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# 1 Vortex lines (solid) and vortex tubes (dotted) for () (see the above text for detail).

MATRIX FLUID DYNAMICS
E. I. Yakubovich and D. A. Zenkovich

Institute of Applied Physics, Nizhny Novgorod, Russia

The lagrangian representation of fluid motion is alternative with respect to the conventional eulerian description. It is focused on observing the motion of individual fluid particles identified by three parameters known as the lagrangian variables. The set of ideal-fluid lagrangian governing equations consists of four non-linear differential equations for current positions of fluid particles as functions of the lagrangian variables and time . According to Aref (, p.274), ‘…analytical tradition has clearly favoured the eulerian representation, and considered the lagrangian version to be analytically intractable’. The lagrangian analytical study of a viscous fluid is even more problematic because of the extreme complexity of the known expression for the viscous force .

This paper aims at showing that we can advance in the analytical study of the lagrangian fluid dynamics due to a new matrix approach proposed in . The matrix approach is based on the notion of continuous deformation of infinitesimal vector fluid elements and treats the Jacobi matrix of derivatives of particles coordinates with respect to the lagrangian variables as the fundamental quantity describing fluid motion. The matrix (‘deformation’) approach is distinct from the conventional lagrangian (‘trajectory’) formulation and is, actually, similar to the tensor description in the elasticity theory. A closed set of governing equations is formulated in terms of the Jacobi matrix and studied for both ideal and viscous fluid. Recent results on the 3-D extension of plane lagrangian solutions are reported.

Matrix form of ideal-fluid hydrodynamic equations

In the conventional lagrangian approach, fluid motion is described by current particle position $`𝑿=\{X,Y,Z\}`$, considered as a function of time $`t`$ and the lagrangian variables $`𝒂=\{a,b,c\}`$: $`𝑿=𝑿(𝒂,t)`$. Let us consider the Jacobi matrix $`𝐑(𝒂,t)=𝑿/𝒂`$ as the principal characteristic of fluid motion. The evolution of an infinitesimal material vector $`\mathrm{d}𝑿`$ corresponding to an increment of the lagrangian variables $`\mathrm{d}𝒂`$ is then given by $`\mathrm{d}𝑿=𝐑\mathrm{d}𝒂`$. For an ideal fluid, the Jacobi matrix is shown to satisfy the following set of equations :

$$det𝐑=det𝐑_0,𝐑_t^\mathrm{T}𝐑𝐑^\mathrm{T}𝐑_t=𝐒,R_{nm}/a_k=R_{nk}/a_m,$$
(1)
where $`𝐑_0=𝐑(𝒂,0)`$, $`𝐑^\mathrm{T}`$ is the transposed Jacobi matrix, subscript ‘$`t`$’ denoting the time derivative, $`𝐒=\left(e_{ijk}S^k\right)`$ is a time-independent antisymmetric matrix of the Cauchy invariants, $`\{a,b,c\}\{a_1,a_2,a_3\}`$ for the indexed notation. The Cauchy invariants $`S^k`$ are the integrals of the conventional 3-D lagrangian equations related to the initial vorticity $`𝛀_0`$ at $`t=0`$ by $`S^k(𝒂)=(𝛀_0,\mathbf{}a_k)det𝐑_0`$. Set (1) comprises the matrix analogues of the lagrangian continuity and vorticity equations along with the consistency condition. This condition allows us to reconstruct the particle trajectories $`𝑿(𝒂,t)`$ by a solution of (1) for $`𝐑`$ uniquely through integration over the lagrangian variables:

$$𝑿(𝒂,t)=_0^𝒂𝐑(𝒒,t)d𝒒.$$
(2)
The specific features of set (1) consist in the following. The continuity equation takes the form of an algebraic constraint on the Jacobi matrix. The equation of motion is formulated as a nonlinear matrix differential equation in time only, where the derivatives with respect to the lagrangian variables do not appear. The accompanying consistency condition is linear and does not include the time derivatives. Altogether, set (1) admits a flexible formulation of the problem of interest and allows one to take advantage of the powerful machinery of matrix calculus.

