Chiral Perturbation Theory ($`\chi PT`$)  but the $`\varphi \pi \pi `$ decay is however unreachable with plain $`\chi PT`$, since it involves the propagation of the pair of pions around 1 GeV, far away from the $`\chi PT`$ applicability range.

Nevertheless, new nonperturbative schemes imposing unitarity and still using the chiral Lagrangians have emerged enlarging the convergence of the chiral expansion. In  the inverse amplitude method (IAM) is used in one channel and good results are obtained for the $`\sigma `$, $`\rho `$ and $`K^{}`$ regions, amongst others, in $`\pi \pi `$ and $`\pi K`$ scattering. In  the method is generalized to include coupled channels and one is able to describe very well the meson-meson scattering and all the associated resonances up to about 1.2 GeV. A more general approach is used in  by means of the N/D method, in order to include the exchange of some preexisting resonances explicitly, which are then responsible for the values of the parameters of the fourth order chiral Lagrangian.

Here we shall follow the work  since it provides the most complete study of the different meson-meson scattering channels, including the mesonic resonances and their properties up to 1.2 GeV. In particular, this method yields a resonance in the $`I=0,J=1`$ channel, the $`\omega _8`$ resonance, related to the $`\varphi `$, and this allows us to obtain the strong contribution to the $`\varphi \pi \pi `$ decay. We also consider electromagnetic contributions at tree level which turn out to be dominant and were already considered in .

In order to calculate the contribution of an intermediate photon to the $`\varphi \pi \pi `$ decay, let us consider the effective Lagrangian for vector mesons presented in , which is written in terms of the SU(3) pseudoscalar meson matrix $`\mathrm{\Phi }`$ and the antisymmetric vector tensor field $`V_{\mu \nu }`$ defined in

$$_2[V(1^{})]=\frac{F_V}{2\sqrt{2}}V_{\mu \nu }f_+^{\mu \nu }+\frac{iG_V}{\sqrt{2}}V_{\mu \nu }u^\mu u^\nu ,$$
(1)
where “$``$” indicates the SU(3) trace. In order to introduce the physical states $`\varphi `$ and $`\omega `$, we assume ideal mixing between the $`\omega _1`$ and $`\omega _8`$ vector resonances and hence taking into account that the $`\omega _1`$ does not couple to pairs of mesons at the order of eq. (1), the coupling of the $`\varphi `$ is easily deduced from that of the $`\omega _8`$ by simply multiplying the results of the $`\omega _8`$ by the factor $`\frac{2}{\sqrt{6}}`$. With these ingredients and the standard $`\gamma \pi \pi `$ coupling we can write the contribution of a Feynman diagram with the $`\varphi `$ going to a photon which then couples to a pair of pions, and which is given by

$$i_{\varphi \pi ^+\pi ^{}}=ie^2\frac{\sqrt{2}F_V}{3M_\varphi }ϵ^\mu (\varphi )(p_+p_{})_\mu F(M_\varphi ^2),$$
(2)
where $`p_+`$ and $`p_{}`$ are, respectively, the momenta of positive and negative pions and $`F(q^2)`$ is the pion electromagnetic form factor, which at the $`\varphi `$ mass is given by $`F(M_\varphi ^2)=1.56+i\mathrm{\hspace{0.17em}0.66}`$. This can be compared with the coupling of the $`\varphi `$ to $`K^+K^{}`$, or $`K^0\overline{K^0}`$, which can be obtained from the $`G_V`$ term in Eq. (1) and reads

$$i_{\varphi K^+K^{}}=ig_{\varphi K^+K^{}}ϵ^\mu (\varphi )(p_+p_{})_\mu ,g_{\varphi K^+K^{}}=\frac{M_\varphi G_V}{\sqrt{2}f^2},$$
(3)
which provides the right $`\varphi `$ decay width with a value of $`G_V=54.3`$ MeV .

By analogy to Eq. (3), Eq. (2) gives a $`\varphi `$ coupling to $`\pi ^+\pi ^{}`$

$$g_{\varphi \pi ^+\pi ^{}}^{(\gamma )}=\frac{\sqrt{2}}{3}e^2\frac{F_V}{M_\varphi }F(M_\varphi ^2),$$
(4)
which provides the $`\varphi \pi ^+\pi ^{}`$ decay width with the tree level photon mechanism. With a value of $`F_V=154`$ MeV from the $`\rho e^+e^{}`$ decay  and using the coupling of Eq. (4) one obtains a branching ratio to the total $`\varphi `$ width of $`1.7\times 10^4`$.

In order to evaluate the strong contribution to the process we consider the $`K\overline{K}\pi ^+\pi ^{}`$ amplitude corrected from isospin violation effects due to quark mass differences. The method used is based on the chiral unitary approach to the meson-meson interaction followed in . The technique starts from the $`O(p^2)`$ and $`O(p^4)`$ $`\chi PT`$ Lagrangian and uses the IAM in coupled channels, generalizing the one channel version of the IAM developed in .

Within the coupled channel formalism, the partial wave amplitude is given in the IAM by the matrix equation

$$T=T_2[T_2T_4]^1T_2,$$
(5)
where $`T_2`$ and $`T_4`$ are $`O(p^2)`$ and $`O(p^4)`$ $`\chi PT`$ partial waves, respectively. In principle $`T_4`$ would require a full one-loop calculation, but it was shown in  that it can be very well approximated by

$$\text{Re}T_4T_4^P+T_2\text{Re}GT_2$$
(6)
where $`T_4^P`$ is the tree level polynomial contribution coming from the $`_4`$ chiral Lagrangian and $`G`$ is a diagonal matrix for the loop function of the intermediate two meson propagators which are regularized in  by means of a momentum cut-off.

