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# Quantum probabilities as Bayesian probabilities

## I Introduction

There are excellent reasons for interpreting quantum states as states of knowledge . A classic argument goes back to Einstein . Take two spatially separated systems $`A`$ and $`B`$ prepared in some entangled quantum state $`|\psi ^{AB}`$. By performing the measurement of one or another of two observables on system $`A`$ alone, one can immediately write down a new state for system $`B`$—either a state drawn from a set $`\{|\varphi _i^B\}`$ or a set $`\{|\eta _i^B\}`$, depending upon which observable is measured. Since this holds no matter how far apart the two systems are, Einstein concluded that quantum states cannot be “real states of affairs.” For whatever the real, objective state of affairs at $`B`$ is, it should not depend upon the measurements made at $`A`$. If one accepts this conclusion, one is forced to admit that the new state (either a $`|\varphi _i^B`$ or a $`|\eta _i^B`$) represents partial knowledge about system $`B`$. In making a measurement on $`A`$, one learns something about $`B`$; the state itself cannot be construed to be more than a reflection of the new knowledge.

The physical basis of Einstein’s argument has recently become amenable to experimental test. Zbinden et al.  have reported an experiment with entangled photons in which the detectors at $`A`$ and $`B`$ are in relative motion. The experimental data rule out a certain class of realistic collapse models, i.e., models in which the real state of affairs at $`B`$ changes as a result of the measurement at $`A`$. They also put a lower bound of $`10^7`$ times the speed of light on the speed of any hypothetical quantum influence of the measurement at $`A`$ on the real state of affairs at $`B`$.

We accept the conclusion of Einstein’s argument and start from the premise that “quantum states are states of knowledge.” An immediate consequence of this premise is that all the probabilities derived from a quantum state, even a pure quantum state, depend on a state of knowledge; they are subjective or Bayesian probabilities. We outline in this paper a general framework for interpreting all quantum probabilities as subjective.

If two scientists have different states of knowledge about a system, they will assign different quantum states, and hence they will assign different probabilities to the outcomes of some measurements. This situation is commonly encountered in quantum cryptographic protocols , where the different players, possibly including an eavesdropper, have different information about the quantum systems they are handling. In a Bayesian framework, the probabilities assigned by the different players are all treated on an equal footing; they are all equally valid. Subjective probability has, therefore, no a priori connection to measured frequencies and applies naturally to single quantum systems.

The Bayesian approach has been very successful in statistics , observational astronomy , artificial intelligence , and classical statistical mechanics . It seems to be the general opinion, however, that the Bayesian interpretation is not suitable for quantum-mechanical probabilities. The probabilities that come from a pure state are intrinsic and unavoidable. How can they not be objective properties when they are prescribed by physical law? How can Bayesian quantum state assignments be anything but arbitrary? Hasn’t the tight connection between probability and measured frequencies been verified in countless experiments? What is an experimenter doing in quantum-state tomography  if not determining the unknown objective quantum state of a system?

In this paper we give answers to these questions. These answers turn out to be simple and straightforward. After a brief introduction to Bayesian probability theory, we use Gleason’s theorem  to show that any subjective quantum probability assignment must have the form of the standard quantum probability rule. We then use a version of the so-called Dutch-book argument  to show that if a scientist has maximal information about a quantum system, he must assign a unique pure state. Our next step is to show that in the case of maximal information, there is a conceptually simple connection between (subjective) probability and (measured) frequency, which is tighter than can be justified classically. Finally, we consider quantum-state tomography, where an experimenter is said to be determining the “unknown quantum state” of a system from the results of repeated measurements on many copies of the system. An “unknown quantum state” is an oxymoron if quantum states are states of knowledge, and we show how it can be eliminated from the description of tomography by using a quantum version of the de Finetti representation theorem for exchangeable sequences . We conclude with a brief summary and an outlook.

## II Bayesian probability and the Dutch book

Bayesian probabilities are degrees of belief or uncertainty , which are given an operational definition in decision theory , i.e., the theory of how to decide in the face of uncertainty. The Bayesian approach captures naturally the notion that probabilities can change when new information is obtained. The fundamental Bayesian probability assignment is to a single system or a single realization of an experiment. Bayesian probabilities are defined without any reference to the limiting frequency of outcomes in repeated experiments. Bayesian probability theory does allow one to make (probabilistic) predictions of frequencies, and frequencies in past experiments provide valuable information for updating the probabilities assigned to future trials. Despite this connection, probabilities and frequencies are strictly separate concepts.

The simplest operational definition of Bayesian probabilities is in terms of consistent betting behavior, which is decision theory in a nutshell. Consider a bookie who offers a bet on the occurrence of outcome $`E`$ in some situation. The bettor pays in an amount $`px`$—the stake—up front. The bookie pays out an amount $`x`$—the payoff—if $`E`$ occurs and nothing otherwise. Conventionally this is said to be a bet at odds of $`(1p)/p`$ to 1. For the bettor to assign a probability $`p`$ to outcome $`E`$ means that he is willing to accept a bet at these odds with an arbitrary payoff $`x`$ determined by the bookie. The payoff can be positive or negative, meaning that the bettor is willing to accept either side of the bet. We call a probability assignment to the outcomes of a betting situation inconsistent if it forces the bettor to accept bets in which he incurs a sure loss; i.e., he loses for every possible outcome. A probability assignment will be called consistent if it is not inconsistent in this sense.

Remarkably, consistency alone implies that the bettor must obey the standard probability rules in his probability assignment: (i) $`p0`$, (ii) $`p(AB)=p(A)+p(B)`$ if $`A`$ and $`B`$ are mutually exclusive, (iii) $`p(AB)=p(A|B)p(B)`$, and (iv) $`p(A)=1`$ if $`A`$ is certain. Any probability assignment that violates one of these rules can be shown to be inconsistent in the above sense. This is the so-called Dutch-book argument . We stress that it does not invoke expectation values or averages in repeated bets; the bettor who violates the probability rules suffers a sure loss in a single instance of the betting situation.

For instance, to show that $`p(AB)=p(A)+p(B)`$ if $`A`$ and $`B`$ are mutually exclusive, assume that the bettor assigns probabilities $`p_A`$, $`p_B`$, and $`p_C`$ to the three outcomes $`A`$, $`B`$, and $`C=AB`$. This means he will accept the following three bets: a bet on $`A`$ with payoff $`x_A`$, which means the stake is $`p_Ax_A`$; a bet on $`B`$ with payoff $`x_B`$ and thus with stake $`p_Bx_B`$; and a bet on $`C`$ with payoff $`x_C`$ and thus with stake $`p_Cx_C`$ . The net amount the bettor receives is

$$R=\{\begin{array}{cc}x_A(1p_A)x_Bp_B+x_C(1p_C)\hfill & \text{if }A\neg B\hfill \\ x_Ap_A+x_B(1p_B)+x_C(1p_C)\hfill & \text{if }\neg AB\hfill \\ x_Ap_Ax_Bp_Bx_Cp_C\hfill & \text{if }\neg A\neg B\hfill \end{array}$$
(1)
The outcome $`AB`$ does not occur since $`A`$ and $`B`$ are mutually exclusive. The bookie can choose values $`x_A`$, $`x_B`$, and $`x_C`$ that lead to $`R<0`$ in all three cases unless

$$0=det\left(\begin{array}{ccc}1p_A& p_B& 1p_C\\ p_A& 1p_B& 1p_C\\ p_A& p_B& p_C\end{array}\right)=p_A+p_Bp_C.$$
(2)
The probability assignment is thus inconsistent unless $`p(AB)=p_C=p_A+p_B`$.

In our experience physicists find it difficult first to accept and then to embrace the notion that subjective probabilities receive their only operational significance from decision theory, the simplest example of which is the Dutch-book argument in which probabilities are defined to be betting odds. In the Dutch-book approach the structure of probability theory follows solely from the requirement of consistent betting behavior. There is no other input to the theory. For example, normalization of the probabilities for exclusive and exhaustive alternatives is not an independent assumption, so obvious that it needs no justification. Instead normalization follows from probability rules (ii) and (iv) above and thus receives its sole justification from the requirement of consistent betting behavior.

The only case in which consistency alone leads to a particular numerical probability is the case of certainty, or maximal information. If the bettor is certain that the outcome $`E`$ will occur, the probability assignment $`p<1`$ means he is willing to take the side of the bookie in a bet on $`E`$, receiving an amount $`px`$ up front and paying out $`x`$ if $`E`$ occurs, leading to a certain loss of $`x(1p)>0`$. Consistency thus requires that the bettor assign probability $`p=1`$. More generally, consistency requires a particular probability assignment only in the case of maximal information, which classically always means $`p=1`$ or 0.

The quantum situation is radically different, since in quantum theory maximal information is not complete . This notwithstanding, we show that consistency still requires particular probability assignments in the case of maximal information and, what is more, that these probabilities are numerically equal to expected limiting frequencies. The keys to these results are Gleason’s theorem and a quantum variant of the Dutch-book argument of the previous paragraph.

## III Gleason’s theorem and the quantum probability rule

In order to derive the quantum probability rule, we make the following assumptions about a quantum system that is described by a $`D`$-dimensional Hilbert space:

* Each set of orthogonal one-dimensional projectors, $`\widehat{\mathrm{\Pi }}_k=|\psi _k\psi _k|`$, $`k=1,\mathrm{},D`$ (the vectors $`|\psi _k`$ make up an orthonormal basis), corresponds to the complete set of mutually exclusive outcomes of some measurement, i.e., answers to some question that can be posed to the system. Throughout this paper, what we mean by a “quantum question” is a measurement described by such a complete set of orthogonal one-dimensional projectors.
* The probabilities assigned to the outcomes are consistent in the Dutch-book sense given above.
* The probability assignment is noncontextual ; i.e., the probability for obtaining the outcome corresponding to a projector $`\widehat{\mathrm{\Pi }}`$ depends only on $`\widehat{\mathrm{\Pi }}`$ itself, not on the other vectors in the orthogonal set defining a particular measurement. As a consequence, it can be denoted $`p(\widehat{\mathrm{\Pi }})`$.

Condition (ii) implies that, for each set of orthogonal one-dimensional projectors,

$$\underset{k=1}{\overset{D}{}}p(\widehat{\mathrm{\Pi }}_k)=1.$$
(3)
Of course, this is simply the normalization condition, but in the Bayesian view, normalization is enforced only by the requirement of consistent betting behavior. Except in the special case of a two-dimensional Hilbert space, condition (iii) then implies that there exists a density operator $`\widehat{\rho }`$ such that for every projector $`\widehat{\mathrm{\Pi }}=|\psi \psi |`$,

$$p(\widehat{\mathrm{\Pi }})=\mathrm{tr}(\widehat{\rho }\widehat{\mathrm{\Pi }})=\psi |\widehat{\rho }|\psi .$$
(4)
This is Gleason’s theorem . It means that, under the assumptions of (i) the Hilbert-space structure of quantum questions, (ii) Dutch-book consistency, and (iii) probabilities reflecting the Hilbert-space structure, any subjective probability assignment must have the form (4), which is the standard quantum rule for probabilities. Hence Bayesian “degrees of belief” are restricted by the laws of nature, and any subjective state of knowledge about a quantum system can be summarized in a density operator $`\widehat{\rho }`$. Since one of the chief challenges of Bayesianism is the search for methods to translate information into probability assignments, Gleason’s theorem can be regarded as the greatest triumph of Bayesian reasoning.

