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# Confusion limit due to galaxies: using SIRTF’s Infrared Array Camera

## 1 Introduction

One of the successes of the Infrared Space Observatory (ISO) mission have been the new extragalactic source counts in the mid-infrared, extracted from both deep (Oliver et al. 1997, Elbaz et al. 1999) and wide field (Serjeant et al. 2000) surveys. These counts are important in planning effective observing strategies for the next generation of space-borne IR missions, the SIRTF (Fanson et al. 1998) and ASTRO-F (Pearson et al. 2000), particularly with respect to expected source densities and confusion.

Confusion is usually defined as the fluctuations of the background sky brightness below which sources cannot be detected individually – these fluctuations are caused by intrinsically discrete extragalactic sources (we do not consider confusion due to Galactic cirrus in this work). Thus the fluctuations, or noise, come from the same sources one wishes to study.

Confusion sets an important and fundamental limit to astronomical observations. For a given wavelength and resolution, it will not be productive to extend the exposure time indefinitely since a flux density limit will be reached beyond which no additional discrete sources can be extracted. This is the limit usually referred to as the confusion limit. Confusion cannot be avoided even with arbitrarily high resolution because of the finite sizes of sources on the sky.

Just as new sub-mm data allowed Blain, Ivison & Smail (1998) to set observational limits on source confusion at those wavelengths, we are now able to estimate more accurately the confusion at mid-infrared wavelengths using deep galaxy counts from ISO data. Confusion in mid-IR has been discussed in connection with the individual deep surveys (e.g. Oliver et al. 1997 for the ISO HDF survey).

A useful theoretical definition of confusion was developed by Scheuer (1957) and followed up in numerous other works. More recently, essentially the same formalism has been used to predict confusion in observations done at radio (e.g. Franceschini 1989, Wall et al. 1982, Condon 1974), sub-mm (Toffolatti et al. 1998), and X-ray (Barcons 1992, Scheuer 1974) wavelengths. It turns out that sources at the flux density level where the surface density is approximately 1 source per beam produce the bulk of the confusion noise. This is easy to understand: at higher surface densities the multitude of sources per beam suppresses the fluctuations (contributing more to the absolute background level), while at lower surface density levels the many ’empty’ beams also decrease the fluctuations.

However, confusion is not a very straightforward limit since it is a function of wavelength, resolution, and other instrument response dependent factors. Moreover, calculations of confusion limits for a given instrument are highly source count -model dependent. ‘Confusion’ is also sometimes confused with source detection probabilities, i.e. completeness level estimation when performing source extraction and photometry. Bright sources are often neglected from confusion calculations, but these bright objects can be a major factor in lowering the completeness of detections in a given survey. The aspect of completeness vs. confusion is perhaps the least-studied in the otherwise extensive literature on confusion.

The goal of this paper is two-fold: i) to study the relation of confusion noise to actual detection of sources, and thus arrive at a practical definition for confusion, and ii) to predict this confusion limit in mid-IR specifically for the forth-coming space infrared mission, the SIRTF.

We start from analytical and theoretical confusion determination and proceed to a more observer oriented completeness analysis. In particular, we will define confusion ‘noise’ and confusion ‘limit’ and investigate their relation to completeness levels in source extraction. We specify when the different methods of deriving confusion are most appropriate and present both methods for IRAC. The relevant quantitative numbers for confusion with IRAC/SIRTF are presented in Section 6 and Table 1.

## 2 Analytical solution for confusion noise

Given the source-count distribution and the response pattern of the detector, we can estimate the confusion analytically – this has been done by many authors (see above), here we mainly follow the notation of Franceschini et al. (1989, 1991).

Let $`N(S)`$ be the differential distribution of sources of flux $`S`$ ($`N(S)`$ is used for differential counts throughout this paper instead of $`dN/dS`$). We assume that the sources are distributed randomly on the sky. Now let us include the information of the observing instrument: let $`f(\theta ,\phi )`$ be the point-spread profile (normalized to unity) of the detector. Then the amplitude of the response at location $`(\theta ,\phi )`$ from the beam axis, is

$$x=Sf(\theta ,\phi ).$$
(1)
The mean number of responses, $`R(x)`$, with amplitudes between $`x`$ and $`x+dx`$ in a solid angle $`d\mathrm{\Omega }`$ is:

$$R(x)dx=_{\mathrm{\Omega }_b}N\left(\frac{x}{f(\theta ,\phi )}\right)\frac{d\mathrm{\Omega }}{f(\theta ,\phi )}𝑑x,$$
(2)
where we integrate over the whole beam $`\mathrm{\Omega }_b`$.

The intrinsic fluctuations of $`R(x)`$ can be written simply as the second moment $`\sigma _{\mathrm{conf}}`$ of the $`R(x)`$ distribution:

$$\sigma _{\mathrm{conf}}^2=_0^{x_c}x^2R(x)𝑑x.$$
(3)
The lower integration limit is 0 because $`S`$ is always positive. The upper limit is not so straightforward; the variance would diverge if high-flux truncations are not introduced in either the source counts $`N(S)`$ or the response distribution $`R(x)`$. The limit is often set to $`x_c=Q\sigma `$, with $`Q`$ in the range of 3–5. This kind of upper limit makes the calculation an iterative process. The logic of having a response cut-off rather than a cut-off at specific flux $`S`$, is that the latter would eliminate the contribution by bright sources alltogether whereas in reality their presence – even relatively far away from the beam center – could significantly affect the measurement due to the wings of their PSFs.

Notice that if $`Q=3`$, for example, it does not follow that the objects detected will be ‘3$`\sigma `$’-detections in the conventional sense. The $`Q`$-value merely tells how large responses are included in the calculation of the confusion: this corresponds to setting a limit below which a response would not be detected with sufficient confidence as such. Thus for Poissonian and Gaussian distributions $`Q=3`$ corresponds to a probability $`0.3`$ per cent that a response $`x`$ results from a large fluctuation of the background. The $`\sigma _{\mathrm{conf}}`$ value from Eq. 3 must be multiplied by 3 to get the ‘3$`\sigma `$ confusion limit’ for the detection of objects regardless of the $`Q`$ used.

For simplicity we will assume a Gaussian beam pattern

$$f(\mathrm{\Psi })=\mathrm{exp}(4\mathrm{\Psi }\mathrm{ln}2).$$
(4)
where $`\mathrm{\Psi }=(\theta /\theta _0)^2`$. Performing the integration over the solid angle $`\mathrm{\Omega }_b`$, Eq. 3 can be written as

$$\sigma _{\mathrm{conf}}^2(x_c)=\pi \theta _0^2I(x_c),$$
(5)
where

$$I(x_c)=_0^{x_c}x^2𝑑x_0^{\mathrm{}}N\left(\frac{x}{f(\mathrm{\Psi })}\right)\mathrm{exp}(4\mathrm{\Psi }\mathrm{ln}2)𝑑\mathrm{\Psi }.$$
(6)
Because of the integration limit ($`x_c=Q\sigma `$) it is easier to compute $`\theta _0`$ (the FWHM of the beam) as a function of $`\sigma `$, i.e.

$$\theta _0=\sigma /(\pi I(x_c))^{1/2}$$
(7)
and then determine the confusion for a given $`\theta _0`$.

If the source counts have a power-law form, $`N(S)=kS^\gamma `$, Eq. 5 can be integrated to give

$$\sigma _{\mathrm{conf}}=(\frac{k\mathrm{\Omega }_e}{3\gamma })^{1/2}x_c^{(3\gamma )/2}$$
(8)
where $`\mathrm{\Omega }_e=f(\mathrm{\Psi })^{\gamma 1}𝑑\mathrm{\Omega }`$ is the effective beam size (e.g. Condon 1974, Hacking & Houck 1987). If the Gaussian beam is assumed, as above, we can find a relation

$$\sigma _{\mathrm{conf}}\theta _0^{2/(\gamma 1)}$$
(9)
in the absence of cut-offs $`S_c`$ in source fluxes.