In the present case, in which isospin is broken explicitly and $`J=1`$, we are dealing with three two-meson states: $`K^+K^{}`$, $`K^0\overline{K}^0`$ and $`\pi ^+\pi ^{}`$, that we will call 1, 2 and 3, respectively. The amplitude is a $`3\times 3`$ matrix whose elements are denoted as $`T_{ij}`$. The $`T_2`$ and $`T_4^P`$ amplitudes used in the present work and calculated in the isospin breaking case, are collected in the appendix of . The fit of the phase shifts and inelasticities is carried out here in the isospin limit, as done in  and there are several sets of $`L_i`$ coefficients which give rise to equally acceptable fits.

We write in table 1 the values of the coefficients of the different sets of chiral parameters. The corresponding results for the phase shifts and inelasticities can be seen in  where it is shown that the small differences in the results appear basically only in the $`a_0(980)`$ and $`\kappa (900)`$ resonance regions, where data have also larger errors or are very scarce.

In order to evaluate the contribution to the $`\varphi \pi ^+\pi ^{}`$ coupling from the strongly interacting sector we evaluate the $`K^+K^{}K^+K^{}`$ amplitude ($`T_{11}`$) and the $`K^+K^{}\pi ^+\pi ^{}`$ amplitude ($`T_{13}`$) near the pole of the $`\omega _8`$ resonance which in our case appears around $`M_{\omega _8}=920`$ MeV. Close to the $`\omega _8`$ pole the amplitudes obtained numerically are then driven by the exchange of an $`\omega _8`$.

By assuming a coupling of the type of Eq. (3) for the $`\omega _8`$ to $`K^+K^{}`$ and $`\pi ^+\pi ^{}`$, these two amplitudes, close to the $`\omega _8`$ pole, are given by

$`T_{11}`$ $`=`$ $`g_{\omega _8K^+K^{}}^2{\displaystyle \frac{1}{P^2M_{\omega _8}^2}}\mathrm{\hspace{0.17em}4}\stackrel{}{p}_K\stackrel{}{p}_K^{}`$
$`T_{13}`$ $`=`$ $`g_{\omega _8K^+K^{}}g_{\omega _8\pi ^+\pi ^{}}{\displaystyle \frac{1}{P^2M_{\omega _8}^2}}\mathrm{\hspace{0.17em}4}\stackrel{}{p}_K\stackrel{}{p}_\pi .`$ (7)
where $`\stackrel{}{p}_i`$ is the three-momentum of the $`i`$ particle in the CM frame.

By looking at the residues of the amplitudes $`T_{11}`$, $`T_{13}`$ in the $`\omega _8`$ pole we can get the products $`g_{\varphi K^+K^{}}g_{\varphi K^+K^{}}`$ and $`g_{\varphi K^+K^{}}g_{\varphi \pi ^+\pi ^{}}`$. Thus, defining

$$Q_{ij}=\underset{P^2M_{\omega _8}^2}{lim}(P^2M_{\omega _8}^2)\frac{T_{ij}}{4\stackrel{}{p_i}\stackrel{}{p_j}}$$
(8)
we obtain the ratio of the $`g_{\varphi K^+K^{}}`$ to $`g_{\varphi K^+K^{}}`$ by means of the ratio of $`Q_{13}`$ to $`Q_{11}`$, and hence taking $`g_{\varphi K^+K^{}}`$ from Eq. (3), we get the value for $`g_{\varphi \pi ^+\pi ^{}}^{(s)}`$. Then, by adding the above contribution with that of Eq. (4) we can obtain the $`\varphi \pi ^+\pi ^{}`$ decay width. We have taken $`F_VG_V>0`$, as demanded by vector meson dominance .

Each set of chiral parameters has then been used in the isospin-breaking amplitudes given in the appendix of , obtaining a value of $`BR(\varphi \pi \pi )`$ given in table 1. The dispersion of the results provides an estimate of the systematic theoretical uncertainties.

From table 1, we obtain, after taking into account the strong contributions

$$Br(\varphi \pi \pi )_{\text{tree+strong}}(1.2\pm 0.2)\times 10^4$$
(9)
On the other hand, explicit calculations of the absorptive part of the $`\eta \gamma `$ intermediate channel  give a contribution of about 1/4 of the kaon loops. In order to estimate the uncertainties from neglecting the photonic loops we take a conservative estimate and consider them of the same magnitude as the strong interaction correction, and, hence, add an extra $`\pm 0.5\times 10^4`$ uncertainty. Adding in quadrature the errors from the different sources, our final result is the band of values:

$$BR(\mathrm{\Phi }\pi \pi )0.7\text{to}\mathrm{\hspace{0.33em}1.7}\times 10^4,$$
(10)
which is compatible with the present PDG average within errors and lies just between the results of the two recent experiments, which are much more precise, but mutually incompatible.

## 2 The $`\mathit{\varphi }`$ radiative decay into $`𝝅^\mathrm{𝟎}𝝅^\mathrm{𝟎}𝜸`$ and $`𝝅^\mathrm{𝟎}𝜼𝜸`$

The $`\varphi `$ meson cannot decay into two pions or $`\pi ^0\eta `$ in the isospin limit. The decay into two neutral pions is more strictly forbidden by symmetry and the identity of the two pions. As a consequence the decay of the $`\varphi `$ into $`\pi ^0\pi ^0\gamma `$ and $`\pi ^0\eta \gamma `$ is forbidden at tree level. However, the $`\varphi `$ decays into two kaons and the processes described can proceed via the loop diagrams depicted in Fig. 1 where the intermediate states in the loops stand for $`K\overline{K}`$.