## IV Maximal information and unique state assignment

Our concern now is to show that if a scientist has maximal information about a quantum system, Dutch-book consistency forces him to assign a unique pure state. Maximal information in the classical case means knowing the outcome of all questions with certainty. Gleason’s theorem forbids such all-encompassing certainty in quantum theory. Maximal information in quantum theory instead corresponds to knowing the answer to a maximal number of questions (i.e., measurements described by one-dimensional orthogonal projectors). Suppose then that a scientist is certain about the outcome of all questions that share one particular projector $`\widehat{\mathrm{\Pi }}=|\psi \psi |`$. The scientist is certain that the outcome corresponding to this projector will occur in response to any of these questions, so Dutch-book consistency requires that its probability be $`p=1`$. Now let $`\widehat{\rho }`$ be the state assigned to the system. In the language of Gleason’s theorem, we have $`\psi |\widehat{\rho }|\psi =1`$. This implies that $`\widehat{\rho }=\widehat{\mathrm{\Pi }}=|\psi \psi |`$. Gleason’s theorem further implies that the scientist cannot be certain about the outcome of any other questions, so this is the case where he has maximal information. Maximal information thus leads to the assignment of a unique pure state.

Given the assumptions of Gleason’s theorem, if a scientist has maximal information, any state assignment that is different from the unique pure state derived in the last paragraph is inconsistent in the Dutch-book sense; i.e., it leads to a sure loss for a bet on the outcome of a measurement on a single system that includes the unique pure state among the outcomes. The Hilbert-space structure of quantum questions plus noncontextuality alone puts this tight constraint on probability assignments.

We emphasize that the uniqueness of the quantum state assignment holds even though no measurement allows an experimenter to decide with certainty between two nonorthogonal pure-state assignments. Though maximal information leads to a unique pure state, the state assignment cannot be verified by addressing questions to the system. Finding out the state assignment requires consulting the assigner or the records he leaves behind. This property is another reason for regarding quantum states as states of knowledge.

In both the classical and the quantum case, consistency enforces a particular probability assignment if and only if there is maximal information. In the classical case, maximal information corresponds to certainty, i.e., the trivial probability assignment 1 or 0, so classically maximal information is complete. In quantum mechanics, maximal information leads to a unique pure state assignment $`|\psi \psi |`$, which is equivalent to prescribing (generally nontrivial) probabilities for all possible measurements. In quantum mechanics, maximal information is not complete and cannot be completed.

## V Subjective probability and measured frequency

Up to this point, we have not mentioned repeated experiments or long-run frequencies. Both the Dutch-book argument and Gleason’s theorem are formulated for single systems. There is no justification, at this point, for identifying the probabilities derived from Gleason’s theorem with limiting frequencies. To make the connection between the above results and repeated measurements, an additional assumption is needed, namely that the Hilbert space of $`N`$ copies of a quantum system is given by the $`N`$-fold tensor product of the single-system Hilbert space. In doing so, we are assuming that the $`N`$ copies of the quantum system are labeled by some additional degree of freedom that renders irrelevant the symmetries required for identical particles.

Now assume that a scientist has maximal information about $`N`$ copies of a quantum system, specifically the same maximal information about each system. Applying Gleason’s theorem and the Dutch-book argument of Sec. IV to the tensor-product Hilbert space leads to a unique pure product-state assignment $`\widehat{\rho }^{(N)}=\widehat{\mathrm{\Pi }}\mathrm{}\widehat{\mathrm{\Pi }}`$, where $`\widehat{\mathrm{\Pi }}=|\psi \psi |`$. Suppose that repeated measurements are performed using the single-system projectors $`\widehat{\mathrm{\Pi }}_k=|\psi _k\psi _k|`$, $`k=1,\mathrm{},D`$. The probability of obtaining the sequence of outcomes $`k_1,\mathrm{},k_N`$ is given by

$$p(k_1,\mathrm{},k_N)=\mathrm{tr}\left(\widehat{\rho }^{(N)}\widehat{\mathrm{\Pi }}_{k_1}\mathrm{}\widehat{\mathrm{\Pi }}_{k_N}\right)=p_{k_1}\mathrm{}p_{k_N},$$
(5)
where

$$p_k=\mathrm{tr}(\widehat{\mathrm{\Pi }}\widehat{\mathrm{\Pi }}_k)=|\psi _k|\psi |^2.$$
(6)
This means that the outcomes of repeated measurements are independent and identically distributed (i.i.d.). The probability for outcome $`k`$ to occur $`n_k`$ times, where $`k=1,\mathrm{},D`$ and $`_kn_k=N`$, is given by the multinomial distribution,

$$p(n_1,\mathrm{},n_D)=\frac{N!}{n_1!\mathrm{}n_D!}p_1^{n_1}\mathrm{}p_D^{n_D},$$
(7)
which peaks for large $`N`$ at $`n_kNp_k`$, $`k=1,\mathrm{},D`$. The probability of observing frequencies $`n_k/N`$ close to $`p_k`$ converges to 1 as $`N`$ tends to infinity.

In the classical case an i.i.d. assignment is often the starting point of a probabilistic argument. Yet in Bayesian probability theory, an i.i.d. can never be strictly justified except in the case of maximal information, which in the classical case implies certainty and hence trivial probabilities. The reason is that the only way to be sure all the trials are identical in the classical case is to know everything about them, which implies that the results of all trials can be predicted with certainty . In contrast, to ensure that all systems are the same in quantum mechanics, it is sufficient to have the maximal, but incomplete information that leads to a unique pure state. Thus the quantum i.i.d. assignment (7) is a consequence of Dutch-book consistency and the Hilbert-space structure of quantum mechanics.

To summarize, in quantum mechanics maximal information leads to nontrivial i.i.d. assignments. Maximal information means that the pure product-state assignment is the unique consistent state assignment. From the pure product-state assignment comes the i.i.d. for the outcomes of any repeated measurement. Together with elementary combinatorics, this gives the strict connection between probabilities and frequencies displayed in the laws of large numbers. In this sense, the equality between probability and limiting frequency holds only in quantum mechanics.

## VI Unknown quantum states and the quantum de Finetti representation

An important practical use of repeated measurements on many copies of a quantum system is in quantum-state tomography . The data gathered from the measurements is said to determine the “unknown quantum state” of the system. But what can an unknown quantum state mean? If a quantum state is a state of knowledge, then it must be known by somebody. If the Bayesian interpretation of quantum probabilities is to be taken seriously, there must be a way to eliminate the “unknown quantum state” from the description.

The key to this excision is to identify the salient feature of the state of knowledge that applies when an experimenter performs quantum-state tomography. That salient feature is that the experimenter can contemplate examining an arbitrarily large number of systems, all of which are equivalent from his perspective. This means (i) that the density operator $`\widehat{\rho }^{(N)}`$ for $`N`$ systems should be symmetric, i.e., invariant under all permutations of the $`N`$ systems, and (ii) that this symmetry should hold for all values of $`N`$, with the consistency requirement that $`\widehat{\rho }^{(N)}`$ arises from tracing out one of the systems in $`\widehat{\rho }^{(N+1)}`$. A sequence of density operators that satisfies these two properties is said to be exchangeable, by analogy with de Finetti’s definition  of exchangeable multi-trial probabilities.

The quantum de Finetti representation theorem  establishes that for any exchangeable sequence of density operators, $`\widehat{\rho }^{(N)}`$ can be written uniquely in the form

$$\widehat{\rho }^{(N)}=𝑑\rho p(\rho )\rho \mathrm{}\rho ,$$
(8)
where the tensor product includes $`N`$ terms, the integral runs over the space of density operators, and the “generating function” $`p(\rho )`$ can be thought of as a normalized “probability density on density operators.” An exchangeable density operator captures what an experimenter knows about the systems he intends to examine. It is a primary quantum-state assignment for multiple copies, with no mention of unknown quantum states. The content of the quantum de Finetti representation is that the exchangeable state assignment can nevertheless be thought of in terms of unknown density operators; ignorance of which density operator is described by the generating function.

Exchangeability permits us to describe what is going on in quantum-state tomography. Suppose two scientists make different exchangeable state assignments and then jointly collect data from repeated measurements. Suppose further that the measurements are “tomographically complete”; i.e., the measurement probabilities for any density operator are sufficient to determine that density operator. The two scientists can use the data $`D`$ from an initial set of measurements to update their state assignments for further systems. In the limit of a large number of initial measurements, they will come to agreement on a particular product state $`\widehat{\rho }_D\widehat{\rho }_D\mathrm{}`$ for further systems, where $`\widehat{\rho }_D`$ is determined by the data. This is what quantum-state tomography is all about. The updating can be cast as an application of Bayes’s rule to updating the generating function in light of the data . The only requirement for “coming to agreement” is that both scientists should have allowed for the possibility of $`\widehat{\rho }_D`$ by giving it nonzero support in their initial generating functions.

## VII Summary and outlook

We promised simple answers, and it’s hard to imagine simpler ones. The physical law that prescribes quantum probabilities is indeed fundamental, but the reason is that it is a fundamental rule of inference—a law of thought—for Bayesian probabilities. It follows from requiring Dutch-book consistency for probability assignments that are faithful to the Hilbert-space structure of quantum questions. These same desiderata require a particular pure-state assignment when a scientist has maximal information, and because maximal information is not complete, they give a strict connection between observed frequencies and pure-state quantum probabilities. The notion of an “unknown quantum state,” irreconcilable with the idea of quantum states as states of knowledge, can be banished from quantum-state tomography using the quantum de Finetti representation.

Quantum information science  is an emerging field that uses quantum states to escape the constraints imposed on information processing in a realistic/deterministic world. The rewards in quantum information science are great: teleportation of quantum states, distribution of secret keys for encoding messages securely, and computations done more efficiently on a quantum computer than on any classical machine. The key to these rewards is that a quantum world is less constrained than a classical one. As quantum information science harnesses the greater range of possibilities available in the quantum world, we believe it is imperative to understand and elucidate the fundamental principles underlying quantum mechanics. In this paper we show how to interpret quantum states consistently as states of knowledge, reflecting what we know about a quantum system. This is just one step in a broader program to try to disentangle the subjective and objective aspects of the quantum world . We leave the last word to Edwin T. Jaynes , who inspired us to pursue the Bayesian view:

> Today we are beginning to realize how much of all physical science is really only information, organized in a particular way. But we are far from unravelling the knotty question: “To what extent does this information reside in us, and to what extent is it a property of Nature?” … Our present QM formalism is a peculiar mixture describing in part laws of Nature, in part incomplete human information about Nature—all scrambled up together by Bohr into an omelette that nobody has seen how to unscramble. Yet we think the unscrambling is a prerequisite for any further advance in basic physical theory … .

## VIII Acknowledgments

CMC was supported in part by U.S. Office of Naval Research Grant No. N00014-93-1-0116.


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# Quantifying Stock Price Response to Demand Fluctuations

## Abstract

We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $`G`$ over a time interval $`\mathrm{\Delta }t`$ and two different measures of demand fluctuations: (a) $`\mathrm{\Phi }`$, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) $`\mathrm{\Omega }`$, defined as the difference in number of shares traded in buyer and seller initiated trades. We find that the conditional expectations $`G_\mathrm{\Omega }`$ and $`G_\mathrm{\Phi }`$ of price change for a given $`\mathrm{\Omega }`$ or $`\mathrm{\Phi }`$ are both concave. We find that large price fluctuations occur when demand is very small — a fact which is reminiscent of large fluctuations that occur at critical points in spin systems, where the divergent nature of the response function leads to large fluctuations.