In summary, it is evident that confusion will be a function of the beam size, the source counts, cut-offs related to the source and response distribution, and the $`Q`$-term:

$$\sigma _{\mathrm{conf}}=\sigma _{\mathrm{conf}}(\theta _0,N(S),x_c,S_c,Q)$$
(10)
## 3 The IRAC instrument

The Infrared Array Camera, (Fazio et al. 1998), is one of the three focal plane instruments on board SIRTF. IRAC is a four-channel camera that provides simultaneous images at 3.6, 4.5, 5.8, and 8 $`\mu `$m. Two adjacent 5.12′$`\times `$ 5.12′ fields of view are seen by these four channels in pairs. All four detectors are $`256\times 256`$ pixels, with 1.2″/pixel scale. The two short wavelength channels use InSb detectors while the two longer wavelengths have Si:As IBC detectors.

In the following, we concentrate on the shortest and longest wavebands, the 3.6 and 8 $`\mu `$m channels. The sensitivities in these two bands and characteristics of galaxy models, as well as confusion estimates bracket those expected from the two intermediate channels. The expected $`5\sigma `$ sensitivities in 200 s for the 3.6 and 8 $`\mu `$m bands are 3.1 and 23.2 $`\mu `$Jy, respectively, for point sources, and 0.9 and 5.1 $`\mu `$Jy/arcsec2 for extended sources. The bandwidths are 21 and 38 per cent, respectively.

The major scientific objectives for IRAC and SIRTF are i) to study the early universe; ii) to study ultraluminous galaxies and active galactic nuclei; iii) to search for and study brown dwarfs and superplanets, and iv) to discover and study protoplanetary and planetary debris disks. These objectives are also mirrored in the six large ‘SIRTF Legacy Science Programs’, which will utilize nearly 3200 hours of SIRTF observing time primarily during the first year of the mission. The projects are: ‘The SIRTF Galactic Plane Survey’; GOODS: Great Observatories Origins Deep Survey’; ‘From Molecular Clouds to Planets’; ‘SINGS: The SIRTF Nearby Galaxies Survey – Physics of the Star-Forming ISM and Galaxy Evolution’; ‘SWIRE: The SIRTF Wide-area Infrared Extragalactic Survey’; and ‘The Formation and Evolution of Planetary Systems: Placing Our Solar System in Context’. All of these are expected to result in substantial databases that will be invaluable for archival research, and in planning subsequent programs on SIRTF and on other space-borne, airborne, and ground-based observatories.

While the motivation of this paper is connected to deep surveys of the high redshift universe (e.g. GOODS), confusion limit due to galaxies is a factor also in the deeper brown dwarf searches. Additionally, confusion due to stars becomes important in these surveys when operating close to the Galactic plane, at $`b<20`$°(e.g. the Galactic Plane Survey project).

## 4 Source count models

### 4.1 Baseline model

We explore the effects of confusion and completeness with simple models of mid-infrared galaxy counts. As a first step, observed near-infrared $`K`$-band source counts are extrapolated to mid-IR.

To predict the counts at another wavelength, the specifics of the observing filter are needed, as well as the shape of the spectral energy distribution (SED) of the contributing sources at different redshifts and the numbers of these sources. The idea is to construct a model which fits reasonably well the observed counts, and then calculate the counts of the target band with the same model. Thus, a consistent extrapolation requires knowledge of the SEDs of different galaxy types, the local galaxy luminosity functions (LF) of the types, possible evolution of the sources, and a cosmological model. The observed counts themselves can then be shifted to the other band using information of the predicted colors as a function of magnitude.

In the following the baseline model is an extrapolation, such as described above, constructed to fit observed $`K`$-band counts. To compute the galaxy counts we used the general formalism presented earlier in Väisänen (1996). For the SEDs and luminosity evolution of galaxies we use the ‘bc96’ models (Bruzual & Charlot 1993) as presented in Gardner (1998). We also made use of ncmod, a useful general purpose galaxy number count model presented in Gardner (1998). We adopt a prescription for internal absorption by dust in galaxies from therein as well as the included six different galaxy types (passively evolving E/S0, Sab, Sbc, Scd, Irr, and a small population of constantly star-forming dwarfs). The galaxy mix is from Yoshii & Takahara (1988) and the $`K`$-band local luminosity function (same for all galaxy types) from Gardner et al. (1997). For cosmology we used $`H_0=50\mathrm{k}\mathrm{m}\mathrm{s}^1\mathrm{Mpc}^1`$ and $`q_0=0.02`$.

Using the model above, we shift the observed $`K`$-band counts, a compilation from Väisänen et al. 2000, to 3.6 $`\mu `$m – these are shown as crosses in Fig. 1. The predicted source count of the same model is overplotted as the thick solid line. This same baseline model is calculated also for 6.7 and 8$`\mu `$m bands. The baseline model corresponds to the one in Gardner’s (1998) Figure 11. There are other models overplotted in Fig. 1, corresponding to different cosmologies. The dash-dot curve uses the local near-IR luminosity function of galaxies from Szokoly et al. (1998), which we have found to predict near-IR counts fitting well our own wide-field galaxy counts (Väisänen et al. 2000).

### 4.2 ISO-data based model

For the 5.8 and 8 $`\mu `$m predictions, the mid-IR spectral properties of galaxies become important and extrapolations such as used for the baseline model are not trustworthy. This is because the ‘bc96’ SEDs used above do not include the broad emission features in the spectra of galaxies between 3 and 12 $`\mu `$m, commonly thought to be the signature of Polycyclic Aromatic Hydrocarbons (PAH). While global properties of galaxy populations at mid-IR remain yet uncertain, recent ISO data certainly has shown that PAH features are an important factor which cannot be ignored (eg. Mattila, Lehtinen & Lemke 1999, Genzel & Cesarsky 2000). This is particularly true for any dusty and infrared bright objects, which might well dominate counts at mid-IR. Modelling of the relevant dust and re-radiation processes is complicated (see eg. Guiderdoni et al. 1998, Silva et al. 1998, Xu et al. 1998); therefore, to be as observationally based as possible, our chosen recipe for predicting counts for the longer IRAC bands, is to take the newly available mid-IR extragalactic counts at 6.7 $`\mu `$m and shift these to the neighbouring IRAC bands.

We thus fitted an experimental source count slope to the 6.7 $`\mu `$m extragalactic counts found by various ISOCAM surveys: ELAIS (Serjeant et al. 2000), ISO-HDF project (Oliver et al. 1997), a survey at the Lockman Hole (Taniguchi et al. 1997), and the CFRS (Flores et al. 1999). The faint slope beyond the deepest observations is adjusted to typical shape of existing (evolutionary) models (Franceschini et al. 1997, Pearson & Rowan-Robinson 1996, Roche & Eales 1999). Preliminary ISO-counts from the HDF-S field are also in excellent agreement with this experimental source count model (Oliver et al. 2001, in preparation). Though various independent counts are in very good agreement, it should be noted that there still are uncertainties in the calibration of the ISOCAM data (see eg. Serjeant et al. 2000, Aussel et al. 1999). Note also that the ELAIS counts are not corrected for a possible Eddington/Malmquist type bias due to a non-Gaussian flux-error distribution (see Figure 1. in Serjeant et al. 2000).

Fig. 2 shows the recent mid-IR counts with our fitted model overplotted as the thick solid curve and the equivalent of the 3.6 $`\mu `$m baseline model as the lower thin solid line. We then translated both the 6.7 $`\mu `$m counts and the fitted model to the 8 $`\mu `$m band (Fig. 3).

Naturally the translation to the 8 $`\mu `$m band is model dependent, but since the shift is not large (the ISOCAM filter partially overlaps the IRAC 8 $`\mu `$m filter), the uncertainty is low, even given the uncertain mid-IR spectral features. We used the baseline model in the transformation. We computed numerous model counts at 6.7 and 8 $`\mu `$m, with different LFs, galaxy mixes, cosmologies, SEDs (with and without PAH features), and found that all these changes in the transformation of counts are well within the error bars of the observed counts.

### 4.3 Reliability of models

As is seen from Fig. 2, the observations do not constrain the models fainter than about 20 $`\mu `$Jy, so the faint counts therefore remain model-based. However, the baseline model provides a realistic slope prediction since it is derived from near-IR counts, which extend two decades fainter. Furthermore, the faint counts result mostly from high-$`z`$ objects seen at their redshifted near-IR rest frames, which are well modelled by the adopted SEDs.