The evaluation of the diagrams of Fig. 1 is done in . The terms with $`G_V`$ of Eq. (2) contribute to all the diagrams in the figure. However, the $`F_V`$ term of Eq. (2) only contributes to the diagrams containing the contact vertex $`\varphi \gamma K\overline{K}`$, like diagrams (a), (e). The idea follows closely the work of  but for the treatment of the final state interaction of the mesons one uses here the norperturbative chiral techniques. In this case for L=0, which is the only partial wave needed, one can use the results of , where it is proved that the use of the Bethe Salpeter equation in connection with the lowest order chiral Lagrangian and a suitable cut off in the loops gave a good description of the meson meson scalar sector. Furthermore, in  it was proved that the meson meson amplitude in those diagrams factorized on shell. The loops of type (a), (b) and (c) can be summed up using arguments of gauge invariance following the techniques of  and lead to a finite amplitude. On the other hand, the terms involving $`F_V`$ and a remnant momentum dependent term from the $`G_V`$ Lagrangian in Eq. (2) only appear in the contact vertex $`\varphi \gamma K\overline{K}`$, and the diagrams of type (b), (c) are now not present. Hence, in this case the only loop function involved is the one of two mesons which is regularized as in  for the problem of the meson meson scattering. The average over polarization of the $`\varphi `$ for the modulus square of $`t`$ matrix is then easily written and for the case of $`\pi ^0\pi ^0\gamma `$ decay one finds

$`\overline{{\displaystyle }}{\displaystyle |t|^2}={\displaystyle \frac{2}{3}}e^2\left|{\displaystyle \frac{M_\varphi G_V}{f^2\sqrt{3}}}\stackrel{~}{G}_{K^+K^{}}t_{K\overline{K},\pi \pi }^{I=0}+{\displaystyle \frac{K}{f^2\sqrt{3}}}\left({\displaystyle \frac{F_V}{2}}G_V\right)G_{K^+K^{}}t_{K\overline{K},\pi \pi }^{I=0}\right|^2`$
For the $`\varphi \pi ^0\eta \gamma `$ case we have

$`\overline{{\displaystyle }}{\displaystyle |t|^2}={\displaystyle \frac{4}{3}}e^2\left|{\displaystyle \frac{M_\varphi G_V}{f^2\sqrt{2}}}\stackrel{~}{G}_{K^+K^{}}t_{K\overline{K},\pi \eta }^{I=1}+{\displaystyle \frac{K}{f^2\sqrt{2}}}\left({\displaystyle \frac{F_V}{2}}G_V\right)G_{K^+K^{}}t_{K\overline{K},\pi \eta }^{I=1}\right|^2`$
where $`\stackrel{~}{G}_{K^+K^{}}`$ and $`G_{K^+K^{}}`$ are the loop functions mentioned above.

We have evaluated the invariant mass distribution for these decay channels and in Fig. 2 we plot the distribution $`dB/dM_I`$ for $`\varphi \pi ^0\pi ^0\gamma `$ which allows us to see the $`\varphi f_0\gamma `$ contribution since the $`f_0`$ is the important scalar resonance appearing in the $`K^+K^{}\pi ^0\pi ^0`$ amplitude . The results are obtained using $`G_V`$=55 MeV and $`F_V`$=165 MeV, which are suited to describe the $`K\overline{K}`$ and $`e^+e^{}`$ decay of the $`\varphi `$. The solid curve shows our prediction, with $`F_VG_V>0`$, the sign predicted by vector meson dominance, as we quoted above. The dashed curve is obtained considering $`F_VG_V<0`$. In addition we show also the results of the intermediate dot-dashed curve which correspond to taking for $`G_V`$ and $`F_V`$ the parameters of the $`\rho `$ decay, $`G_V`$=69 MeV and $`F_V`$=154 MeV. We compare our results with the recent ones of the Novosibirsk experiment . We can see that the shape of the spectrum is relatively well reproduced considering statistical and systematic errors (the latter ones not shown in the figure). The results considering $`F_VG_V<0`$ are in complete disagreement with the data.

The finite total branching ratio which we find for the $`\varphi \pi ^0\pi ^0\gamma `$ decay is $`0.8\times 10^4`$, which is slightly smaller than the result given in , $`(1.14\pm 0.10\pm 0.12)\times 10^4`$, where the first error is statistical and the second one systematic. The result given in  is $`(1.08\pm 0.17\pm 0.09)\times 10^4`$, compatible with our prediction. Should we use the values for $`F_V`$ and $`G_V`$ of the $`\rho `$ decay we would obtain $`1.7\times 10^4`$. The branching ratio obtained for the case $`\varphi \pi ^0\eta \gamma `$ is $`0.87\times 10^4`$. The results obtained at Novosibirsk are  $`(0.83\pm 0.23)\times 10^4`$ and  $`(0.90\pm 0.24\pm 0.10)\times 10^4`$. Should we use the values for $`F_V`$ and $`G_V`$ of the $`\rho `$ decay we would obtain $`1.6\times 10^4`$. The spectrum, not shown, is dominated by the $`a_0`$ contribution.

The results reported here are two examples of the successful application of the chiral unitary techniques. A recent review of multiple applications of these methods can be seen in .

## 3 Acknowledgments

We would also like to acknowledge financial support from the DGICYT under contracts PB96-0753 and AEN97-1693 and from the EU TMR network Eurodaphne, contract no. ERBFMRX-CT98-0169.


text:
# Observation of Partially Suppressed Shot Noise in Hopping Conduction

## Abstract

We have observed shot noise in the hopping conduction of two dimensional carriers confined in a p-type SiGe quantum well at a temperature of 4K. Moreover, shot noise is suppressed relative to its “classical” value 2eI by an amount that depends on the length of the sample and carrier density, which was controlled by a gate voltage. We have found a suppression factor to the classical value of about one half for a 2 $`\mu `$m long sample, and of one fifth for a 5 $`\mu `$m sample. In each case, the factor decreased slightly as the density increased toward the insulator-metal transition. We explain these results in terms of the characteristic length ($`1\mu `$m in our case) of the inherent inhomogeneity of hopping transport.