PACS numbers: 05.45.Tp, 89.90.+n, 05.40.-a, 05.40.Fb

Stock prices respond to fluctuations in demand, just as the magnetization of an interacting spin system responds to fluctuations in the magnetic field. Periods with large number of market participants buying the stock imply mainly positive changes in price, analogous to a magnetic field causing spins in a magnet to align. Here, we quantify how price changes depend on demand fluctuations , and find a strikingly non-linear relationship with a specific functional form which is not altogether unlike the dependence of magnetization on field strength.

Fluctuations in demand arise from buy and sell orders of market participants. To quantify fluctuations in demand, we distinguish buyer-initiated and seller-initiated trades defined by which of the two participants in the trade, the buyer or the seller, is more eager to trade. When such a distinction does not exist, we label the trade as indeterminate. We identify buyer and seller initiated trades using the bid and ask quotes $`S_\mathrm{B}(t)`$ and $`S_\mathrm{A}(t)`$ at which a market maker is willing to buy or sell respectively . Using the mid-value $`S_\mathrm{M}(t)=(S_\mathrm{A}(t)+S_\mathrm{B}(t))/2`$ of the prevailing quote , we label a trade buyer initiated if $`S(t)>S_\mathrm{M}(t)`$, and seller initiated if $`S(t)<S_\mathrm{M}(t)`$. For trades occurring exactly at $`S_\mathrm{M}(t)`$, we use the sign of the change in price from the previous trade to determine whether the trade is buyer or seller initiated, while if the previous trade is at the current trade price, the trade is labelled indeterminate . Accordingly, for each trade $`i`$, we define the variable

$$a_i\{\begin{array}{cc}1\hfill & \text{(buyer initiated)}\hfill \\ 0\hfill & \text{(indeterminate)}\hfill \\ 1\hfill & \text{(seller initiated)}\hfill \end{array}.$$
(1)
We quantify demand fluctuations by analyzing two quantities: (a) the number imbalance (difference between the number of buyer-initiated and seller-initiated trades  in a time interval $`[t,t+\mathrm{\Delta }t]`$),

$$\mathrm{\Phi }=\mathrm{\Phi }_{\mathrm{\Delta }t}(t)\underset{i=1}{\overset{N}{}}a_i,$$
(3)
and (b) the volume imbalance (difference between the number of shares traded in buyer-initiated and seller-initiated trades in a time interval $`\mathrm{\Delta }t`$),

$$\mathrm{\Omega }=\mathrm{\Omega }_{\mathrm{\Delta }t}(t)\underset{i=1}{\overset{N}{}}q_ia_i,$$
(4)
where $`q_i`$ is the number of shares traded in trade $`i`$, and $`N=N_{\mathrm{\Delta }t}(t)`$ is the number of trades in $`\mathrm{\Delta }t`$.

To choose a time scale in which to analyze the dependence of price fluctuations on demand, we first compute the correlation functions \[Fig. 1\] $`\mathrm{\Phi }(t)G(t+\tau )`$ and $`\mathrm{\Omega }(t)G(t+\tau )`$ and find significant dependence at $`\tau =0`$. For $`|\tau |>0`$, both correlation functions decay rapidly, and cease to be statistically significant beyond $`\tau 15`$ min — thereby setting a short time scale for the response of price changes to fluctuations in demand.

Next, we shall examine the relationships

$$G_\mathrm{\Phi }𝐄(G|\mathrm{\Phi }),$$
(6)
$$G_\mathrm{\Omega }𝐄(G|\mathrm{\Omega }),$$
(7)
which give the equal-time expectation value of price change $`G(t)`$ for a given $`\mathrm{\Phi }(t)`$ or $`\mathrm{\Omega }(t)`$. Figures 2(a) and (b) show $`G_\mathrm{\Phi }`$ and $`G_\mathrm{\Omega }`$ for 5 typical stocks for $`\mathrm{\Delta }t=15`$ min. We find that both $`G_\mathrm{\Phi }`$ and $`G_\mathrm{\Omega }`$ are nonlinear, displaying concave curvature with increasing $`\mathrm{\Phi }`$ and $`\mathrm{\Omega }`$ , and ‘flattening’ at large values .

Figure 2(c) shows the average behavior of $`G_\mathrm{\Phi }`$ for all stocks. We find that $`G_\mathrm{\Phi }`$ is consistent with the functional form

$$G_\mathrm{\Phi }=A_0\mathrm{tanh}(A_1\mathrm{\Phi }),$$
(8)
where $`A_0`$ is a constant that denotes the level of ‘saturation’, and $`A_1`$ determines the average price change for unit change in $`\mathrm{\Phi }`$. In the case of a spin system, the saturation at large values for the analogous curve — magnetization vs. field — is due to the fixed number of spins. The apparent saturation of $`G_\mathrm{\Phi }`$ is surprising in the present context, since there is no clear upper limit either on the price change, or on the number of trades. We find that $`G_\mathrm{\Phi }`$ for a range of $`\mathrm{\Delta }t`$, also displays good agreement with Eq. (8) \[Fig. 2(d)\].

We next focus on $`G_\mathrm{\Omega }`$ \[Fig. 2(e)\]. We find that the function $`G_\mathrm{\Omega }`$, like $`G_\mathrm{\Phi }`$, is consistent with Eq. (8. However, near $`\mathrm{\Omega }=0`$, $`G_\mathrm{\Omega }`$ shows not a strict linear behavior for small $`\mathrm{\Omega }`$ as we expect for $`\mathrm{tanh}\mathrm{\Omega }`$, but rather a power-law $`G_\mathrm{\Omega }\mathrm{\Omega }^{1/\delta }`$ \[Fig. 2(e)\]. We find that $`1/\delta `$ depends on $`\mathrm{\Delta }t`$ \[Fig. 2(f)\]: $`\delta 3`$ for $`\mathrm{\Delta }t=5`$ min and $`\delta 3/2`$ for $`15`$ min, and $`\delta 1`$ for larger $`\mathrm{\Delta }t`$, agreeing well with $`\mathrm{tanh}\mathrm{\Omega }`$ .

Next, we analyze the dependence of the number of trades $`N`$ on demand fluctuations to quantify how large volume imbalances generate trades. Figure 3(a) shows that the equal-time expectation value $`N_\mathrm{\Phi }`$ shows a linear increase with $`\mathrm{\Phi }`$. The dependence of $`N`$ on volume imbalance $`\mathrm{\Omega }`$ is nonlinear; $`N_\mathrm{\Omega }`$ displays a “cusp” at $`\mathrm{\Omega }=0`$ followed by a sharp increase and saturation at large values \[Fig. 3(b)\].

In spin systems, the amplitude of spin fluctuations is related to the susceptibility, which quantifies the response of the system to fluctuations in the magnetic field. In our problem, a certain change $`\mathrm{\Delta }\mathrm{\Phi }`$ in demand $`\mathrm{\Phi }`$ (analog of the field) causes a response $`\frac{\delta G_\mathrm{\Phi }}{\delta \mathrm{\Phi }}\mathrm{\Delta }\mathrm{\Phi }`$, which we find to be largest at $`\mathrm{\Phi }=0`$ \[Fig. 2\], suggesting that the non-linear shape of $`G_\mathrm{\Phi }`$ can give rise to large fluctuations (large “volatility” ) when $`\mathrm{\Phi }`$ is small. The average amplitude of fluctuations in $`G_{i=1}^N\delta p_i`$ is given by the variance

$$\chi ^2\delta p_i^2\delta p_i^2,$$
(9)
where $`\delta p_i`$ is the price change due to trade $`i`$ and $`\mathrm{}`$ denotes the average computed over the interval $`\mathrm{\Delta }t`$. Figure 4(a) shows that $`\chi _\mathrm{\Phi }`$ displays large values near $`\mathrm{\Phi }=0`$ and a rapid decay for increasing $`\mathrm{\Phi }`$. Figure 4(b) shows as a function of $`\mathrm{\Phi }`$ the number of events with price change $`|G|>5`$ standard deviations. Interestingly, we find that a majority of the large events occur at $`\mathrm{\Phi }=0`$, consistent with previous empirical results  which show that the power-law distribution of price changes  mainly arises from $`\chi `$. Our findings are reminiscent of phase transitions in spin systems, where the divergent behavior of the response function at the critical point (zero magnetic field) leads to large fluctuations .

We thank L. A. N. Amaral, J-P. Bouchaud, K. B. Doran, M. Meyer, and B. Rosenow for helpful conversations, and the National Science Foundation for financial support.


text:
# Testing models for structural relaxation of viscous liquids by temperature jump experiments

## Abstract

Based on the Tool-Narayanaswami formalism for structural relaxation we propose an experiment which independent of the relaxation time distribution determines the structural relaxation rate by subtracting relaxations following two different temperature jumps. In particular, the experiment makes it possible to evaluate the relaxation rate immediately following a temperature jump - thus allowing one to distinguish the entropy model from others.

The glass transition takes place when the relaxation time of a viscous liquid upon cooling becomes comparable to the cooling time. What determines the relaxation time is still a matter of debate. In this note note  we discuss an experiment which makes it possible to distinguish between two fundamentally different types of models for the relaxation time.

Before proceeding let us briefly mention three phenomenological models for the relaxation time. These models are often just discussed in connection with linear experiments, i.e., experiments monitoring the equilibrium liquid, but all three models have obvious extensions to deal with structural relaxation. Writing for the relaxation time $`\tau `$

$$\tau =\tau _0\mathrm{exp}(W),$$
(1)
the three phenomenological models are: The entropy model ($`W1/TS_c`$ where $`S_c`$ is the configurational entropy per molecule), the free volume model ($`W1/v_f`$ where $`v_f`$ is the free volume per molecule), and the shoving model shoving  ($`WG_{\mathrm{}}/T`$ where $`G_{\mathrm{}}`$ is the instantaneous shear modulus). The quantities $`S_c`$, $`v_f`$ and $`G_{\mathrm{}}`$ are all temperature dependent - this is how the models are supposed to explain the non-Arrhenius temperature dependence of $`\tau `$.

The entropy model differs from the two others in one important respect: Suppose temperature is changed “instantaneously,” i.e. , much faster than the liquid relaxation time. Clearly, the quantity $`S_c`$ cannot change instantaneously. In contrast, both $`v_f`$ and $`G_{\mathrm{}}`$ have “glassy” contributions to their temperature dependence and thus do change with temperature even on a very fast time scale. Consequently, a study of how the relaxation rate changes after an instantaneous temperature jump makes it possible to distinguish the entropy model from the two other models. Such an experiment answers the question: How large is the instantaneous change of the relaxation rate?