We briefly compare some 6.7 $`\mu `$m model counts with the models used here. We have plotted the model of Franceschini et al. (1997) in Fig. 2 for reference. Models of Franceschini et al. (1991) are similar to the baseline curve here. Pearson & Rowan-Robinson (1996) models match our thick solid curve very well at and beyond the break point. The evolving model of Roche & Eales (1999) is very close to our experimental ISO-fitted curve. Overall, the faint mid-IR counts at 6.7 $`\mu `$m (and especially at 15 $`\mu `$m) are surprisingly high and have a steep slope.

At brighter flux levels, the 6.7 $`\mu `$m counts fit well the models of Pearson & Rowan-Robinson (1996), as well as those of Roche & Eales (1999), while they are in clear excess of models of e.g. Franceschini (1997) and the baseline prediction of our near-IR extrapolated model.

Where does this large difference at the mJy level number count regime come from? One explanation is the effect of PAH features. As a test, we calculated the baseline model in an alternate way, substituting all the spiral galaxy SEDs beyond 1 $`\mu `$m with mid-IR spectra taken from GRASIL results (Silva et al. 1998), which include the broad mid-IR spectral features. The effect at 1 mJy is substantial: the 6.7 $`\mu `$m band there is almost a factor of 10 increase in counts, raising the baseline model just to the level of our experimental counts. At 8 $`\mu `$m the increase is a factor of 30, which takes the baseline curve slightly higher than the ISO-fitted experimental curve. By 10 $`\mu `$Jy the counts with and without PAH features are within a factor of two again. Whether it is appropriate to use such SEDs for the whole population of disk galaxies is uncertain. Nevertheless, it is clear that the experimental ISO-fitted counts used here are by no means unrealistic, and, moreover, the PAH features in mid-IR spectra are a crucial factor in explaining mid-IR counts.

## 5 Deriving confusion

### 5.1 Confusion vs. beam size

Equation 7 is used to compute confusion as a function of FWHM of the beam size ($`\theta _0`$). This is equivalent to confusion limit curves in papers of Franceschini et al. (1989, 1991). Several different cases are plotted in Figs. 4 and 5, corresponding to source counts in Figs. 1 and 3.

Figure 4 shows effects in the 3.6 $`\mu `$m IRAC filter confusion due to typical changes in cosmology and of parameters in the $`\sigma _{\mathrm{conf}}`$ calculation. The confusion noise $`\sigma _{\mathrm{conf}}`$ for the baseline model is calculated using $`Q=3`$ (see eq. 3 and discussion following it) and plotted as the solid line. Confusion from the same model is calculated also using $`Q=2`$ and 5; these are plotted as dotted lines, below and above the first curve, respectively. The first model is then modified to flat cosmology ($`q_0=0.5`$, dashed line; it is unrealistic, but is included to compare with some earlier determinations) and to flat cosmology with a cosmological constant ($`\lambda _0=0.8`$; long-dash). Finally, the dash-dot curve corresponds to the same alternative local LF as used in Fig. 1.

Depending on which model one adopts, IRAC/SIRTF’s 1$`\sigma `$ confusion noise from the realistic models at 3.6 $`\mu `$m seems to be 0.2 – 0.5 $`\mu `$Jy for the IRAC resolution of $`2.3`$″. It is noteworthy, that changing the $`Q`$ value changes the confusion as much as extreme changes in cosmology. It is thus important to check which $`Q`$ value was used when directly adopting some confusion calculation for a given mission (eg. Toffolatti et al. 1998 use $`Q=5`$ when predicting confusion in far-IR and sub-mm).

Figure 5 shows various models for the IRAC $`8\mu `$m filter. Next we investigate changes in confusion due to different galaxy population models. The solid curve shows the adopted baseline model, equivalent to the baseline 3.6 $`\mu `$m model. The corresponding source count can be found in Fig. 3. The baseline model is close to the confusion prediction of Franceschini et al. (1991), which has been used during the SIRTF planning phases. The resulting ISO-fitted confusion curve is plotted as the thick solid line. The expected 1$`\sigma `$ confusion noise is $`\sigma _{\mathrm{conf}}0.6\mu `$Jy.

It turns out, that the flux levels contributing most to the confusion of the longer wavelength IRAC-filter are just beyond the sensitivity limit of deepest ISOCAM observations. Thus the exact amplitude and location of the ‘bump’ seen in the mid-IR counts essentially determines the expected IRAC confusion limit. We return to this issue in Section 5.3.

### 5.2 Confusion limit from surface densities

Another often used method of defining confusion is to calculate the flux density where the surface density of objects per beam becomes unity. This is done for the same models as above, using $`\omega _{eff}=\pi (\theta _0/2)^2/\mathrm{ln}2`$ as the approximate effective beam area (e.g. Condon 1974). Sets of results for both wavebands are shown in Figs. 6 and 7.

The confusion determination from the surface density will be called the confusion limit (dashed and dotted lines). In contrast, we will refer to the result of confusion calculation discussed in the previous section ($`\sigma _{\mathrm{conf}}`$, Eq. 5), as confusion noise (solid lines). Both would be called ‘$`1\sigma `$’ confusion in the literature (e.g. Blain 1998 et al.), while it is clear that there is a difference in the value of inferred confusion. The noise is a factor of 3 to 5 higher than the limit, the difference being larger at smaller FWHM’s. It is unrealistic to adopt the 1-beam-per-source ‘rule of the thumb’ as an estimate of confusion. Indeed, often the confusion limit is set to some $`N`$ beams per source, where $`N`$ is in the range 20–50.

Although both of the above confusion limit analyses are often used, they are at opposite ends with respect to their approach. The analytical calculation presented first determines the fluctuations caused by unresolved sources. The second method is based on the realization that the bulk of fluctuations resulting from these unresolved sources are caused by sources which have a source density of about one per beam. Using any given (cumulative) source count law, one can calculate where that level is, and assign it as the confusion limit. This latter method thus ignores the unresolved sources, and instead starts out by calculating numbers of bright sources. It is thus more related to completeness analysis in counting of individual galaxies – hence the term confusion limit used here. Additionally, it is difficult to associate a meaningful noise figure, one which could be added to other noise sources, to this confusion limit; it does not add in quadrature like random noise.

### 5.3 Sensitivity of confusion to models

As seen earlier, the 6.7 $`\mu `$m model is not constrained by observations below $`20`$ $`\mu `$Jy. While the faint extrapolation is based on near-IR data and realistic models, it is worth-while to investigate how sensitive the confusion noise prediction is to the model-dependent deep counts in the 8 $`\mu `$m band. Consider four ad hoc number count slopes beyond the ISO-data regime. The dashed curves in Fig. 3 show models where the amplitude of the bump at the break point of the counts (at $`10\mu `$Jy) is either higher or lower than expected from models fitted to ISOCAM data. The dotted curves assume that the break is determined correctly, but the faint slope is shallower or steeper than the one adopted previously.

Fig. 5 shows the calculated $`\sigma _{\mathrm{conf}}`$ for each of these source counts. It is obvious that the faint end slope (beyond $`6`$ $`\mu `$Jy) does not significantly affect the confusion level. The amplitude of the bump, on the other hand, is the most important factor contributing to confusion noise.

The dependence of confusion on the ‘bump’ is expected. The 8 $`\mu `$m sources start to approach beam-per-source surface densities with IRAC resolution at about the same region where the bump, or break, in the counts is. In addition, with steep counts, the sources at the cut-off (or roll-over) level are the population contributing most to confusion (eg. Toffolatti et al. 1998).

Basically, depending on whether one normalizes the faintest 6.7 $`\mu `$m counts according to the HDF-N counts (high; Oliver et al. 1997), or to the Lockman hole counts (low; Taniguchi et al. 1997), one gets almost a factor of 10 difference in $`\sigma _{\mathrm{conf}}`$ at IRAC resolution. The deep ISOCAM observations of Altieri et al. (1999), through a cluster-lens, support the high normalization.