Shot noise, which is a manifestation of the particle nature of the electric current, has lately received much attention  because it can yield information complementary to that obtained from conductance measurements. It is most pronounced when the current is formed by statistically independent charges tunneling through a single potential barrier of low transparency, in which case the noise power spectral density, $`S`$, is equal to the Schottky, or classical, value of $`2qI`$, where $`q`$ is the value of the charge and $`I`$ the average current. This proportionality has been employed, for instance, to determine the effective charge in superconducting transport  and in the fractional quantum Hall effect . In more general cases, when the motion of the charges is not independent from each other, the value of $`S`$ has an additional factor $`F`$, the so called Fano factor. Except when negative differential conductance occurs , the Fano factor is in the range $`0<F<1`$, meaning that shot noise is then partially suppressed. Knowledge of the degree of suppression sheds light at the microscopic level on the conduction mechanisms of a specific system.

By now the noise characteristics of ballistic, diffusive, and chaotic transport have been established, as well as those of resonant tunneling and single-electron tunneling. For example, in diffusive conductors, whose size along the current direction is smaller than the inelastic scattering length, it is $`F=1/3`$. In the opposite limit, that is, when the scattering length is much shorter than the length of the sample, $`F`$ approaches zero, and in macroscopic metallic conductors shot noise is completely suppressed.

Although the 1/f noise properties of hopping conduction have also been elucidated , surprisingly, little is known about shot noise for such a well studied transport mechanism , which has regained interest in connection with the metal-insulator transition recently observed in Si MOSFETs  and other two-dimensional (2D) systems, including SiGe quantum wells . In this Letter we report the observation in a 2D hopping conductor of shot noise that is only partially suppressed, and we introduce a model that in spite of its simplicity can explain our experimental results.

If in hopping conduction, where electrons tunnel assisted by phonons between localized states created by the random impurity potential, the determinant factor were the inelastic scattering length, then, given the smallness of this length, shot noise should be zero. On the other hand, since the process involves tunneling through potential barriers, which insures the discrete nature of the current, one could naively assume that shot noise should have the full $`2qI`$ value. A closer look reveals a more complex situation.

In a simple one-dimensional system in which electrons tunnel through N identical barriers, the Fano factor is $`F=1/N`$. When, like in hopping, tunneling occurs between single electron states, depending on their occupancy, shot noise suppression can be a different function of $`N`$ . Since the equivalent resistances of the various hops are exponentially different from each other and only the most resistive hop (“bottle neck”) determines the current, it could be argued that effectively $`N=1`$. However, in real quasi one-dimensional hopping , in which there is a maximum resistance obtainable (hard hop), the effective N should be the number of hard hops along the sample length, as in the case of identical barriers.

In a 2D system, hopping conduction can be seen as occurring through a network of one-dimensional chains connected to each other at certain nodes, as is normally done in percolation theory, where the network is modeled by resistors of exponentially different values, out of which the most conductive subnetwork (critical percolation subnetwork) is selected . The characteristic size of this subnetwork is the length beyond which the sample is homogeneous, and its nodes are such that each chain contains only one resistor with the largest resistance (hard hop). Even this simpler subnetwork is still complicated enough as to make it difficult to guess, let alone to calculate, what the effective $`F`$ will be.

To answer experimentally this question we chose a 2D hole system confined in a modulation-doped SiGe well. The heterostructure, grown by molecular beam epitaxy on a n-Si substrate, consists (from the substrate up) of 4300Å of Si boron-doped at $`1\times 10^{18}`$ $`cm^3`$, 225Å of undoped Si, 500Å of Si0.8Ge0.2 (quantum well), 275Å of undoped Si, and finally 725Å of Si boron-doped at $`1\times 10^{18}`$ $`cm^3`$. The 2D hole density and the in-plane resistivity were controlled by a voltage $`Vg`$ applied to an Al Schottky gate deposited on the top layer. The heterostructure was processed into samples with gate width of 50$`\mu `$m and length (along the current direction) of either 2$`\mu `$m or 5$`\mu `$m. The noise measurements were done with the samples immersed in liquid He. At $`T=4K`$ even for the smallest $`Vg`$ used the samples had resistance per square much larger than the quantum resistance $`h/2e^2`$, so that they were always in the insulating regime.

Current through the sample was produced by applying a $`dc`$ bias and a small $`ac`$ signal, $`Vin`$, to a $`1M\mathrm{\Omega }`$ load resistor. The voltage drop across the sample, $`Vsd`$, was measured simultaneously with the $`ac`$ signal and the noise, using a lock-in technique and a spectrum analyzer. The $`1/f`$-noise contribution was reduced by doing the measurements at high frequencies up to 100kHz, which demanded minimizing lead capacitance and required placing a preamplifier inside the cryostat and very close to the sample. The preamplifier, with an output resistance of about 100$`\mathrm{\Omega }`$, was a commercial low power switching MOSFET, connected in source follower configuration, as in . To avoid heating, the $`dc`$ current through the preamplifier was kept at 1mA, enough to get an amplification coefficient of $`0.9`$. The input impedance (defined by the resistance of the sample in parallel with the load resistor and parasitic capacitances) of the preamplifier was proportional to the preamplifier’s transfer function, $`TF`$ ($`Vout`$/$`Vin`$), whose real and imaginary components were determined with the $`ac`$ signal applied to the load.