Structural relaxation is generally nonlinear and thus much less well established theoretically than linear response theory. Nevertheless there exists a simple and beautiful extension of linear response theory to structural relaxation, applicable as long as only reasonably small temperature jumps are involved. This is the Tool-Narayanaswami (TN) formalism. The idea is that linear response theory still applies, except that time $`t`$ should be replaced by “reduced” time $`\stackrel{~}{t}`$. The reduced time is the time measured in units of the relaxation time (which in general itself changes with time during the experiment). More precisely, the reduced time is defined by

$$d\stackrel{~}{t}=\frac{dt}{\tau (W(t))}.$$
(2)
Suppose $`Y`$ is a quantity which is measured in an experiment where the temperature varies. Writing $`Y=Y_0+Y_r`$ where $`Y_0`$ is the part of $`Y`$ that changes instantaneously with temperature and $`Y_r`$ is the “relaxing” part of $`Y`$, the TN formalism predicts that a function $`\varphi `$ exists such that

$$\mathrm{\Delta }Y_r(\stackrel{~}{t})=_0^{\mathrm{}}𝑑\stackrel{~}{t}^{}\varphi (\stackrel{~}{t}^{})\mathrm{\Delta }T(\stackrel{~}{t}\stackrel{~}{t}^{}).$$
(3)
Here $`\mathrm{\Delta }Y_r`$ is the change of $`Y_r`$ from some reference state in themal equilibrium at the beginning of the experiment (and similarly for $`\mathrm{\Delta }T`$).

We shall only consider temperature jump experiments, i.e., where the system is in thermal equilibrium until at $`t=0`$ the temperature changes suddenly. In such experiments, if the variable $`X`$ is defined by $`X(t)=C\mathrm{\Delta }Y(t)/\mathrm{\Delta }T`$ where $`C`$ is determined from the condition $`X1`$ as $`t\mathrm{}`$, the TN formalism implies that a function $`f`$ exists such that

$$X(t)=f(\stackrel{~}{t}).$$
(4)
It is straightforward to express $`f`$ in terms of $`\varphi `$ and the instantaneous jump of $`X`$. Note that $`X`$ includes the instantaneous contribution to $`\mathrm{\Delta }Y`$, $`\mathrm{\Delta }Y_0`$, and thus the function $`f`$ begins at a nonzero value for $`\stackrel{~}{t}=0`$.

Equation (4) implies

$$\frac{dX}{dt}=\frac{f^{}(\stackrel{~}{t})}{\tau (W(t))},$$
(5)
which in turn via Eq. (1) implies

$$\mathrm{ln}\left(\frac{dX}{dt}\right)=\mathrm{ln}[f^{}(\stackrel{~}{t})/\tau _0]W$$
(6)
Consider now two temperature jump experiments. Each obey Eq. (6) and consequently by subtraction at the same reduced time

$$\mathrm{\Delta }\mathrm{ln}\left(\frac{dX}{dt}\right)=\mathrm{\Delta }W.$$
(7)
Since the measured quantity $`X`$ is a function of reduced time (Eq. (4)), in practice the subtraction is performed by subtracting the two experiments at the same value of $`X`$. The purpose of the subtraction, of course, is to eliminate $`f`$.

Equation (7) is valid for the subtraction of any two temperature jump experiments. A particularly simple situation, however, arises when the first experiment is an “infinitesimal” structural relaxation experiment, i.e., with a temperature step so small that $`W`$ does not change significantly during the entire experiment. In this case the left hand side of Eq. (7) is essentially $`W`$ of the second (nonlinear) experiment. Extrapolating to zero time gives us the instantaneous contribution to $`W`$.

Having established a method for the determination of $`W`$, we return to the comparison of the entropy model to the two others. What is the prediction of the entropy model for the instantaneous contribution to $`W`$? Suppose the nonlinear experiment is a jump from temperature $`T_1`$ to $`T_2`$. From an “infinitesimal” structural relaxation experiment around $`T_1`$ the equilibrium value of $`W`$ at $`T_1`$, $`W_1`$, is known. Plotting the left hand side of Eq. (7) as a function of $`X`$ now makes it possible to investigate how large $`W`$’s instantaneous contribution is: According to the entropy model, right after $`t=0`$ $`W`$ is equal to $`W_1T_1/T_2`$, because for this model only the $`T`$ in the expression for $`W`$ can change instantaneously. If a larger instantaneous contribution is found, the entropy model in its extension to deal with structural relaxation is not viable.

To test the entropy model we recently performed an experiment along the lines presented above note  \[talk given by N. B. Olsen at the Fourth International Discussion Meeting on Relaxations in Complex Systems, Crete, June 18.-23., 2001\]. The experiment is an improved version of one described in shovingnonlin . The quantity monitored during the structural relaxation, $`Y`$, is the instantaneous shear modulus, which can be measured by a resonance technique with 20 ppm relative accuracy (5% absolute accuracy). With the new reduced-size piezo-ceramic transducer, the time constant for the thermal setup is now only 20 seconds. The experiment was done on the silicone oil DC704 with temperatures during the experiment in the range 207-208 K. The nonlinear temperature jump was 1.5 K, the “infinitesimal” jump was 0.15 K. The cryostate is able to keep the temperature constant within 0.1 mK over months; the actual experiment monitored three structural relaxations, each lasting 10 days. - The experiment showed that there is an instantaneous contribution to $`W`$ which is twice as large as that predicted by the entropy model. On the other hand, the results are consistent with the shoving model.


text:
# Constraints on the size of the quark gluon plasma

## Abstract

We use simple entropy arguments to estimate the possible size of the QGP at the AGS and the SPS. We find that the possibility to form a large volume of QGP at the AGS or the SPS is very small. The size of the QGP at RHIC and the LHC is also predicted.

PACS number(s): 25.70 -q, 25.70 Pq,25.70 Gh

One of the main goals of high energy nuclear collisions is to create a quark-gluon plasma (QGP) of macroscopic size. The hope of discovering the QGP in heavy-ion collisions is thus to some extent connected to the possibility of measuring the geometric size of the region of secondary particle production. An important tool in accomplishing such measurements is Hanbury Brown-Twiss (HBT) interferometry. On the theoretical front, owing to the complexity of high energy heavy-ion collisions, several models to simulate the heavy-ion collisions process have been devised. In those, the size of the QGP phase is a vital element, as it may affect significantly the shape of the single parton distributions. In this note, using HBT results from the AGS and the SPS, we infer the possible sizes of QGP in those energy regimes. The sizes of QGP at RHIC and LHC are also predicted.

The idea to predict the size of QGP is simple and is based on the picture given by Lee some years ago. From the second law of thermodynamics we have equation

$$S_{QGP}S_{Had}.$$
(1)
Here $`S_{QGP}`$ and $`S_{Had}`$ are the total entropy of the QGP phase and of the hadron phase, respectively. As more than eighty percent of final particles are pions, we will calculate the entropy of pions and multiply it by a factor of $`\alpha `$ to represent the total particles entropy. For this discussion we take $`\alpha 1.1`$. Eq.(1) can be re-written as

$$s_{QGP}V_{QGP}\alpha s_\pi V_\pi .$$
(2)
Here $`V_{QGP}`$ and $`V_\pi `$ are the volume of the QGP phase and of the pion phase respectively, $`s_{QGP}`$ and $`s_\pi `$ represent the entropy density in the QGP phase and the pion phase, and reads

$`s_{QGP}`$ $`=`$ $`{\displaystyle \frac{2}{45}}\pi ^2T^3[16+{\displaystyle \frac{21}{2}}n_f],`$ (3)
$`s_{Had}`$ $`=`$ $`{\displaystyle \frac{2}{15}}\pi ^2T^3.`$ (4)
$`n_f`$ is the number of flavors. In the above we assume that the pion, quark and antiquark masses are zero. From Eq. (3), we have

$$\frac{s_{QGP}}{s_{had}}=\frac{16}{3}+\frac{7}{2}n_f=1216.$$
(5)
Using Eq.(2) and Eq.(4), we get

$$V_{had}12V_{QGP}.$$
(6)
Gaussian functions have been used to fit the two-pion correlation functions at AGS and SPS energy and it has been found that the fitted source radius are $`57fm`$. From Eq.(6), we find that the source radius for QGP is $`23fm`$. This result is important but depends strongly on the source radius as measured from pion interferometry. If the QGP size is truly $`23`$ fm then we need to consider finite size effects on the spectrum distributions. For example, because of the Heisenberg uncertainty principle, particles in a small volume will have a widespread distribution in momentum space. It has been shown in Ref. that for quarks and gluons, finite size effects will become important when the size of QGP is less than 6 fm. For pions, finite size effects set in when the size of the hadron phase is less than 9 fm. For such small QGP sizes at AGS and SPS energy one needs to consider finite size effects on the final state observables, and this fact is bound to affect several of the proposed signatures. Finite size effects on the observables have also been studied by Elze, Greiner and Rafelski long ago. If we consider the fact that pion interferometry actually measures the pion source at freezeout time and the freezeout temperature ($`T_f`$) is less than the critical temperature ($`T_c`$), then the QGP source radius should be even smaller than the value given above. Using typical freezeout temperature $`T_f=m_\pi =138`$ MeV or fitted results $`T_f=120`$ MeV  and assuming the phase transition temperature $`T_c=200`$ MeV, we have

$$V_{had}3756V_{QGP}.$$
(7)
This result depends strongly on the freezeout temperature. From Eq. (6), we find that the size of QGP phase is $`12`$ fm. This conclusion implies that even if a QGP is formed at the AGS or the SPS, the size of QGP will be very small. Here we also need to mention that this QGP means the QGP at the critical time, i.e. when the system enters the mixed phase. Of course at the freezeout time, the assumption that the pion mass is zero is inappropriate. We will come to this question at the end of the paper. It has been suggested that there is a possibility to form some QGP droplets inside a hadron gas. If this picture is true, we have

$$S_{had}N_{droplet}S_{droplet}.$$
(8)
Here $`S_{droplet}`$ is the entropy in each droplet and $`N_{droplet}`$ is the total number of droplets. Assuming that the size of all droplets are the same, we have

$$V_{had}(3756)N_{droplet}V_{droplet}.$$
(9)
If we assume for example that the droplet number is two, the droplet size will be 0.5-1.2 fm.

The radius of pion sources at RHIC or the LHC are proportional to the pion multiplicity distribution as:

$$R_{had}(0.61.2)(\frac{dN}{dy})^{1/21/3}.$$
(10)
From Eq.(9), we find that the hadron phase radius for Au + Au collisions at RHIC is 14-26 fm. First HBT results from RHIC indicate that the HBT radius is larger than the HBT radius at SPS energy, but still less than ten Fermis. This may due to the strong flow that has been observed at RHIC which make the HBT radius less than the true size of hadron phase, $`R_{had}`$. From our numbers for the size of the hadron phase at RHIC we get an appreciable QGP size of

$$R_{QGP}=48fm.$$
(11)
However this estimation depends strongly on the size of hadron phase. This implies a caveat which we will discuss at the end of this paragraph. We have assumed that at SPS energy, the size of hadron phase is almost the same scale as that of the HBT radius, and this assumption is borne out by numerical simulations. Pion interferometry results from simulator (ARC, RQMD, VENUS) at SPS energy have indicated that pion interferometry gives us the right geometry size of the pion source. A theoretical analysis in Ref. has shown that if we use a box source to fit the pion correlation function of Pb + Pb collisions at SPS energy, the box length is 12 fm, then QGP size at SPS energy will be 3-4 fm which is still very small. So both theory and empirical analyses indicate that even if a QGP is formed at the SPS, it’s size should be very small and it is mandatory to consider finite size effects. But at RHIC energy the correspondence between physical size and HBT radius may not hold anymore, owing to strong flow effects. Present HBT theory shows that HBT only measures part of the whole pion source due to flow which generates a strong correlation between coordinate and momentum. This causes the apparent source radius to become smaller.