Nevertheless, a word of warning concerning the mid-IR ISOCAM counts is warranted. Some of the observations have been pushed quite deep, for example, beyond a 20 beams-per-source level. Our photometric simulations show that the accuracy of photometry is very low at these levels, and the trend is systematically towards higher fluxes. In addition to unstable photometry, astrometric errors become significant (Hogg 2000). Thus, until the counts are confirmed by better resolution (and hopefully larger sky-coverage), it remains a possibility, that the deepest mid-IR counts (both at 6.7 and 15 $`\mu `$m) are significantly over-estimated. If that would be the case, the 8 $`\mu `$m baseline model would be more appropriate for estimating confusion levels than the ISO-fitted one.

## 6 Discussion

### 6.1 Completeness of counts in IRAC bands

Both completeness and reliability must be considered when detecting faint sources. Certain detection techniques might give high completeness rates while suffering from poor reliability. On the other hand, requiring high reliability means lower completeness at a given flux level. We study both aspects, along with the effect of source confusion, using simulations of images which are realizations of model counts introduced earlier.

An analogue of the $`\sigma _{\mathrm{conf}}(\theta _0)`$ calculation in Section 5.1 is to test how the extraction of sources from a simulated image changes with the convolving PSF. We constructed simulated images from the baseline 3.6 and 8 $`\mu `$m models – Figs. 8a and 9a show the 3.6 and 8 $`\mu `$m intrinsic cumulative model counts as dashed curves. Sources were drawn from $`N(S)`$ and distributed randomly on an image with 1.2″pixels (fractions of pixels were allowed as the center of a source). The image size was 768 pixels2, corresponding to a 3x3 mosaic of IRAC frames. The image was then convolved with different Gaussian PSFs and sources were extracted using SExtractor (Bertin & Arnouts 1996) and aperture magnitudes with approximately the size of the FWHM were calculated. The cumulative ‘observed’ counts are overplotted as solid lines.

A comparison to confusion can be made by defining 70 per cent, for example, as a satisfactory level of completeness and determining the flux density level where this completeness is reached. These were determined from each simulation and plotted in Figs. 6 and 7 as squares. The required 70 per cent completeness correspond to 3–6$`\sigma _{\mathrm{conf}}`$ confusion noise levels at FWHMs of several arc-seconds and up to $`10\sigma _{\mathrm{conf}}`$ at smaller FWHMs.

The dashed lines in Figs. 6 and 7 show the limits where there are 20 beams per source. The completeness limit is close to this level. Confusion limits are often quoted as being at 30 – 40 beams/source, which is realistic when higher completeness is required (or the definition of a beam is smaller, as eg. in Hogg 2000). Also, the example above showed a very idealized case regarding object detection – perfect Gaussian point sources, no additional noise or source clustering. We will return to the issue of detection below.

Another way to derive confusion limits from simulations is to test how the extraction of sources changes as noise is added to an intrinsically noiseless image. The same simulated images as above were used, except that now the real IRAC PSFs for the two bands were used (FWHMs for both bands are $`2.3`$″). Fig. 8b shows the same intrinsic cumulative counts as earlier and the extracted counts corresponding to different amounts of additional noise. Starting from the bottom, the noise levels correspond approximately to the following integration times (IT, in seconds): 12, 24, 48, 60, 90, 100, 200, 500, 1200, 3100, 7900, 19800, and 49600 s. We have used the low background environment and the full-array readout mode, which has only IT’s of 12, 30, 100 and 200 s available, each of which has its own sensitivity (an IT of 60 seconds results in a different noise level depending on whether it is acquired with 5 coads of 12 s IT’s or 2 readouts of 30 s IT’s). The top-most observed curve is the truly confusion-limited case, where no noise is added. It is somewhat lower than the case with a Gaussian PSF of approximately the same size as used in Fig. 8a (thick line), showing the effect of the extended wings in the real PSF.

The corresponding case for the 8 $`\mu `$m baseline model is shown in Fig. 9b. The corresponding integration times (in ksec) for the curves starting from bottom are: 0.1, 0.3, 0.7, 1.8, 4.4, 10.9, 27.1, 67.0, 166, 411, 1020, and 2530 ksecs. The top-most curve has already merged with the no-noise curve – however, it has an IT of 700 hours, an amount only the largest Legacy Science projects have.

### 6.2 Reliability of detections

Naturally the extraction algorithm plays a role in construction of the observed source counts and the exact determination of completeness levels. For example, it is seen that the extracted counts show an excess compared to input sources in Figs. 8 and 9. Examination of input and output sources in our simulations showed that this bump is mostly caused by over-estimated fluxes of sources close to the detection limit. The over-estimation is due to a ‘pedestal effect’: unresolved sources are entering the aperture where the source’s magnitude is measured, and normal sky-subtraction routines are biased because of the non-Gaussian noise coming from the positive-only signal of faint sources. We found this to be typical to all photometric systems based on aperture or isophotal photometry in very crowded fields. PSF-fitting techniques, or extremely small apertures with subsequent aperture corrections, give more accurate results in point source cases, such as the current test; however, these methods in turn have complications with real data where other shapes of objects are expected as well. The common Malmquist/Eddington-like bias is also partially responsible for the bump in the counts. It affects directly the numbers of sources counted: as there are more objects per flux (or magnitude) interval below the flux limit than above it, photometric errors preferentially scatter more fainter sources to a brighter flux bin than vice versa.

The depth reached can be optimized by tuning appropriate detection parameters in the selected extraction method. However, a detailed study of detection and photometric techniques is out of the scope of this paper. To isolate the completeness vs. confusion effects, we merely took care to be consistent from one test to another using small aperture magnitudes within SExtractor.

It is worth pointing out, however, that regardless of the extraction algorithm used the source count slope and the bright sources have a significant and large effect on confusion and completeness. In the traditional parlance of Section 2, the high response tail of the $`R(x)`$ distribution strongly affects the detection of sources. And it is the slope of the counts which determines $`R(x)`$. To illustrate this point, we performed simulations with pure power-law source counts.

Consider two source counts, showed in Fig. 10a. The differential counts have a power-law form $`N(S)S^\gamma `$, where the shallow curve has $`\gamma =1.5`$ while the steep one obeys Euclidean counts with $`\gamma =2.5`$. Both are adjusted to give counts similar to the ISO-fitted $`8\mu `$m counts (dotted line) at $`10\mu `$Jy. These counts are urealistic, of course, but do illustrate clearly the dangers of adopting confusion limits without checking how they are derived. The squares show the observed counts from images made using the two galaxy counts. The characteristic bump of the observed counts is seen with the steep slope. A steady decrease of completeness is evident with the shallow counts: the 70 per cent completeness limit is at $`10\mu `$Jy while for the Euclidean counts the limit is closer to $`5\mu `$Jy. The reason for incompleteness is seen in panel b) where the cumulative surface density of sources is plotted. There are many bright objects in the shallow count; 50 beams/source is reached at 100 $`\mu `$Jy where the completeness starts to drop. The 70 per cent completeness is at 17 beams/source. For the steep counts the drop also begins at $`50`$ beams/source, but is much faster, and by $`20`$ beams/source completeness correction of a factor of 5 would be needed. This is because we are approaching confusion noise instead of confusion limit.

Panel c) shows the pixel histograms of the images; these are equivalent to the total $`R(x)`$ distribution (Eq. 2). The distribution approaches a Gaussian as the slope steepens; with shallow slopes the histrogram approaches the $`N(S)`$ distribution (eg. Condon 1974). The width of the distribution is related to the calculated confusion noise $`\sigma _{\mathrm{conf}}`$. This is shown in panel d) as a function of FWHM. The $`\sigma _{\mathrm{conf}}(\theta _0)`$ dependence of Eq. 9 is also verified. It is seen that the $`\sigma _{\mathrm{conf}}(\theta =2.3\mathrm{})`$ from the Euclidean counts is a factor of 2 higher than from the shallow counts, in direct contrast with the expectation from source extraction simulation and surface density analysis above. For the steeper counts one can assign e.g. 5 $`\mu `$Jy as the confusion limit, which would be equivalent to $`4.5\sigma _{\mathrm{conf}}`$ or 32 beams/source. The corresponding numbers at 70 per cent completeness ($`10\mu `$Jy) for shallow curve are $`19\sigma _{\mathrm{conf}}`$ and 17 beams/source.