The expression for vorticity takes the form

$$𝛀=(det𝐑_0)^1S^i𝑿/a_i$$
(3)
and represents decomposition of vorticity into components along the reference vectors $`𝑿/a_i`$ of the frozen-in ‘liquid’ coordinate frame of the lagrangian variables. Accordingly, the meaning of the invariants $`S^i`$ is that they are proportional to the contravariant components of vorticity in the ‘lagrangian’ reference frame. As seen from the formula for its Cartesian components $`\mathrm{\Omega }_n=det𝐑_0^1R_{ni}S^i`$, the evolution of vorticity is described by the Jacobi matrix directly.

Thus, by virtue of the facts that set (1) is closed and one can reconstruct any required characteristic of the flow by its solution for $`𝐑`$ it follows that the matrix approach based on set (1) provides a complete description of motion of an ideal fluid.

A method for constructing solutions to the set of matrix equations which correspond to 3-D rotational flows with precessing vorticity is developed in . It allowed us to find and investigate a new class of 3-D exact matrix solutions that would be extremely difficult to derive from conventional formulations. The solutions investigated in  depend not only on a set of parameters but on several arbitrary functions of the Lagrangian variables and incorporate the known 2-D solutions such as the Ptolemaic vortices , the Gerstner waves and Kirchhoff’s vortex as particular cases. Below we report results of an alternative technique to construct 3-D solutions of the matrix equations (1).

3-D shearing and stretching of plane motion

The matrix formulation provides a compact ‘block’ representation of 3-D lagrangian equations and allows us to study new 3-D extensions of known 2-D rotational motions. Suppose that $`\stackrel{~}{X}(a,b,t),\stackrel{~}{Y}(a,b,t)`$ represent a solution of 2-D lagrangian hydrodynamic equations. The corresponding Jacobi matrix takes the form

$$\stackrel{~}{𝐑}=\left[\begin{array}{ccc}\stackrel{~}{X}_a(a,b,t)& \stackrel{~}{X}_b(a,b,t)& 0\\ \stackrel{~}{Y}_a(a,b,t)& \stackrel{~}{Y}_b(a,b,t)& 0\\ 0& 0& 1\end{array}\right].$$
(4)
It can be proved that along with matrix (4), set (1) is satisfied by the transformed matrix

$$𝐑=\left[\begin{array}{ccc}f^{1/2}\stackrel{~}{X}_a(a,b,fdt)& f^{1/2}\stackrel{~}{X}_b(a,b,fdt)& 0\\ f^{1/2}\stackrel{~}{Y}_a(a,b,fdt)& f^{1/2}\stackrel{~}{Y}_b(a,b,fdt)& 0\\ f\left(f^2dt\right)H_a(a,b)& f\left(f^2dt\right)H_b(a,b)& f(t)\end{array}\right],$$
(5)
which includes an arbitrary function of the lagrangian variables $`H(a,b)`$ and an arbitrary function of time $`f(t)0`$. The particle trajectories obtained from (5) using (2) take the form

$$X=\frac{\stackrel{~}{X}(a,b,fdt)}{f^{1/2}},Y=\frac{\stackrel{~}{Y}(a,b,fdt)}{f^{1/2}},Z=f\left[H(a,b)f^2dt+c\right]$$
(6)
and represent a 3-D motion with the $`Z`$-component of velocity

$$V_z=[H(a,b)+\dot{f}Z]/f.$$
(7)
The Cauchy invariants of the 3-D solution are given by

$$S^1=H_b,S^2=H_a,S^3=\stackrel{~}{X}_{ta}\stackrel{~}{X}_b\stackrel{~}{X}_{tb}\stackrel{~}{X}_a+\stackrel{~}{Y}_{ta}\stackrel{~}{Y}_b\stackrel{~}{Y}_{tb}\stackrel{~}{Y}_a,$$
(8)
where $`S^3`$ remains the same as for the 2-D solution (4), but both $`S^1`$ and $`S^2`$ are now non-zero. The vorticity corresponding to (5), (6) is obtained from (3) using (8), it becomes 3-D and time-dependent:

$$𝛀=\{f^1H/Y,f^1H/X,S^3f/(\stackrel{~}{X}_a\stackrel{~}{Y}_b\stackrel{~}{X}_b\stackrel{~}{Y}_a)\}.$$
(9)
The transformation according to (5), (6) allows one to obtain non-trivial extensions of any given 2-D solution. As can be seen from (7), (9), the contributions of arbitrary functions $`H(a,b)`$ and $`f(t)`$ to the resulting 3-D motion are a shear flow along the $`Z`$-direction and stretching of the $`Z`$-component of vorticity, respectively. We shall illustrate the effect of these two factors separately using the 2-D Ptolemaic vortices  as the initial solution. The lagrangian expression for the flow inside the 2-D Ptolemaic vortex is given in complex variables :