At LHC energy, the pion multiplicity becomes large and we estimate the radius of the hadronic phase as

$$R_{had}=1836\mathrm{fm},$$
(12)
and the corresponding QGP size should be

$$R_{QGP}=611\mathrm{fm}.$$
(13)
In the following we will use the Bjorken picture to perform an independent estimate of QGP size. In the Bjorken model, QGP is assumed to be produced at first and at time $`\tau _0`$ it reaches equilibrium then the QGP will evolve according to hydrodynamical equation, that is

$$s(\tau )\tau =s(\tau _0)\tau _0(\tau >\tau _0).$$
(14)
When the temperature drops to $`T_c`$ at proper time $`\tau _c`$, a mixed phase occurs, then following equation exists

$$\frac{s(\tau )}{s(\tau _c)}=(\frac{\tau _c}{\tau })^{4/3}(\tau >\tau _c).$$
(15)
According to Ref., after time

$$\tau _h=6.16\tau _c$$
(16)
the whole system will be in a hadronic phase. This phase will expand and temperature will decrease from critical temperature ($`T_c`$) to freezeout temperature ($`T_f`$). During the hadron expansion stage, we have

$$s(\tau _f)\tau _f=s(\tau _h)\tau _h(\tau >\tau _h).$$
(17)
Here $`\tau _f`$ is the freezeout time. The freezeout time can be determined by the following equation

$$\frac{T(\tau )}{T(\tau _h)}=(\frac{\tau _h}{\tau })^{1/3}.$$
(18)
For $`T_f=120`$ MeV and $`T(\tau _h)=200`$ MeV, we have

$$s(\tau _f)=s(\tau _h)\tau _h/\tau _f=s(\tau _c)(\frac{\tau _c}{\tau _h})^{4/3}(\frac{T(\tau _f)}{T(\tau _h)})^3.$$
(19)
Finally we get

$$s(\tau _f)\frac{s(\tau _c)}{52},$$
(20)
thus

$$V(\tau _c)=\frac{V_{freezeout}}{52}.$$
(21)
From Eq.(20) we get similar conclusion as above: even if there is QGP formed at AGS or SPS energy, its size should be around the size of nucleon.

In the following we will use energy density of pions calculated from present measurement to estimate the possible QGP energy density at the critical time. Using the Bjorken model and assuming that pion mass is zero, we have

$$\frac{ϵ(\tau _h)}{ϵ(\tau _f)}=(\frac{\tau _f}{\tau _h})^{4/3}.$$
(22)
Here $`\tau _h`$ and $`\tau _f`$ represent hadron time and freezeout time respectively. In the mixed phase, Eq.(21) is still valid, implying

$$\frac{ϵ(\tau _c)}{ϵ(\tau _h)}=(\frac{\tau _h}{\tau _c})^{4/3}.$$
(23)
Using $`\tau _h=6.16\tau _c`$ and assuming (see Eq. (17))

$$\frac{\tau _h}{\tau _f}=(\frac{T(\tau _f)}{T(\tau _h)})^3,$$
(24)
we have

$$ϵ(\tau _c)=11.3ϵ(\tau _f)(\frac{T(\tau _h)}{T(\tau _f)})^4=87ϵ(\tau _f).$$
(25)
When $`T_f=120`$ MeV, it is calculated that the energy density of pions ($`\pi ^+,\pi ^{}`$ and $`\pi ^0`$) is 0.023 GeV/fm3. According to Eq.(24), we find that the critical density of QGP is

$$ϵ(\tau _c)=2.1\mathrm{GeV}/\mathrm{fm}^3.$$
(26)
Using equation(with $`n_f=2`$)

$$ϵ(\tau _c)=37\frac{\pi ^2}{30}T_c^4,$$
(27)
we find that the critical temperature $`T_c=191`$ MeV, which is consistent with the input value $`T_c=200`$ MeV. As we have said earlier the assumption of massless pions is inappropriate at the freezeout time, as the freezeout temperature has almost the same value as the pion mass. It has shown in Ref. that pion data from all heavy-ion reaction are consistent with thermal Bose-Einstein distribution

$$f=\frac{1}{\mathrm{exp}(E/T)1}$$
(28)
with $`T=120MeV`$. Taking the pion mass as 138 MeV, and assuming the freezeout temperature $`T_f=120MeV`$, the entropy density for pions reads

$$s=3\frac{d𝐩}{(2\pi )^3}[(1+f)ln(1+f)flnf]=\frac{0.246}{(fm)^3}.$$
(29)
Assuming the pion mass as zero, we have $`s=0.297/(fm)^3`$. That is the entropy density will decrease if the value of the mass increases. Due to Eq. (28), Eq. (7) changes to

$$V_{had}69V_{QGP}.$$
(30)
Thus the QGP size will be even smaller than in our previous estimates.

Let us end with the following comments:

(1) In the above we have assumed that the chemical potentials of quarks and pions are zero which is a good approximation if the number of quarks and pions are very large. From Fig. 1 or Eq.(29), we find that if the chemical potential decreases the entropy density of pions will decrease too. When chemical potential $`\mu =m_\pi `$, the maximum value of pion chemical potential, we need to consider Bose-Einstein condensate, this is of course beyond the scope of the present work. From Fig.1 we find that the corresponding maximum entropy density of pions is around $`0.6/(fm)^3`$. Thus we have $`V_{had}>27V_{QGP}`$ this is the upper limit of our estimation.

(2) In the above calculations, we have used a simple Bose-Einstein or Fermi-Dirac distribution for pions or quarks. In principle one needs to use the complete source distribution $`S(x,K)`$ given in Ref. to calculate the entropy density which will be used to estimate the possible QGP size at SPS or AGS. To use the function of $`S(x,K)`$ or $`f(x,K)`$ to calculate the entropy is very important especially when $`x`$ and $`p`$ correlation is essential. In Ref, the authors have found that

$$\frac{S}{N_\pi }=3.9\pm 1.8.$$
(31)
Taking $`N_\pi =100150`$, we find that the QGP size is $`23fm`$, which is consistent with the estimations given above. We can use

$$\frac{S}{N_\pi }=\frac{𝑑𝐩[(1+f)ln(1+f)fln(f)]}{𝑑𝐩f}$$
(32)
to calculate the specific entropy, $`S/N`$. Using Eq.(28) and choosing $`T_f=120`$ MeV, we find that $`\frac{S}{N}=4.32`$. This result is consistent with Eq. (30).

(3) In this paper, Eq.(4) has been used to calculate the entropy density of QGP phase in finite volume. This formula certainly should be corrected when QGP are confined in a finite volume. But this is precisely our conclusion: one will not observe a large extent QGP at AGS and SPS energies and one needs to take into account the finite size. In the following, we will calculate de Broglie wavelength of quarks, gluons and pions to show why we need to take into account finite size effects. Using Eq. (28) and taking $`T_f=120`$ MeV, we find that the average pion momentum is 372 MeV. When $`T_c=200`$ MeV, the average momentum of gluons is 540 MeV and the average momentum of quarks is 472 MeV. The de Broglie wavelength for pions, quarks and gluons are $`\lambda _\pi =3.3fm`$, $`\lambda _g=2.3fm`$ and $`\lambda _q=2.6fm`$ respectively. It is interesting to notice that the de Broglie wavelength for pion at AGS or SPS energy is still smaller than the size of pion source. But where the de Broglie wavelength for quarks and gluons is almost the same size as the size of QGP source, thus finite size effects for those particles should be important.

(4) In the paper, the total entropy of final state particles is determined by the volume and entropy density of pions. But there are also other ways to calculate the final state entropy. For example, Bialas and Czyz have suggested to use Renyi’s entropy to derive the standard entropy $`S=_np_n\mathrm{log}p_n`$. Here $`p_n`$ is the probability of occurrence of the state labeled by $`n`$ and the sum runs over all states of the system. Different from the method given in the paper, this method does not explicitly depend on the final state volume. One can also calculate the final state entropy by the Landau assumption $`S=4N`$ (consistent with Eq.(30)). Here $`N`$ is the total final state particles. This calculation also has nothing to do with the final state volume. Thus, those methods are recommended to calculate the final state entropy and to infer the possible size of the initial state.

(5) All the estimations in this work are based on the assumption that the initial state is QGP. If the initial state is a hot pion gas, a quark-dominated gas, or a gluon-dominated gas, the degrees of freedom change and the volume of the initial state will change too, for a given final state. For example for a hot pion gas, $`V_{final}>5V_{initial}`$. For a quark gas, $`V_{final}>35V_{inital}`$. For a gluon gas, $`V_{final}>26V_{inital}`$. So the initial volume is large in the case of a pion gas, as it should be.

To conclude: it is a key question to know the size of QGP which may be produced at the early time of heavy-ion collisions. We show that if there is a QGP formed at the AGS and/or at the SPS, its radius should only be around $`12`$ fm. Thus the finite size effects on the QGP distribution functions will be important. We also predict that the size of QGP at RHIC and LHC will be around $`48`$ fm and $`611fm`$ respectively. For this size of QGP, the finite volume effects on QGP distribution can be neglected.

Acknowledgments

The author thanks C. Gale for discussions and suggestions. This work was partly supported by the Natural Sciences and Engineering Research Council of Canada and the Fonds FCAR of the Quebec Government.


text:
# Generation of Magnetic Fields and Gravitational Waves at Neutrino Decoupling

\[ SNS-PH-01-11

## Abstract

We show that an inhomogeneous cosmological lepton number may have produced turbulence in the primordial plasma when neutrinos entered (almost) free-streaming regime. This effect may be responsible for the origin of cosmic magnetic fields and give rise to a detectable background of gravitational waves. An existence of inhomogeneous lepton asymmetry could be naturally generated by active-sterile neutrino oscillations or by some versions of Affleck and Dine baryogenesis scenario.

\] The idea that the early universe went through one or more turbulent phases is recurrent in the scientific literature since the beginning of the modern cosmology. Among other reasons, cosmic turbulence was often invoked to explain the origin of the magnetic fields (MFs) observed in most spiral galaxies and galaxy clusters . One of the first attempts  was based on the observation that in the radiation era a weak MF should be generated by turbulent eddies because the rotational velocities of relativistic electrons and non-relativistic ions would change differently during universe expansion. Subsequently, turbulence may have induced a Magneto-Hydro-Dynamical (MHD) dynamo which amplified exponentially the field until equipartition between the plasma turbulent kinetic energy and the MF energy is eventually reached. This nice scenario, however, remains unaccomplished in the absence of a plausible mechanism of turbulence generation. Since gravitational forces conserve angular moment, vorticity must have been produced by non-gravitational forces. Primordial phase transitions might have produced MFs if they were first order . The idea is that the expanding bubble walls between two phases give rise to small electric currents which power a seed MF. Turbulence appears when bubbles collide at the end of the phase transition, or hydrodynamic instabilities develop on the bubble walls, producing MHD amplification of the seed field. Several applications of this idea have been studied for the case of the quark-hadron (QHPT) and electroweak (EWPT) phase-transitions (see  and refs. therein). Unfortunately, it is still unclear if any of these transitions can really be first order. Furthermore, the major problem with this kind of scenario, is that it can hardly account for large scale MFs. The reason is that the comoving coherence length of the MF is at most given by the Hubble horizon at the phase transition which is much smaller than a typical galaxy size. Although the coherence length may grow due to MHD effects this generally happens to the expenses of the MF strength. Careful studies showed that the EWPT and QHPT cannot account for the galactic and cluster MFs . To overcome the small scale problem several mechanisms of generation of seed magnetic fields at inflationary stage have been proposed which are operative if conformal invariance of electromagnetic interaction is broken  (for more references see the review ).