It thus turns out that the slope of the counts determines which sources dominate the confusion. If the source count slope is shallow, it is the bright sources which dominate, reducing the completeness of detection of an object at a given flux level. In this case the rule-of-thumb taken at $`20`$ beams/source (lower for shallow counts and higher for steeper ones) gives a good idea of the practical confusion limit.

If the slope is steep ($`\gamma >2`$) the confusion noise due to fainter sources starts reducing the completeness faster than the effect of bright neighbouring sources (see also discussion in Helou & Beichman 1990). In this case the traditional way of calculating $`\sigma _{\mathrm{conf}}`$ from Equation 5, and using $`10\sigma _{\mathrm{conf}}`$ for the confusion limit is more appropriate.

### 6.3 Integration times for IRAC

Figures 11, 12, and 13 show the expected completeness levels using different integration times for observations with IRAC’s 3.6 and 8 $`\mu `$m filters with the realistic PSF’s. Here we used a comprehensive Monte Carlo simulation: rather than extracting the source count once from an simulated image (as was done for Figs. 8 and 9), test sources of a given flux were placed one-by-one on the simulated frames and then extracted. In each flux bin for every simulation with different noise floor, the test was performed 2000 times. The integration times corresponding to the different $`1\sigma `$ noise floors are printed in ksecs. We show the baseline models and also the ISO-fitted model for the 8 $`\mu `$m band.

A ‘detection’ can be defined in various ways. Here it was defined as finding a source (the closest one) within a FWHM radius and within a $`4\sigma `$ flux interval determined from the observed spread of fluxes at the given flux density. Making the selection in this way we, first of all, avoid a serious a priori knowledge bias which would be introduced if the exact same input source were searched for from the simulated image. Secondly, we chose the mentioned flux cut to be as little as possible dependent on the used photometric technique. If, for instance, we had required a detection to be within $`\pm 30`$ per cent of the input flux (this is used in Hogg 2000) there would have been more non-detections due to the typical brightening of sources when approaching the confusion limit. In this case the resulting no-noise completeness curves in Figs. 11– 13 would be lower by a factor of $`1.5`$ at a few $`\mu `$Jy level.

Figures 11 to 13 can be used to estimate the longest useful integration times for the IRAC instrument in deep extragalactic surveys. To be totally confusion limited at 3.6 $`\mu `$m, i.e. that the incompleteness would be due only to confusion, ITs of approximately 50 ksec (14 hours) would be needed. This is within the scope of a Legacy Science type project, where a ‘noise map’ of unresolved background sources from a reasonable size of area could be obtained for fluctuation studies.

On the other hand, as far as direct source counts are concerned, much shorter ITs are adequate. Consider a 500 s exposure. At 6 $`\mu `$Jy, sources would still be detected to the confusion limit; that is sources would be lost at 20 per cent rate due to confusion only. Half of all 4 $`\mu `$Jy objects would be undetected; $`50`$ per cent of these are lost due to confusion and the other half due to sky noise. This 4 $`\mu `$Jy level corresponds to approximately $`15\sigma _{\mathrm{conf}}`$ as calculated from Eq. 7. Moreover, it is easy to see that the confusion limit is approached; if the IT is increased by a factor of 10, sources only 1.5 times fainter would be detected with the same confidence level.

If only the 3.6 $`\mu `$m band were considered, we would conclude that it does not make much sense to extend the integration time beyond 1 hour. With this IT 3 $`\mu `$Jy sources are well detected. However, one is pushing confusion already since only $`60`$ per cent of all sources at that flux level could be extracted (it becomes unreliable to interpret and model the count slopes if completeness corrections exceed a factor of 2). This limit corresponds to approximately 25 beams per source.

In the longest IRAC waveband, with the baseline model, integration times exceeding 10 hours would still uncover new sources at $`34\mu `$Jy level with only modest completeness corrections of $`1.2`$. However, truly confusion limited images at 8 $`\mu `$m are much harder to reach than at 3.6 $`\mu `$m – they would require nearly 100 hours of integration time.

A practical 8 $`\mu `$m confusion limit is reached at a brighter flux level if galaxy counts are better modelled with the ISO-fitted counts. Requiring 70 per cent completeness (with $`10\sigma `$ ideal photometric detections), sources at 4 $`\mu `$Jy would be detected with the ISO-fitted model, while 2 $`\mu `$Jy objects could be reached with the baseline model. However, in the latter case the IT needed would exceed the scope of any realistic project.

For the 8 $`\mu `$m band we conclude that an integration time of about 15 hours would be both sufficient and useful for performing a deep survey (at the same time this would allow truly confusion limited images from the two shortest wavelength filters). Sources at 4 $`\mu `$Jy would be at $`8\sigma _{\mathrm{conf}}`$ or $`11\sigma _{\mathrm{conf}}`$ depending whether galaxy counts are closer to the ISO-fitted or baseline model, respectively. Respective completeness levels would be at $``$ 60 and 80 per cent. The ISO and baseline models give 20 and 40 beams/source at 4 $`\mu `$Jy, respectively.

Table 1 summarizes the integration times along with the expected values of confusion for the main models used in this work. It gives the confusion limit and noise in the several different methods presented in this work. Specifically, it can be seen that the one-beam-per-source limit is nearly two orders of magnitude too low. Because the faint mid-IR counts are flatter in the $`3.6\mu `$m band, the overall confusion limit is best described by approximately 15 $`\sigma _{\mathrm{conf}}`$. In the longer IRAC waveband the limit is $`10`$. The steepest counts are the baseline $`8\mu `$m – the resulting adopted confusion is approximately 25 beams/source, while for the other two cases in the table confusion could be described as $`20`$ beams per source.

There are indications that the IRAC resolution might prove to be better than the instrument specifications used here ($`2.3\mathrm{}`$). If this will be the case, confusion estimates change somewhat, especially for the two shortest wavelength bands. If the 3.6 $`\mu `$m band would achieve an in-flight PSF of $`1\mathrm{}`$, the $`\sigma _{\mathrm{conf}}`$ value would decrease by a factor of 7 (taking into account the 1.2″pixel size). A limit of 25 beams/source would be at 0.5 $`\mu `$Jy. It would therefore become difficult to reach confusion limited images in this band. The 8 $`\mu `$ band estimates would not change significantly from the values presented above. The possibly improving resolution will be counteracted by real images, which are not so ideal as the point-source simulations performed here but will be spatially resolved galaxies.

Finally, note that if 90 per cent completeness were desired, confusion limits are more appropriately at $`10\mu `$Jy, or at around 100 beams/source. If 80 per cent completeness is enough, IRAC confusion limits are at $`6\mu `$Jy.

### 6.4 Detection of high-$`z`$ objects

The study of high-redshift universe with SIRTF is highly dependent on obtaining accurate enough photometric redshifts of distant galaxies. This can be performed by tracking the signature of the H- opacity feature in galaxy spectra as it passes through the IRAC filters (Wright, Eisenhardt & Fazio 1994). As far as IRAC sensitivities are concerned, Simpson & Eisenhardt (1999) show that a realistic goal for the deep galaxy surveys is to determine these redshifts accurately for $`L^{}`$ galaxies up to $`z4`$. However, they did not consider confusion in their calculations, though they refer to the $`1\sigma _{\mathrm{conf}}0.5\mu `$Jy expected from Franceschini et al. (1991). The results thus seem optimistic compared to work here. Flux densities of 1–2 $`\mu `$Jy seem impossible to reach. Certainly many individual sources at this level will be extracted, but they come from deep within the confused regime, so that obtaining global properties would be highly uncertain due to large completeness and photometric corrections.

According to our confusion estimates, and using model spectra of an evolved $`L^{}`$ galaxy (Fazio et al. 1998), these galaxies can be detected out to $`z3.5`$ using the baseline model case. This is obtained by setting 3 $`\mu `$Jy as the lowest flux density level where object photometry can be determined with enough accuracy (we assume $`10\sigma `$ in ideal case, which still leaves room for source extraction in practice, when objects are not point sources). In the ISO-fitted case $`z3`$ could still be reached.