$$W=2^{1/2}(X+iY)=\xi \mathrm{exp}(2i\omega t)+F(\overline{\xi })\text{for}|\xi |<1,$$
(10)
where $`W`$ is the complex coordinate, $`\xi =2^{1/2}(a+ib)`$ is the complex lagrangian variable, $`\overline{\xi }`$ denotes the complex conjugate variable, function $`F(\overline{\xi })`$ is analytical within $`|\xi |<1`$ and satisfies there the condition $`|F^{}|<1`$.

3-D Ptolemaic vortices with swirl

In order to focus on the effect of the $`Z`$-shear, we apply transformation (6) to (10) and eliminate stretching by setting $`f(t)=1`$. The resulting flow is most expediently described in complex form similar to the initial solution (10):

$$W=\xi \mathrm{exp}(2i\omega t)+F(\overline{\xi }),Z=H(\xi ,\overline{\xi })t+c.$$
(11)
Here, $`H(\xi ,\overline{\xi })`$ remains real-valued. The particle trajectories are regular circular helices. Although the lagrangian expression for the $`Z`$-component of the flow is elementary, the eulerian velocity for (11) cannot be written explicitly and is evidently non-trivial. The Cartesian components of vorticity are derived from (9), (11):

$$\mathrm{\Omega }_X+i\mathrm{\Omega }_Y=\frac{\sqrt{2}i}{1|F^{}|^2}\left[H_{\overline{\xi }}e^{2i\omega t}H_\xi e^{2i\omega t}F^{}(\overline{\xi })\right],\mathrm{\Omega }_Z=\frac{4\omega }{1|F^{}|^2}.$$
(12)
To have a geometrical idea of the structure of vortex lines, consider their equation in the space of the lagrangian variables $`\mathrm{d}a/S^1=\mathrm{d}b/S^2=\mathrm{d}c/S^3`$. The substitution of the Cauchy invariants $`S^i`$ from (8) yields $`\mathrm{d}a/H_b=\mathrm{d}b/H_a=\mathrm{d}c/(4\omega )`$, then $`H=\text{const}`$ along the vortex lines. If the contours of $`H(a,b)=\text{const}`$ are closed inside the vortex (for $`|a+ib|<1`$), the vortex lines are windings on the cylindrical surfaces in the space of $`a,b,c`$, for which these contours serve as directing curves. The shapes of vortex lines in Cartesian space are topologically similar, although they experience periodic distortions, since the smooth mapping defined by (11) is time-dependent. Figure 1 shows the material (moving with fluid particles) vortex lines of flow (11) for $`|\xi |=0.9`$, and the surface of the vortex tube for $`|\xi |=1`$: (a) at $`t=0`$, (b) at $`t=2\pi `$; here $`F=\alpha (\overline{\xi }+\beta )^{5/2}`$, $`\alpha =0.11`$, $`\beta =1.2`$, $`H=2(1|\xi |^2)`$, $`\omega =1/4`$.

Such an important solution of 2-D lagrangian equations as the Gerstner waves , can be extended by analogy with (11):

$$W=\xi +A\mathrm{exp}[i(k\overline{\xi }+\sigma t)],Z=H(\xi ,\overline{\xi })t+c.$$
(13)
Noteworthy is the fact that (13) satisfies not only the governing equations but also the boundary conditions at the free surface $`\text{Im}\xi =0`$. The resulting 3-D flows have helical particle trajectories and generally curvilinear vortex lines, their shape depending on the real-valued function $`H(\xi ,\overline{\xi })`$.