In this Letter we propose a new mechanism for the generation of cosmic MFs. In contrast to many previously considered mechanisms it does not demand any new strong physical assumptions and can be realized, in particular, in almost minimal standard model of particle physics. It might operate at neutrino decoupling epoch, $`T12`$ MeV, i.e. when the Hubble horizon was considerably larger than what it was at EWPT and at QHPT. Our basic assumption is that the net lepton number density ($`N_a(𝐱)n_{\nu _a}(𝐱)n_{\overline{\nu }_a}(𝐱)`$, $`a=e,\mu ,\tau `$) of one, or more, neutrino species was not uniform before neutrino decoupling and changed in space over some characteristic scale $`\lambda `$ which could be smaller than the Hubble horizon at the decoupling time.

As a result, when the neutrino mean free path $`\mathrm{}_\nu (T)`$ grew and became comparable to $`\lambda `$, neutrino currents should be developed along the density gradients. We will show that elastic scattering of the diffusing neutrinos on electrons and positrons would be able to accelerate the electron-photon fluid producing vorticity in the plasma. Turbulence may have developed by this process in the short interval of time during which the random forces due to neutrino elastic scattering overcome the shear viscosity force. Depending on the amplitude and wavelength of the fluctuations of $`N_a(𝐱)`$, this period could be sufficient for the MHD engine to generate magnetic field in equipartition with the turbulent kinetic energy. The seed field required to initiate the process arises naturally as a consequence of the difference between the $`\nu _ae^{}`$ and $`\nu _ae^+`$ cross sections and of the neutrino-antineutrino local asymmetry. Furthermore, we will show that turbulence should give rise to a background of gravitational waves.

The first step of our computation is to determine the neutrino momentum flux produced by the inhomogeneous $`N_a(𝐱)`$. Starting form the Boltzmann equation we obtain the equation describing evolution of the average flux of $`i`$-th component of neutrino momentum

$$\frac{}{t}K_i(𝐱,t)+4HK_i(𝐱,t)+\frac{}{x^j}K_{ij}(𝐱,t)=\tau _w^1K_i$$
(1)
where

$`K_i={\displaystyle k_if_\nu (E,𝐤)\frac{d^3𝐤}{(2\pi )^3}},K_{ij}={\displaystyle \frac{k_ik_j}{E}f_\nu (E,𝐤)\frac{d^3𝐤}{(2\pi )^3}}`$ (2)
In the above $`E`$ and $`𝐤`$ are respectively the neutrino energy and spatial momentum, $`H`$ is the universe expansion rate, $`\tau _w`$ is the effective weak interaction time, and $`f_\nu (E,𝐤,𝐱,t)`$ is the neutrino distribution function. As we see in what follows, the source of the magnetic field is proportional to curl of electric current, $`\times 𝐉`$, which in turn is proportional to the local vorticity of the source term $`_iK_{ij}`$ in Eq.(1). The latter is nonvanishing for anisotropic random initial distribution of neutrino leptonic charge and is numerically close to $`K_{ij}`$ divided by $`\lambda `$. Hence, Eq.(1) becomes

$`{\displaystyle \frac{}{t}}𝒦_\lambda (𝐱,t)`$ $``$ $`{\displaystyle \frac{\widehat{V}_\lambda ^{in}}{\lambda }}\left({\displaystyle \frac{\delta n_\nu }{n_\nu }}\right)_\lambda \mathrm{exp}\left({\displaystyle _0^t}{\displaystyle \frac{\mathrm{}_\nu (t^{})}{\lambda ^2}}𝑑t^{}\right)`$ (3)
$``$ $`4H𝒦_\lambda (𝐱,t)\tau _w^1𝒦_\lambda (𝐱,t),`$ (4)
where $`𝒦(𝐱,t)𝐊/\rho _\nu `$ is the specific momentum flux on the length-scale $`\lambda `$, and $`\widehat{V}_\lambda ^{in}`$ is a unit vector parallel to the initial value of the vector $`_jK_{ij}`$, which has a non-zero vorticity, i.e. $`\times \widehat{V}0`$. The exponential in the first term of the r.h.s. of Eq.(3) has been inserted to account for the damping of the fluctuations due to neutrino diffusion. The last term in the r.h.s. of Eq.(3) represents the force per unit mass between the drifting neutrinos and the electron-positron fluid due to their scattering. It is understood that $`\lambda `$ changes with time due to universe expansion. Since at $`T1`$ MeV, the Compton scattering rate was much larger than the universe expansion rate $`H`$, electrons, positrons and photons formed a (almost) single relativistic fluid at neutrino decoupling time (the role of baryons was negligible at this epoch). We assume the electron-photon fluid was approximately homogeneous before neutrino decoupling. This is possible if the local excess of neutrinos of a given species is balanced by a deficiency of neutrinos of a different species (also sterile). The Euler equation of the fluid is

$$\frac{𝐯}{t}\tau _{\nu e}^1\frac{\rho _\nu }{(\rho +p)\gamma ^2}\left(𝒦_\nu +𝒦_{\overline{\nu }}\right)H𝐯+\eta ^2𝐯,$$
(5)
where $`\rho `$ and $`p`$ are the energy density and pressure of the electron-photon fluid, $`\gamma =\sqrt{1v^2}`$ is the Lorentz factor, $`\tau _{\nu e}\tau _{\nu e^{}}+\tau _{\nu e^+}`$ is the neutrino-electron(positron) mean collision time, and $`\eta =4\rho _\nu \mathrm{}_\nu /15(\rho +p)`$ is the shear viscosity due to neutrino diffusion. This approximation for the viscosity is valid in the limit when the neutrino mean free path is smaller than the characteristic scale of the problem. In our case this is not always true and the viscosity can be smaller. In Fig.1 the macroscopic velocity $`v`$ of the electron-photon fluid (continuous line) is presented as a function of the ratio $`xt/t_d`$ ($`t_d`$ is the neutrino decoupling time). It is obtained by numerical solution of the coupled set of Eqs. (3) and (5) for a particular choice of $`\delta n_\nu `$ and characteristic size of the fluctuations (see the figure caption). It is visible from this figure that the velocity grows rapidly when the neutrino mean free path becomes comparable to the fluctuations size $`\lambda `$ and it is suppressed soon later when the viscosity on that length scale becomes dominant.

In this Letter we do not investigate the velocity and MF power spectrum. We only observe here that due to the rapid grow of the viscosity with time, the turbulence spectrum may be quite different from the Kolmogoroff’s one.

We now turn to the problem of magnetic field generation. Starting from Maxwell equations in the primordial plasma and neglecting terms proportional to the inverse of the electric conductivity we obtain after simple algebra

$$_t𝐁+2H𝐁=\times \left(𝐯\times 𝐁\right)+\kappa ^1\times 𝐉_{\mathrm{𝐞𝐱𝐭}}$$
(6)
where $`\kappa T/\alpha `$  is the electric conductivity of the relativistic cosmological plasma ($`\alpha `$ is the fine structure constant), and $`2HB`$ is the damping term related to the cosmological expansion. The validity of our approximation can be easily verified by noting that the magnetic diffusion length $`L_{\mathrm{diff}}(t)=\sqrt{t/4\pi \kappa }`$ exceeds safely the characteristic length of the relevant process, namely the neutrino mean-free-path $`\mathrm{}_\nu (t)1\mathrm{s}(t/t_d)^{5/2}`$. Using the expression of the electric conductivity for relativistic plasma presented above we find that the condition $`L_{\mathrm{diff}}(t)\mathrm{}_\nu (t)`$ is comfortably fulfilled at any time essential for the presented mechanism. We also checked that relativistic corrections to Eq.(6) do not affect significantly our results even if $`v1`$. Thanks to the absence of magnetic diffusion, the first term in the r.h.s. of Eq.(6) ensures an exponential amplification of any preexistent seed field which is accounted by the the term $`\kappa ^1\times 𝐉_{\mathrm{𝐞𝐱𝐭}}`$ in Eq.( 6). Interestingly, neutrino diffusion in the presence of a inhomogeneous neutrino-antineutrino asymmetry naturally provides such a seed. The relevant point here is that, due to charge symmetry breaking in the standard model, the neutrino-electron and the neutrino-positron weak cross sections are different. As a consequence electrons and positrons are subject to different forces in the presence of a net flux of neutrinos and this gives rise to a non-zero electric current. The latter can be estimated as follows. The equation of motion of electron (or positron) in plasma is $`\dot{p}_e=\mathrm{\Phi }_\nu \sigma _{\nu e}\mathrm{\Delta }pp_e/\tau _e`$ where $`\mathrm{\Phi }_\nu =\delta n_\nu `$ is the neutrino flux with $`\delta n_\nu `$ being an excess of neutrino number density, $`\mathrm{\Delta }pT`$ is the transferred momentum, and $`\tau _e=(\sigma _Tn_\gamma )^1`$ is the characteristic damping time due to $`e^\pm `$ interactions with photons, $`\sigma _T=8\pi \alpha ^2/3m_e^2`$ is the Thomson cross-section and $`n_\gamma =0.24T^3`$ is the photon number density.

Since the $`\nu e^{}`$ and $`\nu e^+`$ cross-sections are different, $`\sigma _{\nu e^{}}=G_F^2s/\pi 10G_F^2T^2`$ and $`\sigma _{\nu e^+}=G_F^2s/3\pi 3G_F^2T^2`$ (barring finite electron mass corrections), the drift velocities of electrons and positrons would be different and a non-zero electric current would be induced by neutrino flux. Using the previous expressions the difference of $`(e^{}e^+)`$-velocities can be estimated as $`\mathrm{\Delta }v210^{19}(\delta n_\nu /n_\nu )(T/\mathrm{MeV})^3`$. Correspondingly the electric current induced by neutrinos is given by:

$`J_{\mathrm{ext}}=410^{20}eT^3\left({\displaystyle \frac{T}{\mathrm{MeV}}}\right)^3\left({\displaystyle \frac{\delta n_\nu }{n_\nu }}\right)_\lambda ,`$ (7)
which corresponds to a seed field with strength $`B_\lambda ^{\mathrm{seed}}10^{22}\left(\frac{T}{\mathrm{MeV}}\right)^2`$ at a time $`t/\lambda 1`$. We are now able to solve numerically Eq.(6) by coupling this equation to Eqs.(3,5). Instead of the absolute value of $`𝐁`$ it is convenient to focus on the ratio $`b|eB|/T^2`$ which is a constant quantity for a frozen-in MF in the absence of entropy production. From Fig.1 it is evident at a glance the huge amplification of $`b`$ which takes place in the short interval of time during which fluid “turbulence” is active. A suitable cutoff has been used in our computation to account for the saturation of the amplification process which has to come in when the MF approaches energy equipartition with the fluid motion, i.e. when $`B^2/4\pi \left(\rho +p\right)v^2`$. We think that a more elaborate treatment of non-linear MHD effects might only slightly change the knee of $`b(x)`$ without affecting significantly our main results. The final value of $`b`$ depends on the rapidity of the amplification process. Since $`b(x)\mathrm{exp}\left(v(x)x/\lambda \right)`$, it is clear that equipartition will be reached more quickly, i.e. when $`v`$ is yet not suppressed by viscosity, for fluctuations having large amplitude and small sizes. In Fig.2 we present the final value of $`b`$ as a function of $`\lambda _d`$ for several values of $`(\delta n_\nu /n_\nu )`$. In principle the requirement of a successful BBN put an upper limit on the strength of the MFs, which is roughly $`b<\mathrm{\hspace{0.33em}0.1}`$ . This bound, however, was obtained under the assumption that the MF was uniform over the Hubble volume at BBN time and, depending on the details of the MF power spectrum, it may not apply to our case.