The situation changes if the highest amplitude ISOCAM galaxy counts (HDF-N counts of Oliver et al. 1997) prove to be the most accurate counts. If the bright bump -model (higher dashed line in Figs. 3 and 5) were used, the 8 $`\mu `$m band would already become practically confusion limited at 10 $`\mu `$Jy. This would limit high-$`z`$ observation to $`z2`$.

It is just these faint IR-galaxies with unknown population characterisctics that SIRTF projects will be studying. If the deep surveys detect high counts and surface densities, as would be expected from ISOCAM results, it would immediately imply strong evolution (e.g. Elbaz et al. 1998), and possibly hitherto unknown evolutionary stages of infrared-bright objects. On the other hand, that would also necessarily mean that the IRAC instrument is becoming confusion limited sooner than expected, and the highest-$`z`$ studies of galaxies may suffer. Surveys reaching galaxies at $`z>3`$ are possible only if the mid-IR counts are at a moderate level and/or the in-flight IRAC PSF performance will be at the most optimistic values in all IRAC filters.

## 7 Summary

We have presented empirically based estimates for confusion due to galaxies in mid infrared wavelengths. For SIRTF’s IRAC bands the confusion limits are at 3 – 4 $`\mu `$Jy, if completeness corrections by a factor of 1.3 to intrinsic counts are allowed. The $`1\sigma `$ confusion noise ranges from 0.2 to 0.5 $`\mu `$Jy moving from the 3.6 $`\mu `$m waveband to the 8 $`\mu `$m. If the highest amplitude ISO-based mid-IR galaxy counts will be confirmed, the confusion limit is higher by a factor of two.

We have shown the differences between commonly used confusion definitions. Specifically we separated confusion noise from confusion limit, so that the first relates to the fluctuations from unresolved sources and the latter is defined by source surface density arguments or derived by completeness analysis of source detections. The slope of counts determines which confusion determination is more appropriate to use. With steep counts it is the faint source fluctuations which dominate, and when the count slope is shallow bright sources decrease completeness efficiently and thus determine the confusion limit. The combination of IRAC resolution and typical mid-IR source counts is an intermediate case, where the overall confusion limit ($`4\mu `$Jy) can be found at 10–20 times the confusion noise $`\sigma _{\mathrm{conf}}`$.

We conclude that to make a useful high-redshift ($`z3`$) deep survey with SIRTF/IRAC, integration times of at least 15 hours should be used. Such a survey would be confusion limited at 3.6 and 4.5 $`\mu `$m, if the original IRAC design requirement resolution is used. If sharper images are obtained, 3.6 $`\mu `$m images will become confusion limited at similar integration times as the 8 $`\mu `$m channel, i.e. only after 100 hours.

## Acknowledgements

P.V. wishes to thank the Finnish Academy and the Smithsonian Institution for support during this research.


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# MEASURING TRANSVERSITY WITH T-ODD SINGLE PARTICLE PRODUCTION

## Abstract

The transversity distribution can be measured at leading-twist in single-particle inclusive DIS, where it appears in connection with chiral-odd fragmentation functions. Among these functions, we focus on the time-reversal odd ones. They occur in fragmentation to unpolarized hadrons or polarized spin-one hadrons. Using a simple model, we show how these functions can be non-vanishing and we discuss the asymmetries where they can be measured together with the transversity distribution.

The quark transversity distribution $`h_1`$ is an essential component in the description of the nucleon’s spin. Being chiral-odd, $`h_1`$ must be coupled to another chiral-odd function to appear in a physical observable. In 1-particle-inclusive deep inelastic scattering, it can occur in transverse spin asymmetries at leading order in $`1/Q`$, in connection with a fragmentation function. When the final state hadron has no spin or spin 1, the involved chiral-odd fragmentation functions belong to the class of the so-called time-reversal odd (T-odd) functions. We are going to focus on these.

It is well established that T-odd fragmentation functions do not vanish in the case of two-hadron production, but it is possible to show that this happens in one-hadron production, too. In fact, the key feature to produce a T-odd function is the presence of an interference between two scattering amplitudes with different imaginary parts. In the case of two-hadron production, such an interference can occurr, for instance, between the resonant and the non-resonant channels. In the case of one-hadron production, the simplest expedient is to include one-loop corrections and to produce an interference between the tree-level and the one-loop amplitudes.

To show that this procedure indeed yelds non-zero T-odd functions, in a recent article we used a simple model to calculate the Collins function, which is the archetype of a T-odd function. Considering the fragmentation process $`q^{}(k)\pi (p)X`$, we define the Collins function, which depends on the longitudinal momentum fraction $`z_\pi `$ of the pion and the transverse momentum $`k_T`$ of the quark, as

$$\frac{ϵ_T^{ij}k_{Tj}}{M_\pi }H_1^{}(z_\pi ,k_T^2)=\frac{1}{4z_\pi }dk^+\text{Tr}[\mathrm{\Delta }(k,p)\mathrm{i}\sigma ^i\gamma _5]|_{k^{}=\frac{p^{}}{z_\pi }},$$
(1)
with $`M_\pi `$ denoting the pion mass, $`ϵ_T^{ij}ϵ^{ij+}`$ and $`\mathrm{\Delta }(k,p)`$ denoting the quark-quark light-front correlation function

$$\mathrm{\Delta }(k,p)=\underset{X}{}\frac{\mathrm{d}^4\xi }{(2\pi )^4}\mathrm{e}^{+\mathrm{i}k\xi }0|\psi (\xi )|\pi ,X\pi ,X|\overline{\psi }(0)|0.$$
(2)
To describe the matrix elements in the correlation function, we use a pseudoscalar coupling between quarks and pions given by the interaction Lagrangian $`_I(x)=\mathrm{i}g\overline{q}(x)\gamma _5q(x)\pi (x)`$. This is clearly an oversimplified approach, but the model contains the essential elements required for our discussion. In particular, it is time-reversal invariant.

The one-loop diagrams contributing to the Collins function are shown in Fig. 1 (a).

In the computation, the relevant components to be included are the self-energy correction and the vertex correction. They are sketched in Fig. 1 (b). The functions $`\mathrm{\Sigma }(k)`$ and $`\mathrm{\Gamma }(k,p)`$ appearing in the diagrams can be parametrized as

$$\mathrm{\Sigma }(k)=A\text{/}k+Bm,\mathrm{\Gamma }(k,p)=C+D\text{/}p+E\text{/}k+F\text{/}p\text{/}k.$$
(3)
After calculating and summing the contributions of the four relevant diagrams, we insert the resulting correlation function in Eq. (1) to obtain the result

$`H_1^{}(z_\pi ,k_T^2)=`$
$`{\displaystyle \frac{g^2M_\pi }{8\pi ^3}}{\displaystyle \frac{1}{1z_\pi }}\left({\displaystyle \frac{m\mathrm{Im}(A+B)}{(k^2m^2)^2}}+{\displaystyle \frac{\mathrm{Im}(D+E+mF)}{(k^2m^2)}}\right)|_{k^2=\frac{z_\pi }{1z_\pi }k_T^2+\frac{m^2}{1z_\pi }+\frac{M_\pi ^2}{z_\pi }},`$
where $`m`$ is the mass of the quark.

Thereby, we have shown that the Collins function can be generated by including one-loop corrections in the fragmentation process. Though we performed an explicit calculation using a simple model, we believe that the same procedure can produce T-odd fragmentation functions in a much wider class of situations, with different models and different particles in the final states. The inclusion of one-loop corrections is therefore a simple and general way to produce T-odd single particle fragmentation functions and gives a convincing indication that these functions are non-zero. Given these considerations, one-particle inclusive DIS stands out as a promising process to investigate the transversity distribution of the nucleon.