Figure 1(a) shows the measured output voltage noise for a 2$`\mu `$m long sample as a function of gate voltage, in the absence of any in-plane current (zero bias) and for three different frequencies (20 kHz, 50 kHz, and 80 kHz). The origin of this voltage is thermal noise. As expected, the voltage noise spectral density follows the real part of the impedance and of the transfer function, shown in Fig. 1(b). The background preamplifier noise, seen at small $`Vg`$ (small sample resistance) in Fig.1a, has a 1/f dependence. Taking into account this noise, about 6$`nV/\sqrt{Hz}`$ for $`f_0=80kHz`$, we confirmed that the measured noise is indeed thermal noise at $`T=4K`$ (insert in Fig.1b). When the sample resistance is much larger than the load resistance (at high gate voltage) the TF saturates. From the saturation value we determined a parallel to the sample capacitance of about 2$`pF`$, which is mainly the gate-drain capacitance of the preamplifier.

The transfer function exhibits small but noticeable oscillations at $`Vg0.5V`$, as illustrated in Fig. 1(b). Their presence suggests that the sample is close to the mesoscopic size, where conductance is not self-averaged but depends on a particular spatial configuration of the fluctuation potential. In the language of percolation theory, we can say that those oscillations reveal that the length of the sample and the size of the critical subnetwork are comparable  .

For a fixed gate voltage, the current noise was obtained by measuring the voltage noise spectral density as a function of the current. The transfer function, measured simultaneously, was then used to calculate the current noise spectral density at the preamplifier input. The dependence of the current noise on current at $`Vg=0.5V`$ is shown in Fig.2, for $`f=20`$, $`50`$ and $`80kHz`$. The insignificance of the thermal noise (the residual noise density at $`Vsd=0`$) is a consequence of the fact that the sample’s resistance is larger than the load resistance. Indeed, the theoretical thermal noise is $`4k_BT/(1M\mathrm{\Omega })0.2\times 10^{27}A^2/Hz`$, a number that is consistent with the $`I=0`$ limit of Fig. 2.

The signatures of shot noise – linear dependence on current and independence of frequency – are evident in the figure. In view of the strongly non-linear dependence of the current on Vsd (insert in Fig. 2), it could seem surprising that the proportionality between noise and current is maintained in a large current range. This proportionality suggests (as validated below) that even at the highest voltage the in-plane electric field is still weak enough as not to modify the critical percolation network, and indicates that the measured shot noise is not sensitive to possible field-induced variations of the hopping percolation paths. From that proportionality, a value $`F=0.59`$ is obtained for the Fano factor.

It is noticed in Fig.2 that at $`I=10nA`$ there is a hump in the noise spectral density, which is larger at lower frequency. This is a signature of random telegraph noise in mesoscopic structures , also seen before in hopping transport .

The Fano factor does not depend very strongly on gate voltage, as shown in Fig.3 (top curves). When $`Vg`$ decreases from $`Vg=0.55V`$ to $`0.2V`$ $`F`$ drops from $`0.61`$ to $`0.43`$, which is still roughly one half of the classical value in this range of $`Vg`$. Since the smaller the gate voltage the larger the in-plane conductance, for $`Vg=0.2V`$ thermal noise dominates at low current, thus the curvature in the noise characteristic observable in Fig. 3. The transition from thermal to shot noise occurs above $`2kT/e`$.

Figure 3 also illustrates the dependence of shot noise on the length of the current path. Similar measurements to those on the $`2\mu m`$ sample are shown for a $`5\mu m`$ sample. In this case, the variation of shot noise with Vg has the same trend as before, but the change is smaller. Most significant, however, is that shot noise is much more suppressed in the longer sample, in which the measured Fano factor is F = $`0.2`$, that is, shot noise is $`1/5`$ of its classical value.

We can explain our results if we assume that there is a characteristic scaling length $`L_01\mu m`$ in 2D hopping for both samples, such that the Fano factor is just the ratio of that length to the length of the sample, $`F=L_0/L`$. It is reasonable to assume also that this scale is a characteristic of the homogeneity of the sample, which is the distance between hard hops of the critical percolation subnetwork. Then, the trend for noise suppression on $`Vg`$ reflects the fact that hopping becomes more uniform as the sample is driven towards the insulator-metal transition.

To justify these assumptions we can take into account the fact that when an electric field is applied, only hard hops along the field direction are modified (e.g., decrease their resistances) and thus the network is separated into a set of equivalent parallel chains. In this case, the total shot noise would be that of a single chain, which, as we have seen, will have a Fano factor inversely proportional to the number of hard hops in the chain.

The distance between hard hops in the percolation subnetwork can be obtained using :

$$L_0=l(T)\left(\frac{T_0}{T}\right)^{\frac{\nu }{d+1}},$$
(1)
where $`l(T)`$ is the characteristic hopping length in the zero-field limit, $`T_0`$ is a characteristic temperature inversely proportional to the density of states at the Fermi level and to the localization radius $`a`$, $`d`$ is the effective dimensionality of the system (d=$`1`$ for hopping with Coulomb gap and d=$`2`$ for 2D hopping), and $`\nu `$ is the critical index of the correlation radius, which is about 1.3 for a 2D system. In turn, the hopping length can be estimated within the percolation model, in which the non-linear conductance G(E,T) is written  as

$$G(E,T)=\frac{I}{Vsd}=G(0,T)exp\left(\frac{eEl(T)}{k_BT}\right),$$
(2)
where $`E`$ is the electric field. (The other symbols have their usual meaning.) This expression is only valid in the low-field regime, that is, when $`eEa<k_BT`$. The hopping length depends on temperature as

$$l(T)=a\left(\frac{T_0}{T}\right)^{\frac{1}{1+d}}.$$
(3)
When Eq. (2) was used in combination with the experimental $`IVsd`$ characteristics (Fig. 2, insert) a value of $`l0.08\mu m`$ was obtained for the hopping length of the $`2\mu m`$ sample at T = 4K. The localization radius was estimated to be 100-130Å from Eq. (3) and the experimental temperature dependence of the zero-field conductance in the range $`2K<T<30K`$. The 30Å variance of $`a`$ reflects the difficulty in discerning experimentally between $`1/2`$ and $`1/3`$ for the exponent in Eq. (3). This estimation of the localization radius is consistent with a fluctuation potential created by interface impurities separated about 200Å from each other (surface density of $`2\times 10^{11}cm^2`$ ) and validates our low-field assumption since for $`Vsd=30mV`$ (insert, Fig. 2) it is $`Ea0.15meV<k_BT/e0.36meV`$.