In principle inhomogeneous MFs can be subject to dissipation due to their back-reaction on the plasma. In fact, tangled MFs give rise to an anisotropic pressure that could induce plasma oscillations (mainly Alfvén waves) about a force-free configuration. These oscillations might be rapidly damped because of the high fluid viscosity which implies a dissipation of magnetic energy . In our case, it is easy to verify that during the neutrino decoupling process the oscillation frequency of Alfvén waves is always smaller than the characteristic rate at which MFs are produced which is $`<H`$ so that these MHD modes are not excited. MF dissipation could also take at photon decoupling. However, it was showed in Ref. that such an effect is negligible for MFs extending on galactic scale if their present time strength is smaller than $`10^9`$ Gauss.

The generation mechanism that we have discussed gives rise to MFs of intensity $`B_0=b8\times 10^6`$ Gauss at the present time with a coherence length $`\lambda _0=\lambda _dr_H(t_d)(T_d/T_0)10^2\lambda _d`$ pc. Galactic MFs are observed with characteristic strength of the order of $`1\mu G`$ extending over scales $`1`$ kpc . Taking into account flux conservation during the protogalaxy collapse, the primordial origin of galactic fields would require a protogalactic field with the strength $`10^{10}`$ Gauss and the coherence length of 0.1 Mpc . Although this scale is much larger than the coherence length predicted by our model, it is natural to expect that some homogenization could take place during galaxy formation. Since the field orientation is random over scales larger than $`\lambda _0`$, the predicted mean field on the protogalactic scale will be obtained by a suitable volume average

$$B(0.1\mathrm{Mpc})B_0\left(\frac{\lambda _0}{0.1\mathrm{Mpc}}\right)^{3/2}10^{10}b\lambda _{d}^{}{}_{}{}^{3/2}\mathrm{G}.$$
(8)
From this equation and our previous results (see Fig.2) we find that galactic MFs may be a product of neutrino number fluctuations with the amplitude $`1`$ extending over scales comparable to the Hubble horizon at neutrino decoupling. It is remarkable that MFs with this intensity may have produced observable effects on the CMB and have interesting consequences for structure formation . Fluctuations with a smaller amplitude could still have played a role in the generation of galactic MFs if a galactic dynamo, or even much less efficient amplification processes, took place during or after galaxy formation.

Another interesting consequence of stirring the primordial plasma by neutrino inhomogeneous diffusion is the production of gravitational waves (GW). The generation of a cosmic background of GW by turbulence produced at the end of a first-order phase transition was discussed in Ref.. In our case GW with the largest amplitude are produced with a comoving wavelength $`\lambda _0=\lambda _d10^2`$ pc which corresponds to the present time frequency $`\omega _010^9\lambda _d^1\mathrm{Hz}`$. The GW production took place when $`\mathrm{}_\nu (x_{})=\lambda (x_{})`$, i.e. $`x_{}=\sqrt{\lambda _d}`$, and it lasted for a time interval comparable to $`H(x_{})`$. Following ref. we estimate the energy density parameter of GW with frequency $`\omega _0`$ to be

$`\mathrm{\Omega }_{\mathrm{GW}}h^2`$ $``$ $`10^5H(x_{})\lambda (x_{})v^6(x_{})`$ (9)
$``$ $`3\times 10^5\lambda _d^{3/4}v^6(x_{}).`$ (10)
From our previous results it follows that a GW background produced by neutrino number fluctuations of amplitude $`<\mathrm{\hspace{0.33em}1}`$ with $`\lambda _d<10^3`$ may be detectable by future GW space based observatories . As tangled MFs can also act as a source of GW , a further, and perhaps dominant, contribution to the GW background may come from MFs produced during the decoupling process.

We conclude this Letter by observing that large neutrino number density fluctuations, as those required to power the effects discussed above, might be generated by several mechanisms. One possible way to generate inhomogeneous and large lepton asymmetry at large scales together with a small baryon asymmetry could be achieved  in the frameworks of Affleck-Dine  baryo(lepto)-genesis scenario. Another very interesting mechanism based on active-sterile neutrino oscillations was proposed recently by DiBari . Such a mechanism naturally gives rise to domains where neutrinos, or antineutrinos, of a given species are strongly converted into sterile neutrinos (or sterile antineutrinos), hence $`\delta n_\nu /n_\nu 1`$. The typical domain size is determined by the neutrino mean free path at the critical temperature at which neutrino conversion takes place $`T_c15\mathrm{MeV}\left(|\delta m^2|/\mathrm{eV}^2\right)^{1/6}`$, which implies $`\lambda _d10^3\left(|\delta m^2|/\mathrm{eV}^2\right)^{2/3}`$. A nice feature of this scenario is that it practically does not need to invoke new physics, except for only one that there exists a sterile neutrino mixed with an active one. In this case very small inhomogeneities in the baryon number density, which is known to exist in the early universe, would give rise to a very strong amplification of initially negligible lepton asymmetry. Since the initial excess of energy density of active neutrinos is exactly compensated by the deficit in sterile ones such a model does not suffer from a possible distortion of approximate isotropy of the cosmic microwave background radiation. Both mechanisms discussed here produce isocurvature fluctuations in the neutrino fluid. Chaotic vector and tensor perturbations, which may be absent initially, are produced when neutrino start to diffuse according to the mechanism discussed in this Letter.

###### Acknowledgements.

The authors wish to thank P. Di Bari and A. Rossi for useful discussions. D.G. thanks the Physics Department of Ferrara University for the kind hospitality and financial support during part of the preparation of this work.


text:
# Globular Cluster Subpopulations in Early-Type Galaxies: Insights into Galaxy Formation

## 1. Introduction

Since their discovery in early-type galaxies nearly a decade ago, globular cluster (GC) subpopulations have been widely recognized as holding important clues about both GC and host galaxy formation. The presence of subpopulations is apparent from the bimodal color distributions in many early-type galaxies, implying multiple mechanisms or epochs of GC formation in a galaxy’s history.

Explanations for bimodality fall into three categories: Mergers, in situ/multi-phase collapse and accretion scenarios. The merger scenario, in which elliptical galaxies form from gaseous mergers of spiral galaxies (Schweizer 1987; Ashman & Zepf 1992), was the only one to actually predict bimodality rather than explaining it after the fact. The GC system of the resulting galaxy consists of a blue (metal poor) population from the progenitor spiral galaxies and a new population of red (metal rich) clusters formed in the merger event itself out of enriched gas. The in situ/multi-phase scenario was put forward by Forbes, Brodie & Grillmair (1997) in light of an increasing body of observational evidence not easily explained under the merger model. In this scenario the blue GCs form first in a clumpy protogalactic medium. Star and cluster formation is halted after most of the blue clusters and a few stars have formed, perhaps because of the ejection of gas from these clumps due to supernova explosions. There follows a dormant period of a few Gyr while the gas expands, cools and falls back into the now more fully formed galaxy potential. At this point star and cluster formation starts again, this time from enriched gas, forming the red GCs and the bulk of the galaxy stars. Harris et al. (1999) came to similar conclusions based on their HST study of GCs and halo stars in NGC 5128. In accretion scenarios (e.g. Côté et al 1998) the red GCs form in situ in large elliptical galaxies and the blue GCs are accreted along with lower luminosity galaxies or they can be stripped from neighboring galaxies. Some new cluster formation may also be required (Hilker et al. 1999).

Clearly, mergers take place and massive clusters are formed in the process. This is frequently observed (e.g. Schweizer, 1997). Equally clearly, more massive galaxies accrete less massive ones, along with their retinues of more metal poor GCs. These phenomena must influence the final characteristics of a GC system, but to what extent? The questions we need to address are: Is there a dominant mechanism determining the global properties of GC systems in ellipticals? Is that mechanism the same for all galaxies. How do spirals fit into this picture? If GC systems are the result of a mix of processes how does that mix vary with host galaxy properties? A point to remember, though, is that at high enough redshift the distinction between the scenarios is quite blurred.

We have explored the red and blue GC subpopulations of 23 galaxies observed with the WFPC2 camera on HST. Much of the data is from our own HST programs but we have supplemented with data from the HST archive where these are of sufficient depth. The result is a large, homogeneous set of GC system data observed with the same telescope (HST) and instrument (WPFC2) through the same filters (except for two galaxies) and all subjected to the same reduction and analysis techniques. This homogeneity is the key to uncovering subtle correlations which can be masked by systematics when comparing data sets from the literature which have been observed and analyzed in a variety of different ways.

Our approach has been to determine the key properties of the GCs (ages, metallicities, sizes, luminosity function turnover magnitudes), relate them to characteristics of the parent galaxy (luminosity, color, environment) and try to identify trends with galactocentric radius. In addition to the HST data we have used Keck spectroscopy to provide more accurate age and abundance estimates for selected clusters. This information has allowed us to put some useful constraints on the formation history of GC systems and their host galaxies.

## 2. Nearby Galaxies

Our nearby sample comprises 17 galaxies out to the distance of the Virgo cluster. It is discussed in detail in Larsen et al. (2001) so I will provide only a summary and a few updates here. In Larsen, Forbes & Brodie (2001) we present additional information on the Sombrero (Sa) galaxy. Included in our nearby sample are 1 Sa, 4 S0, 11 E galaxies and 1 cD galaxy. They cover a range in MB from $``$18.6 to $``$22.1 mag. Some are found in groups, some in rich clusters and a few are in relatively isolated environments.

### 2.1. Color Magnitude diagrams

The examples in Figure 1 illustrate the point that some color-magnitude diagrams are obviously bimodal to the eye, while others are not. Nonetheless, a KMM test (Ashman, Bird & Zepf 1994) indicates, with high probability, that two Gaussians are a better fit to the data than a single one in nearly all cases. Interestingly, the peak $`(VI)_o`$ colors are consistent even in galaxies where the CMDs and $`(VI)_o`$ histograms show weak/no evidence for bimodality. One galaxy, NGC 4365, appears to have only one (broadened) peak, at $`(VI)_o=0.98`$, typical for the metal poor populations in bimodal systems. This galaxy, a bright elliptical, would be expected to possess a significant metal rich population under the accretion scenario.

The average blue and red peak $`(VI)_o`$ colors are 0.95$`\pm `$0.02 and 1.18$`\pm `$0.04, corresponding to $`[Fe/H]=1.4`$ and $`0.6`$ respectively (Kissler-Patig et al. 1998). This is remarkably similar to the metallicities of the Milky Way metal poor (halo) and metal rich (disk/bulge) GCs (Zinn, 1985).