The first case where the transversity distribution can be observed with T-odd functions is the production of a pion (or any unpolarized hadron) from a transversely polarized target. To single out the contribution containing the transversity distribution, it is required to measure the azimuthal asymmetry

$`{\displaystyle \frac{|P_\pi |}{z_\pi M_\pi }}\mathrm{sin}(\varphi _\pi ^{\mathrm{}}+\varphi _S^{\mathrm{}})_T`$ (5)
$``$ $`{\displaystyle d\varphi _S^{\mathrm{}}d\varphi _\pi ^{\mathrm{}}\mathrm{d}|P_\pi |\frac{|P_\pi |^2}{z_\pi M_\pi }\mathrm{sin}(\varphi _\pi ^{\mathrm{}}+\varphi _S^{\mathrm{}})\frac{\mathrm{d}\sigma ^{}\mathrm{d}\sigma ^{}}{\mathrm{d}(x_B,z_\pi ,y,\varphi _S^{\mathrm{}},\varphi _\pi ^{\mathrm{}},|P_\pi |)}}`$
$`=`$ $`{\displaystyle \frac{4\pi \alpha ^2s}{Q^4}}x_B|S_T|(1y){\displaystyle \underset{a}{}}e_a^2h_1^a(x_B)H_1^{(1)a}(z_\rho ),`$
where $`P_\pi `$ is the perpendicular component of the pion momentum, $`y`$ is the energy fraction of the scattered lepton, $`\varphi _S^{\mathrm{}}`$ and $`\varphi _\pi ^{\mathrm{}}`$ are respectively the azimuthal angles of the target’s transverse spin ($`S_T`$) and of the outgoing pion, with respect to the scattering plane. The summation runs over quark flavors with charge $`e_a`$.

In the case of the production of spin-one hadrons, the extra information about the polarization of the final state is contained in the dependence of the cross section on the decay angles of the decay products. The azimuthal asymmetries can in general be defined as 111Although in the following we specialize the discussion on the $`\rho `$ meson, everything can be applied also to higher mass vector mesons.

$`W_T`$ $`=`$ $`{\displaystyle d\varphi _S^{\mathrm{}}d\varphi _\rho ^{\mathrm{}}\mathrm{d}|P_\rho |d\varphi _\pi ^{\mathrm{}}W\frac{\mathrm{d}\sigma ^{}\mathrm{d}\sigma ^{}}{\mathrm{d}(x_B,z_\rho ,y,\varphi _S^{\mathrm{}},\varphi _\rho ^{\mathrm{}},|P_\rho |,\varphi _\pi ^{\mathrm{}},\theta _\pi )}},`$ (6)
where $`W=W(\varphi _\rho ^{\mathrm{}},|P_\rho |,\varphi _\pi ^{\mathrm{}},\theta _\pi )`$, $`\varphi _\pi ^{\mathrm{}}`$ is the azimuthal angle of one of the decay pions with respect to the scattering plane and $`\theta _\pi `$ is the polar angle of the same pion as measured in the $`\rho `$ meson rest-frame with respect to the direction of the meson in the target rest-frame.

The following asymmetries containing the transversity distribution can then be obtained at leading order in $`1/Q`$:

$`\mathrm{sin}(\varphi _\pi ^{\mathrm{}}+\varphi _S^{\mathrm{}})_T`$ (7)
$`=`$ $`{\displaystyle \frac{2\pi \alpha ^2s}{Q^4}}x_B|S_T|(1y)|\mathrm{sin}2\theta _\pi |{\displaystyle \underset{a}{}}e_a^2h_1^a(x_B)H_{1LT}^a(z_\rho ),`$
$`{\displaystyle \frac{|P_\rho |}{2z_\rho M_\rho }}\mathrm{sin}(2\varphi _\pi ^{\mathrm{}}+\varphi _S^{\mathrm{}}\varphi _\rho ^{\mathrm{}})_T`$ (8)
$`=`$ $`{\displaystyle \frac{4\pi \alpha ^2s}{Q^4}}x_B|S_T|(1y)\mathrm{sin}^2\theta _\pi {\displaystyle \underset{a}{}}e_a^2h_1^a(x_B)H_{1TT}^{(1)a}(z_\rho ),`$
$`{\displaystyle \frac{|P_\rho |}{2z_\rho M_\rho }}\mathrm{sin}(\varphi _S^{\mathrm{}}+\varphi _\rho ^{\mathrm{}})_T`$ (9)
$`=`$ $`{\displaystyle \frac{4\pi \alpha ^2s}{Q^4}}x_B|S_T|(1y){\displaystyle \frac{\left(13\mathrm{cos}^2\theta _\pi \right)}{2}}{\displaystyle \underset{a}{}}e_a^2h_1^a(x_B)H_{1LL}^{(1)a}(z_\rho ),`$
$`{\displaystyle \frac{|P_\rho |^2}{2z_\rho ^2M_\rho ^2}}\mathrm{sin}(\varphi _S^{\mathrm{}}+2\varphi _\rho ^{\mathrm{}}\varphi _\pi ^{\mathrm{}})_T`$ (10)
$`=`$ $`{\displaystyle \frac{4\pi \alpha ^2s}{Q^4}}x_B|S_T|(1y)|\mathrm{sin}2\theta _\pi |{\displaystyle \underset{a}{}}e_a^2h_1^a(x_B)H_{1LT}^{(2)a}(z_\rho ).`$
Note that the asymmetry of Eq. (7) could represent a very convenient way to measure the transversity distribution because it does not require the perpendicular momentum of the outgoing hadron to be detected. It represents a specific case of the more general two-pion production and should exhibit a well known Breit-Wigner dependence on the invariant mass of the pion couple.

This work has been done in collaboration with R. Kundu, A. Metz and P. Mulders at the Free University of Amsterdam.


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# Inner Market as a “Black Box”

Physics Department, Bar-Ilan University, Ramat Gan, Israel.

Abstract.

Each market has its singular characteristic. Its inner structure is directly responsible for the observed distributions of returns though this fact is widely overlooked. Big orders lead to doubling the tails. The behavior of a market maker with many or few “friends” who can reliably loan money or stock to him is quite different from the one without. After representing the inner market “case” we suggest how to analyze its structure.

Introduction

Recently several market models claimed to find self-organization in market behavior. Bak et al (1997) made a surprising claim that one singular feature - mimicking majority - can fix the Hurst exponent of the distribution of price returns. An obvious fact was overlooked - namely that an ordinary market player cannot know all the prices offered and asked at the market. (He knows only the prices of his market-maker.) The only people who possess such knowledge are market-makers.

Moreover, only on the level of market-makers one can answer the criticism of this model voiced by Levy and Solomon (1997) that the mimicking leads to “correlations between investments of large sets of individual investors of equal wealth”. Levy and Solomon claimed that such correlations were not observed at the level of the “big market”. However, this is perfectly true at the level of the “inner market”. It is clear that maker-makers try to hold their spread as majority do - not to loose money or clients. It would be interesting to repeat an experiment of ref.  for smaller number of agents.

Zhang (1999), on the basis of some empirical evidence, claimed that the price grows as a square root of market pressure (difference between number of buyers and sellers). However, these buyers and sellers, who were taken into account, bought and sold their stock at the Bid-Ask prices, or what is the same, bought and sold from market-makers. So we can reverse the picture claiming that market-makers somewhat “soften” the pressure by allowing price to grow slower than - as it might be thought - linearly. We will argue that this is because their response is somehow delayed.

In application of Minority Game to portraying the market dynamics, Giardina et al (2001) argue that random signals (orders) convert a competition between two (active and passive) strategies in something similar to the returns of random walk - this leads to the growth of the correlation in activity as square root of time. Still various features of such a market remained unexplained: Minority Game assumes two outcomes and it is unclear how to distinguish between bying and selling. 111 Remarks, like “the best strategies tend to deteriorate”, are in contradiction to results of ref. . As a result, only so-called market activity was investigated. Some important things, like truncation of density function for survival time of both strategies, remained unexplained. The major fact, however, which was overlooked is that “strategies” are the property of the only group in the market - market-makers. And two strategies discussed in ref (4) - passive and active (buying and selling) - are to hold a fixed Bid-Ask spread as other market-makers or to change it (lower Ask or raise Bid).

Inner Market influence on the general market behavior

Solomon and Richmond (2001) provided an excellent example of inner market influence on the final market phenomena. Introduction of a specialist (Osborne’s: the man handling mainly big orders) can double the tail of the distribution of the returns. Indeed, from matching a pair of two big orders one comes to joint distribution:

$$P1(v>x)=P(v>x)P(v>x).$$

This leads from a Pareto tail $`P(v>x)x^\alpha `$ with $`\alpha =3/2`$ to a Pareto tail $`P_1(v>x)x^\beta `$ with $`\beta =3`$, which is observed across the markets.