Finally, from Eq.(1) we get either $`L_00.8\mu m`$ or $`1.2\mu m`$, depending, again, on whether we use $`d=1`$ or $`2`$. A similar analysis for the data on the $`5\mu m`$ sample yielded a value of 1$`\mu m`$ for the inter-node distance. This result tells us that if two nodes were separated by 1$`\mu m`$, than there would be two hard hops in a $`2\mu m`$ sample and five such hops in a $`5\mu m`$ sample. Consequently, according to the above discussion, the corresponding Fano factor in the shot noise formula should be $`0.5`$ and $`0.2`$, respectively. These values are in excellent agreement with the experimental results.

Although these results have been obtained for a 2D hole gas, they should be general to any other system in the hopping regime. It also follows from our results that by decreasing the sample length even further one could obtain full shot noise, corresponding to tunneling through only one hard hop along the current direction. Interestingly, a further decrease in length and in temperature should cause a transition to resonant tunneling transport, such as resonant tunneling through impurities . The only calculation available in such a regime for the shot noise is for tunneling through one impurity, done recently , in which $`F=3/4`$. We hope that the experiments presented here will stimulate calculations in the entire hopping conduction regime.

We are thankful to Alexander Korotkov for numerous discussions. This work has been sponsored by the Department of Energy (DOE Grant No. DE-FG02-95ER14575).


text:
# Two time scales and FDT violation in a Finite Dimensional Model for Structural Glasses

## Abstract

We study the breakdown of fluctuation-dissipation relations between time dependent density-density correlations and associated responses following a quench in chemical potential in the Frustrated Ising Lattice Gas. The corresponding slow dynamics is characterized by two well separated time scales which are characterized by a constant value of the fluctuation-dissipation ratio. This result is particularly relevant taking into account that activated processes dominate the long time dynamics of the system.

In recent years considerable progress has been achieved in the theoretical description of the glassy state of matter. A scenario for the observed slow dynamics of glass forming materials has emerged through detailed analysis of mean field (MF) spin glass models . The equations describing the off-equilibrium dynamics of these MF spin glasses simplify, above the transition, to the single equation for the Mode Coupling Theory for supercooled liquids . These approaches have been successful in explaining history dependence or aging effects and the nature of the two characteristic relaxations in glasses, the short time or $`\beta `$-relaxation and the structural long time $`\alpha `$-relaxation. In the $`\alpha `$-relaxation the system falls out of local equilibrium, as a consequence Fluctuation-Dissipation Theorem (FDT) breaks down and can be replaced by the more general relation

$$R(t,t_w)=\frac{X(t,t_w)}{T}\frac{C(t,t_w)}{t_w},$$
(1)
where $`C(t,t_w)`$ is a two times correlation function and $`R(t,t_w)`$ with $`t>t_w`$ is the associated response. $`T`$ is the heat bath temperature and $`X(t,t_w)`$ is a function that measures the departure from FDT: at equilibrium $`X=1`$ and the usual FDT is recovered, while in the out of equilibrium regime $`X<1`$. In MF approximation  the function $`X`$, called “fluctuation-dissipation ratio”(FDR), turns out to depend on both times only through $`C(t,t_w)`$. Moreover in MF models of glasses $`X`$ is a constant (when different from 1). This scenario reflects the existence of only two well separated time scales, the equilibrium or FDT scale and a longer one where the system is out of equilibrium. The FDR has been interpreted as an effective temperature and it has been demonstrated that it is exactly the temperature that a thermometer would measure if it would be coupled to the slowly relaxing modes of the system . Recently the first experimental determination of the FDR has been done in glycerol .

This scenario, while appealing, is essentially based on an analogy between the physics of some MF spin glasses and the behavior of real finite structural glasses (being the formal connection valid only in the high temperature region). At this point it seems crucial to test the link between MF theories and realistic models in the glassy phase. In particular, we still do not know which will be the role of activated processes in realistic models. Activated processes are absent in completely connected models in the thermodynamic limit while on the contrary they dominate the relaxation dynamics below the glass transition temperature $`T_g`$ in real glasses.

The goal of the present letter is to go beyond the MF like description of structural glasses by considering a finite dimensional model, the frustrated Ising lattice gas (FILG) , which presents most of the relevant features of glass forming materials, in particular activated processes at low temperatures. Here we analyze the violation of FDT in the FILG in three dimensions through Monte Carlo simulations. The (very precise) results confirm the qualitative scenario of MF models of a constant FDR with large separation of time scales and set the stage for a detailed investigation of activated processes in realistic models of glasses.