### 2.2. Globular Cluster Luminosity Functions

The GC luminosity function (GCLF) is usually assumed to have a Gaussian form (although a students t5 function is actually a better fit) whose peak appears to occur at a constant absolute magnitude, modulo metallicity effects (Ashman, Conti & Zepf 1995). The physical basis for the observed GCLF is unknown as is the degree to which it is universal. Its shape may have been set up at the time of formation or it may be the result of dynamical evolution. For example, dynamical effects could have eroded the faint end of a power-law initial luminosity function, resulting in the GCLF we observe today.

Differences between the turnover magnitudes of the blue and red subpopulations ($`\mathrm{\Delta }m_V^{TO}`$) would be indicative of differences in their formation and/or subsequent evolution. Assuming the same mass function for the blue and the red GCs, similar old ages and metallicities of \[Fe/H\] $`=`$1.6 and $`0`$.6, 1996 versions of the Bruzual & Charlot SSP models predict a difference in m$`{}_{}{}^{TO}{}_{V}{}^{}`$ between the blues and the reds of 0.26 mag.

We have examined the GCLF turnover magnitudes for the galaxies in our nearby sample and find $`<\mathrm{\Delta }m_V^{TO}>=`$0.47 mag., or 0.30$`\pm `$0.16 mag. if we exclude systems for which the error on $`\mathrm{\Delta }m_V^{TO}`$ is $`>`$0.25. Note, though that this may introduce a bias because less populous systems belonging to lower-luminosity galaxies tend to be excluded. The fact that our observational result is close to the theoretical expectation suggests that both populations are indeed old if their mass functions are identical. However, if these populations formed at different epochs under different environmental conditions, differences in their mass functions would not be altogether surprising.

### 2.3. The Discovery of a Third Class of Cluster

Observational limitations have meant that little has been known until now about the faint wing of the GCLF, yet this is where the signatures of formation and dynamical evolution should be the strongest. At $`mM`$30, the nearby S0 galaxy, NGC 1023 is close enough that the entire faint wing of the GCLF is accessible for high S/N imaging with HST and spectroscopy with 8–10m class telescopes.

As Figure 2a shows, the faint wing of the GCLF in NGC 1023 deviates significantly from that of the Milky Way. This due to the presence of a third population of clusters in addition to the normal compact blue and red subpopulations commonly found in early type galaxies (Figure 2b). These hitherto undetected faint, red extended objects are aligned with the galaxy isophotes and thus appear to be associated with its disk. These “faint fuzzies” are discussed in detail in Larsen & Brodie (2000). They have no analogs in the Milky Way and it is impossible at present to assess how common they might be. They are obviously difficult to detect, being extended low surface brightness objects fainter than the GCLF turnover and, of the galaxies studied with HST in sufficient depth for accurate size measurements, they would have been detectable in only 4 cases. They do appear to be present in NGC 3384, another lenticular galaxy, but are definitely absent in the populous lenticular NGC 3115.

In speculating about the origin of these objects we note that there is a nearby dwarf companion galaxy containing two brighter blue objects for which we have Keck spectra. These objects are young clusters (ages $``$300 Myr) possibly formed as a result of the interaction with NGC 1023. Perhaps the faint fuzzies are older remnants of similar interactions with long-ago digested companion galaxies.

### 2.4. Sizes

Sizes differences between blue and red GC populations had been noticed previously in four galaxies by ourselves (NGC 4472: Puzia et al. 1999; NGC 1023: Larsen & Brodie 2000) and others (NGC 3115: Kundu & Whitmore 1998; M87: Kundu 1999). With our new large sample we could assess how common this phenomenon might be. We found that the blue GCs are always larger than the reds by about 20%. Figure 3 gives examples. Although suitable multiple pointings exist for only a few galaxies, the size difference between the blue and red GCs persists at all radii in these systems. Interestingly, the same size difference is seen in the Milky Way, and at all radii. Note again, the similarities between the early type galaxies and the spirals (Milky Way and Sombrero).

### 2.5. Correlations with Parent Galaxy Properties

Brodie & Huchra (1991) showed that GC mean metallicity correlates with parent galaxy luminosity. With the subsequent discovery of multiple GC populations the question naturally arises as to whether the correlation exists for one or both of the subpopulations separately.

In Figure 4 we show that the peak colors of both the red and the blue GCs correlate with parent galaxy MB at the 2-3 $`\sigma `$ confidence level. A similar relation exists for $`(VI)_0`$ vs. central velocity dispersion. The slope of the relations is steeper for the red GCs than for the blues. There is a 4 $`\sigma `$ correlation between the peak colors of the red GCs and parent galaxy color111The lack of correlation reported previously was due to the use of inaccurate galaxy colors. New galaxy colors from Tonry et al. (2001) are used here and reveal the expected correlation. and a 2 $`\sigma `$ correlation for the blues.

These results are somewhat different from previous findings (Forbes et al. 1997; Burgarella, Kissler-Patig & Buat 2001; Forbes & Forte 2001) in which the red GC colors were found to correlate strongly with parent galaxy properties while the blue ones were thought not to correlate significantly. This may be because of the heterogeneous nature of the data used in these studies which tends to mask more subtle correlations.

The implication of a correlation between the properties of the blue GCs and the parent galaxy is profound. At the time of formation, the blue GCs, or at least a significant fraction of them, must have known about the final galaxy to which they would belong. This may present problems for mergers and/or accretion as dominant mechanisms in the formation history of GC systems.

## 3. More Distant Galaxies

Work is underway on the GCLFs and color distributions of a sample of more distant galaxies. These systems are too far away for accurate size estimates for individual clusters.

In Table 1 we summarize our results for the peak colors of the blue and red subpopulations. Notice that these galaxies have peak colors that are typical of those found in the nearby sample. NGC 3311 was previously thought to have an almost exclusively metal-rich GC population (Secker et al. 1995) from ground-based photometry. This would present challenges to both the in situ and merger scenarios. However, Brodie, Larsen & Kissler-Patig (2000) recently showed that this galaxy has an entirely normal color distribution based on our deep HST data. NGC 4881 appears to be the analog of the nearby galaxy, NGC 4365, in having a single (broadened) metal poor peak, as noted by Baum et al. 1995. Too few clusters are assigned to the red peak in NGC 7562 to allow a meaningful estimate of $`(VI)_{0R}`$.

## 4. Formation Scenarios

As we have seen, any successful formation scenario needs to explain a very wide range of properties of GC color distributions:

$``$ Bimodal with roughly equal $`N_{Blue}`$ and $`N_{Red}`$ (NGC 1404, 4649, 4472).

$``$ Bimodal with much reduced $`N_{Red}`$ (NGC 4406).

$``$ Single (but broadened) metal poor peak (NGC 4365, 4881).

$``$  Continuous color distribution spanning a range similar to true bimodals (NGC 524, 4552).

In addition, a successful model will have to accommodate the increasing evidence that both subpopulations are old. That this is the case is borne out by our studies of the GCLFs of the blue and red subpopulations in that the turnover magnitudes differ only by the amount predicted by the SSP models under the assumption of similar old ages (see Puzia et al. 1999 for a detailed discussion). Evidence for old ages comes most convincingly from spectroscopy but few galaxies GC systems have so far been studied with large enough samples and adequate signal-to-noise to place interesting constraints on age differences. Only NGC 1399 (Kissler-Patig et al. 1998), NGC 4472 (Beasley et al. 2000), M87 (Cohen, Blakeslee & Ryzhov 1998), M81 (Schroder et al. 2001) and M31 (Huchra, Brodie & Kent 1991; Perrett et al. 2001) have good enough spectra for relative age constraints. It is likely to prove extremely diffiult to differentiate ages greater than $``$8–10 Gyr, even with superb signal-to-noise data because age contours are so closely spaced (they even cross in some models) in index-index planes generated from SSP models. Similar old ages would be at odds with the standard merger picture but would be compatible with mergers occurring at high redshift where the similarities between the models outweigh their differences.

Particularly interesting constraints to emerge from this work are the correlations between GC colors and host galaxy luminosity (mass) and color for both red and blue GCs. If the correlation for the blue GCs is verified it will be difficult to explain under both the merger and accretion scenarios. Note too that we consistently find roughly equal numbers of red and blue GCs, or a preponderance of blues. This is also a challenge for these scenarios. In particular, in the merger picture, the lower specific frequency of spirals must be increased to the higher (by a factor of $``$3 for giant E galaxies) value in ellipticals by the production (in the merger) of numerous red clusters. It is hard to escape the conclusion that the resulting galaxy would have a preponderance of red clusters. The accretion model is challenged only because such a large number of blue clusters must be acquired along with minimal amounts of starlight.

## 5. What’s Next?

We do not yet understand the origin of the size difference between red and blue GCs, whether it is primordial or the result of dynamical evolution. To produce it by dynamical effects would require constancy in the ratio of the perigalactic distances of the blue and red subpopulations over a wide range of parent galaxy luminosities and environments. Were red GCs formed on predominantly radial orbits and blue GCs formed on predominantly circular orbits? It might be more natural to suppose that red GCs formed from denser protocluster clumps, perhaps under conditions influenced by their higher metallicities.

An answer to the size question will naturally require kinematic information for large samples of GCs. This information will also inevitably assist in differentiating between models for the origins of GC subpopulations but it is not yet clear how to interpret such data. We are accumulating relevant information at an increasing pace from spectroscopic programs on 8–10m class telescopes. What is largely lacking is a theoretical basis for comparison between the scenarios (but see Bridges article in these proceedings for a comparison of current data with merger ideas).

Spectroscopic data also offer the best chance of age discrimination and we can expect additional insights into the timescales for GC formation from studies of individual element abundance ratios, in particular the ratios of $`\alpha `$ elements to Fe which reflect the relative contributions of SN Types I and II.

Much is still to be learned from photometry, particularly with HST. Outstanding questions relevant to the work described here include: How common are the “faint fuzzies”? Are they always associated with the disks of lenticulars? What else will we find when we study the faint wings of GCLFs? Can we see the signatures of dynamical evolution by observing galaxies with a range of ages?

We are beginning to learn that there are many similarities in the characteristics of the subpopulations in spirals and ellipticals. Since it is not generally thought that spirals themselves form from major mergers of disk systems, this might present another challenge to the standard merger picture. However, more spiral GC systems (especially those of later type galaxies) need to be studied before we will know how widespread these similarities are and to what extent they will influence our ideas on GC and galaxy formation.

## 6. Conclusions

Overall then, our results seem to fit better with an in situ scenario in which both GC populations “knew” about the size of the final galaxy to which they would belong. This implies that the initial phase of GC formation in gE galaxies must have taken place after they assembled into individual entities, i.e., both GC populations formed within the potential well of the protogalaxy in multiple episodes of star formation. If the in situ idea is right, accurate age-dating of the red GCs will pinpoint the epoch at which the bulk of the galaxy was formed. Our best estimates suggest this occurred $`>`$ 8–10 Gyr ago but it is of critical importance to improve this constraint for comparison with models (such as hierarchical clustering) for the formation of structure in the early universe.

#### Acknowledgments.

I am grateful to my many collaborators, especially Søren Larsen, and to Mike Fall for interesting discussions. This work was supported by National Science Foundation grant number AST9900732.

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