This phenomenon might be also accounted for by an observed “truncation” of the tails of Levy distribution across many markets and is worth further investigated. It is interesting that at many markets the specialist is removed at times of crises, so a natural suggestion would be to check whether “truncation” still exists at the time of crisis.

Another example of possible inner market influence on overall price can be seen from Langevin equation in the form developed by Bouchaud and Cont (1998). This purely phenomenological eqaution produced some global market features like bubbles, behavior at the time of crisis etc. Surely, their phenomenological description of the whole market is also relevant for “inner market” - market-makers are accustomed to fear $`(a)`$ and greediness $`(b)`$ no less than the rest of the population. Then price returns $`(u)`$ satisfy the equation:

$$Du/dt=cu+aubu^2+K\kappa (t).$$

To reproduce the empirical laws, especially long-ranged correlations, one must be careful about coefficient K before the noise term. A natural choice is to put $`K=u^2`$. However, this choice alone does not lead to a power-like tail for distribution of $`u`$, as it is easy to see applying Focker-Planck equation (ref. , p. 230). To reproduce a power-like tail of distribution of returns one has to change the term $`(cu)`$, representing market, to $`(cu^3)`$. The smaller influence of this term on $`Du/dt`$ for small u’s will reflect the fact that small trades are completely absorbed by market-makers without changes in prices.

Polynomial tail consists of two parts. Stratanovich’s term in the Focker-Planck equation brings $`u^1`$ to the density function and the “market” term $`cu^3`$ will bring $`u^c`$ and together they give $`u^{1c}`$. As we saw before, a presense of a specialist may double the constant $`c`$. 222 This, however, should be further tuned to adjust it to the lucid “geometrical” interpretation of different market phenomena (like bubbles etc) delineated in the ref.

Market Basics

Many postulates and nuances of the market “mechanics” were explained by Osborne (1977), whose book was recently brought to light and popularized by McCauley (2000). Some of the basic market principles are:

1. The market should be continuous (market should suggest a spread at any time). 2. Holding inventories and money, a market-maker should not exceed certain limits. 3. Profit monies do not enlarge inventory but are put aside.

Nuances are: each market-maker could have friends who can allow him to relax his own bounds on inventories. This can be conveniently portrayed by a “friendship” matrix, whose entries $`G_{i,j}`$ show ability by market-maker $`j`$ to help market-maker $`i`$. (One can chose another approach and assume further that each market-maker has his buying and selling curve for buying and selling blocks of different size - the exponent already may include the “friendship” matrix.) These two curves - for buying and selling - might be slightly different: this asymmetry was emphasized by Zhang (1999).

Market Dynamics

The basic answer to the most empirical laws above is the distribution of time intervals for market-makers before changing their spread after trading a big amount of stock, or in the language of Minority Game, of changing his “passive strategy” to the “active” one. We assume that a market-maker does not like to leave his inventory unbalanced overnight and certainly - not over weekend. Therefore he is ready to sell his extra stock for a lower price or to buy it back for a higher price. How much lower or higher? It depends on the closedness of the market-maker’s horizon (week-end). (The same feature can be observed at any “liquid” fruit-vegetable market - on Friday afternoon prices go down dramatically).

This scheme implies that the price drops when a market-maker is unable to recover symmetry in his inventories for some time depending on his “patience” or “fear”. We have to evaluate the average time he can hold his current spread before going to an “active” strategy - to lower his Ask or raise his Bid - which automatically will change the market price. We should assume that his “patience” is also restricted (“truncated”) by closedness of the end of the day and even more by the end of the week. This “truncation” alone can explain power-type tails of the “passive” time intervals distribution.

The “root square law” in activity correlations for small time intervals found in Giardina et al (2001) was based on stochastic mathematics suggested in Godreche and Luck (1999). The major conclusion was that the “root square law” comes from the very fact of randomness of incoming signals and a resulting $`x^{3/2}`$ distribution of time switches between two strategies. Our goal is discover the same law in the framework described above.

Mathematical model

We assume that each market-maker $`j`$ has his maximal asymmetry limit, denoted $`Limit(j)`$ 333 These Limits are distributed according to Pareto law $`w^{3/2}`$. and number of friends which can be encoded in “friendship” matrix $`G_{i,j}`$. Randomly, at time t a market-maker trades an amount of stock, denoted $`Order(t)`$, which is also taken from distribution $`w^{}\alpha `$ (because orders are proportional to general wealth distribution as convincingly, albeit differently, argued in ref. , , ). Then, if the $`Order`$ exceeds his $`Limit`$, he waits for $`\mathrm{\Delta }t`$ time which reflects his “fear” and his wealth (ability to accept the $`Order`$)

$$e^{\mathrm{\Delta }t|(Order(t_0)Limit(j)\mathrm{\Sigma }_iG_{i,j}(t))|}<F(j)(),$$

where $`F(j)`$ is his “patience” or “fear” 444“Fears” can be thought as uniformly distributed in $`(0,1)`$ accross j’s. and term $`\mathrm{\Sigma }_iG_{i,j}(t)`$ shows a current ability of his friends to help him. Clearly, if the asymmetry exceeds his limits, he is unable to help his friends. At the point in time where the inequality (\*) no longer holds, and meantime the reverse (trade back) order did not occur, a market-maker become “active” - he lowers or raises his spread. This time interval might be calculated as

$$\mathrm{\Delta }t=log(1/F(j))/|Order(t_0)Limit(j)\mathrm{\Sigma }_iG_{i,j}(t)|+\eta (t_k),$$

where positively distributed $`\eta (t_k)`$ represents randomly appearing opposite orders which can increase his readiness to hold his old spread or, if these orders will be comparable to the first one, even cancel his desire to change his spread.

Whether the distribution of time holdings of the spread according to this strategy has $`x^{3/2}`$ tail should be further clarified. However, this scheme provides a missing ingredient of ref. , namely upper truncation of the tail of that distribution. The important factor has to be considered - the closedness of the end of the day or the end of the week $`\delta t`$. With unbalanced inventory a market-maker before the week-end likely changes his spread to recover the balance.

This “truncation” was an important part of the argument given in ref.  for the variogram of activity to behave as a square root of time for short times.

Further Research

Our next effort will be to uncover the hidden features of the market: number of market-makers, their inventory limits and their friendship matrix. The question, of course, is how. The simplest argument can be borrowed from Solomon and Richmond : the lowest limit (wealth) among market-makers might define exponent of the distribution of their inventory limits. So from tail $`x^\alpha `$ one can find the lower limit as proportional to $`1/(11/\alpha )`$ and thus - the wealth of the poorest market-maker. However, many “friends” of the poorest market-maker can change the tail of the exponent.

We give one more example. Short-ranged correlations in distributions of returns (period from 4 to 15 minutes) can be observed across all markets (see, e.g., \[13, p. 54\]). This period shows how quickly the price is “recovered” on average or, in our terminology, how quickly an average market-maker can trade back an average amount of stock to recover a previous spread. So a period from 4 to 15 minutes may uniquely characterize a particular market and exact “inverse” methods have to be developed to uncover hidden (from public) variables. And before answering about average strategy of an average player of a “big market” we can answer some questions about market inner circle.

Conclusions

We suggested a straightforward approach to attack numerous general laws observed in time series of price returns. The market, no matter how big, is governed by a small group of people called market-makers, whose Pareto-like limits for inventories and - more important - particular behavior (their fear of unbalanced inventories) predefine distribution laws of the entire market. Their “strategies” amount to keeping fixed or to changing their spreads by different amounts. In either case, their true strategy is to uphold fundamental principles of the market.

It means that the so-called “free” economy is in fact predefined by properties of a small group of people who are ready to do their utmost to support its spirit and first principles. In social terminology we call them bureaucracy or government. In the terminology of “market ecology”, together with “predates and prey” (speculators and producers - see ) they are true hosts of the forest - foresters.

Acknowledgements

Conversations with Y. Avishai, Sh. Havlin, T. Kalisky are acknowledged. I admit that the work of J-P. Bouchaud, alone and with collaborators, was of great inspiration to this research. Some other important insights were learned from the papers of Y-C. Zhang.

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