The FILG is defined by the Hamiltonian:

$$H=J\underset{<ij>}{}(\epsilon _{ij}\sigma _i\sigma _j1)n_in_j\mu \underset{i}{}n_i.$$
(2)
At each site of the lattice there are two different dynamical variables: local density (occupation) variables $`n_i=0,1`$ ($`i=1\mathrm{}N`$) and internal degrees of freedom, $`\sigma _i=\pm 1`$. The usually complex spatial structure of the molecules of glass forming liquids, which can assume several spatial orientations, is in part responsible for the geometric constraints on their mobility. Here we are in the simplest case of two possible orientations, and the steric effects imposed on a particle by its neighbors are felt as restrictions on its orientation due to the quenched random variables $`\epsilon _{ij}=\pm 1`$. The first term of the Hamiltonian implies that when $`J\mathrm{}`$ any frustrated loop in the lattice will have at least one hole and then the density will be $`\rho <1`$, preventing the system from reaching the close packed configuration. The system will then present “geometric frustration”. Finally, $`\mu `$ represents a chemical potential ruling the system density (at fixed volume).

The system presents a slow “aging” dynamics after a quench from a small value of $`\mu `$ characteristic of the liquid phase to a large $`\mu `$ corresponding to the glassy phase , what is equivalent to a sudden compression. In the present numerical experiments we always let the system evolve after a quench in $`\mu `$ with $`J`$ and $`T`$ fixed. The origin of the times is set on the quench time. After the quench the density slowly relaxes up to a critical value near $`\rho _c0.675`$ (further details will be given in ). After a waiting time $`t_w`$ we fix the density to the value $`\rho =\rho (t_w)`$ (for technical reasons explained below) and a small random perturbation ($`\mu _i=\pm 1`$) is applied :

$$H^{}(t)=H(t)ϵ(t)\underset{i}{}\mu _in_i(t).$$
(3)
In all our numerical experiments the field is switched on at time $`t_w`$ and kept fixed for later times, that is $`ϵ(t)=ϵ\theta (tt_w)`$. Then we measure the density-density autocorrelation function

$$C(t,t_w)=\frac{1}{N\rho }\underset{i}{}\overline{n_i(t)n_i(t_w)},$$
(4)
where $``$ and $`\overline{}`$ are the averages over thermal histories and disorder realizations . At the same time we measure the associated response function integrated over the time and divided by the perturbing field intensity, which defines the off-equilibrium compressibility

$$\kappa (t,t_w)=\frac{1}{ϵ}_{\mathrm{}}^tR(t,s)ϵ(s)ds=_{t_w}^tR(t,s)ds,$$
(5)
where, as usual, the response is defined as

$$R(t,t^{})=\frac{1}{N\rho }\underset{i}{}\frac{\overline{n_i(t)}}{ϵ(t^{})}.$$
(6)
In the large times limit ($`t,t_w\mathrm{}`$), $`X(t,t_w)`$ depends on both times only through the correlation $`C(t,t_w)`$. Then integrating Eq.(1) from $`t_w`$ to $`t`$ we obtain a useful relation linking the correlation and the compressibility in the out of equilibrium regime

$$T\kappa (t,t_w)=_{C(t,t_w)}^1X(C)dC.$$
(7)
This is the key relation used in order to extract the FDR.

In our case the perturbing term in the Hamiltonian, shown in Eq.(3), gives to the integrated response the following form

$$\kappa (t,t_w)=\frac{1}{N\rho }\left(\underset{i}{}\overline{[\mu _in_i(t)]_{\mathrm{av}}}\underset{i}{}\overline{[\mu _in_i(t_w)]_{\mathrm{av}}}\right),$$
(8)
where $`[]_{\mathrm{av}}`$ is the average over the random $`\mu _i`$ realizations . The second term can be ignored because the $`\mu _i`$ are random and completely uncorrelated from the configuration at time $`t_w`$.

Performing a parametric plot of the compressibility (or the integrated response) versus the correlation is a useful way of getting information about the different dynamical regimes present in the model and in particular the time scales structure of the system. In fact from Eq.(7) it is easy to see that, plotting $`T\kappa (t,t_w)`$ vs. $`C(t,t_w)`$, the FDR can be simply obtained as minus the derivative of the curve, i.e.

$$X(C^{})=\frac{[T\kappa (t,t_w)]}{C(t,t_w)}|_{C(t,t_w)=C^{}}.$$
(9)
There is already a considerable literature on this kind of analysis in systems with and without quench disorder . Particularly relevant to the present discussion are references , where a constant FDR was found in model glasses with interactions of the Lennard-Jones type and in a purely kinetic lattice gas. The FILG has the advantage of being a Hamiltonian lattice model with short range interactions and, in this sense, it is more realistic than purely kinetic models and more accessible analytically and computationally than Lennard-Jones systems. Moreover, it is a valid on-lattice model for structural glasses and it may be simple enough to apply statistical mechanics techniques.

We have simulated the FILG in 3D for linear sizes $`L=30`$ and $`60`$. Fixing the coupling constant $`J=1`$ and a temperature $`T=0.1`$ the system presents a glass transition around $`\mu =0.5`$ .

In all our numerical experiments we have prepared the system in an initial state with low density, characteristic of the liquid phase and then, at time zero, we have performed a sudden quench in $`\mu `$ to a value deep in the glass phase (the data presented here refer to $`\mu =1`$). As already explained above, after a time $`t_w`$ a perturbation in the form of a random small chemical potential has been applied and the density-density autocorrelation, Eq.(4), and the corresponding integrated response, Eq.(8), have been recorded. At time $`t_w`$ the density has been fixed to the value $`\rho =\rho (t_w)`$ for the following reason: the perturbing term in the Hamiltonian \[see Eq.(3)\] favors roughly half of the sites (those with $`\mu _i=1`$) and the remaining half to be empty. When the perturbation is switched on, the first half starts to be more filled than the second one and this increases the integrated response, as it should. On very long times, however, because the density reached at time $`t_w`$ is still a bit below the asymptotic value, the number of particles continues growing and new particles are added with higher probability on the sites with $`\mu _i=1`$, which are more empty. Then the response becomes negative because of systematic errors. We avoid the negative responses fixing the density at time $`t_w`$. In the limit $`t_w\mathrm{}`$ we recover the right behavior in any case, however with our choice the extrapolation is safer.

In all our simulations we have verified that the strength of the perturbation $`ϵ=0.02`$ is small enough in order to be in the linear response regime. We have also checked that the system thermalizes at temperatures $`T0.3`$ (being always $`\mu =1`$) and satisfies FDT. Further details will be given in .

In Fig. 1 we show the main result of this letter: a parametric plot of the integrated response versus the density autocorrelation for different waiting times. The behavior of the curves is exactly the one predicted by MF theories for a glass former. Two distinct regimes can be perfectly recognized. In the FDT or quasi-equilibrium regime, $`tt_wt_w`$ ($`\beta `$-relaxation), the points lie on the straight line given by

$$T\kappa (t,t_w)=1C(t,t_w).$$
(10)
This first time regime corresponds then to a FDR $`X(t,t_w)=1`$ independent of $`t`$ and $`t_w`$. In this regime the system is in quasi-equilibrium, with the particles moving inside the cages formed by nearly frozen neighbors and the temperature measured from particles fluctuations is that of the heat bath. When $`tt_wt_w`$ the system falls out of equilibrium, entering the aging regime, and the data in Fig. 1 depart from the FDT line. From the figure it is clear that the FDR is still a constant, but now $`0<X(t,t_w)<1`$. The constancy of the FDR in the out of equilibrium regime is one of the central predictions of MF approaches. Here we see that this is still valid for a finite dimensional system.

In Fig. 2 we compare the results for the FDR measured on two large systems, whose sizes are $`N=30^3`$ and $`N=60^3`$. Both curves correspond to $`t_w=10^4`$ and no finite size effects are evident. Fitting the data in the out of equilibrium regime to the straight line

$$T\kappa (t,t_w)=X(t_w)[q_{\mathrm{EA}}(t_w)C(t,t_w)]+[1q_{\mathrm{EA}}(t_w)],$$
(11)
allows us to compute the $`t_w`$-dependent FDR $`X(t_w)`$ and the Edwards-Anderson order parameter $`q_{\mathrm{EA}}(t_w)`$. In the large times limit they should converge to the corresponding equilibrium values .

We report the linear fit in Fig. 2 in order to show how well the data can be fitted with the formula in Eq.(11). As one can see from Fig. 1, the slope $`X(t_w)`$ changes very little with $`t_w`$ and it takes the same value (within the error) for the two largest waiting times. The results of our fits give $`X=0.64(3)`$ and $`q_{\mathrm{EA}}=0.92(1)`$. In comparison with other works the correlation range we are exploring may seem quite small. However it should be kept in mind that we are using non-connected correlations functions which tend in the large times limit to $`\rho ^20.44`$. So we are actually spanning half of the allowed range.

In the inset of Fig. 2 we present the same kind of data ($`t_w=10^5,10^6`$) for the Edwards-Anderson (EA) model, which is expected to have more than two time scales. It is clear that in the EA model the slope changes along the curve and a straight line is not able to fit the whole set of data. Moreover higher temperatures data  suggest that the slope still have to decrease (in modulus) for smaller correlations, making the linear fit even poorer.

An important difference between the present model and MF approaches should be evident: activated processes present in finite-dimensional systems should dominate the asymptotic dynamics and as $`t_w\mathrm{}`$ equilibrium dynamics should be restored (a similar behavior can be observed in MF models by considering small systems ). However the time a macroscopic system needs to reach such an equilibrium (thermalization time, $`t_{\mathrm{eq}}`$) increases very rapidly with the system size and then the use of large sizes (here we have $`L=30`$ and $`60`$) prevents the system from reaching equilibrium in accessible time scales. In other words, we expect that the FDR explicitly depends on $`t_w`$ and it tends to 1 in the limit $`t_w\mathrm{}`$. However in the range $`1t_wt_{\mathrm{eq}}`$ (where we actually are) the FDR should relax into some very long plateau. It is very remarkable that finite times effects are very well described by MF theories.

In Fig. 3 we show the usual integrated response versus correlation plot for different temperatures, being the chemical potential always equal to $`\mu =1`$. We estimated, both from the density measurements and from the FDR, the glassy transition to be located around $`T_g0.2`$. So all the data refer to the glassy phase. The main result to be noted is the good parallelism between all the curves in the aging regime. They can be perfectly fitted with the same value for $`X`$ and different values for $`q_{\mathrm{EA}}`$, that increases lowering the temperature. As $`T`$ approaches $`T_g`$ from below, FDT is recovered. Also, as $`q_{\mathrm{EA}}(T)`$ decreases, $`X`$ remains constant within the numerical precision, what is in contrast with MF models where the FDR is usually proportional to the temperature ($`XT`$). The exact behavior near the transition, that is, whether $`X`$ (and $`q_{\mathrm{EA}}`$) are continuous or not , is difficult to establish numerically and will be addressed in a future work.

In summary, we have found that the glassy phase of a realistic model of structural glass presents two well separated time scales, as found in MF models of spin glasses. The out of equilibrium long time dynamics can be characterized by a constant value of the fluctuation dissipation ratio $`X`$ which is, with a very good approximation, independent of temperature in the glass phase. This last observation does not agree with MF predictions. Being a model in 3D, the frustrated lattice gas is an interesting test ground for performing a systematic study of activated processes, a main ingredient absent in MF models.

This work was partly supported by Brazilian agencies CNPq and FAPEMIG. JJA acknowledges the Abdus Salam ICTP (Trieste) for support during his stay, where part of this work was done.