Stretched Ptolemaic vortices

Assume that the $`Z`$-shear in (5)–(7) vanishes with $`H=0`$, and consider the effect of the arbitrary function $`f(t)`$ proceeding from 2-D Ptolemaic vortices (10). We shall demonstrate that the extension according to (6) leads to stretching or contraction of the vortex by a non-stationary axisymmetric strain flow. The particle trajectories obtained from (10) for $`H=0`$, $`f(t)0`$ take the form

$$W=f^{1/2}\left[\xi \mathrm{exp}\left(2i\omega fdt\right)+F(\overline{\xi })\right],Z=f(t)c.$$
(14)
For monotonic $`f(t)`$, all the particles trace convergent / divergent spiral paths. Solution (14) has one non-zero Cauchy invariant $`S^3=4\omega `$ and the only component of vorticity $`\mathrm{\Omega }_Z=4\omega f(t)/\left(1|F^{}|^2\right)`$ which depends on the lagrangian variables and time. It is the time variation of vorticity in proportion to $`f(t)`$ that reflects the effect of concentration and intensification of vorticity (for $`\mathrm{d}|f|/\mathrm{d}t>0`$) due to the stretching of vortex tubes along the $`Z`$-direction.

The manifestation of the strain flow becomes evident for the isolated vortex (14) streamlined by an irrotational fluid. We now assume that the 3-D rotational motion (14) is concentrated within a vortex core, e.g. within the vortex tube $`|\xi |1`$. It proves possible due to a specially developed technique of potential continuation to construct an exterior 3-D potential flow which agrees with the rotational motion across the boundary of the vortex. We formulate a system of parametric matrix equations for the exterior potential velocity, provided that parameterization of the coordinates in the outer region is given. The set of parameters for the outer potential region is most expediently chosen in accordance with the parameterization of the interior by the lagrangian variables (14). Using the matrix equations of potentiality we obtain the potential velocity parametrically at the point of the outer region

$$W=f^{1/2}\left[\xi \mathrm{exp}\left(2i\omega fdt\right)+F(1/\xi )\right],Z=f(t)c\text{for}|\xi |>1$$
(15)
as a function of parameters $`\xi ,c`$ :

$$V=2^{1/2}(V_x+iV_y)=2i\omega f^{1/2}e^{2i\omega {\scriptscriptstyle fdt}}/\overline{\xi }\frac{1}{2}W\dot{f}/f,V_Z=\dot{f}c,$$
(16)
where $`\dot{f}`$ stands for the time derivative of $`f`$.

All the components of (16) agree with the velocity obtained from (14) across the vortex boundary $`|\xi |=1`$. Unlike the vortex core, for the outer region $`\xi ,c`$ are not the lagrangian variables of the potential flow and play the role of formal parameters in (15), (16). As the distance from the vortex increases ($`|\xi |\mathrm{}`$), the potential velocity (16) tends asymptotically to the non-stationary axisymmetric strain flow, the intensity of which is proportional to $`\dot{f}`$: $`V_rr\dot{f}/(2f)+O(1/r)`$, $`V_z=Z\dot{f}/f`$, where $`r`$ is the cylindrical radius. It becomes clear that the stretching or contraction of the vortex is influenced by the external strain and is essentially kinematical. Figure 2 shows the boundary of the material section $`|\xi |=1`$, $`|c|4`$ of the vortex (14)–(16) for $`f(t)=t`$ and $`F(\overline{\xi })=\alpha \left[(\overline{\xi }\zeta _1)^3+(\overline{\xi }\zeta _2)^3\right]`$, $`\alpha =0.83`$, $`\zeta _1=2.2`$, $`\zeta _1=2.09+0.68i`$.

We have demonstrated the effects of 3-D shear and axisymmetric strain on 2-D lagrangian solutions in succession. As seen from general expressions (5), (6), the extension of 2-D solutions allowing for their concurrent contribution is also simple and results in a variety of interesting 3-D flows.

Lagrangian equations for a viscous fluid

The notion of the frozen-in lagrangian coordinates and the matrix formulation are useful not only for an ideal fluid but also for a viscous fluid. We have seen that the constancy of the Cauchy invariants $`S^i`$ plays an important role for an ideal fluid. It is natural to question how they change due to viscous force. We shall derive an equation for $`S^i`$ which serves as the lagrangian analogue of the Helmholtz equation for a viscous fluid.

The lagrangian equations deduced by a direct change to the lagrangian variables in the Navier–Stokes equation are known from the literature . However, their structure is so complicated that no progress in their analytical study or applications has been achieved until now.

For an alternative approach, we consider the column vector $`𝑺=\{S^1,S^2,S^3\}`$ composed of the Cauchy invariants. It is related to the velocity vector by $`𝑺=\mathrm{rot}_𝒂(𝐑^\mathrm{T}𝑿_t)`$, where $`(\mathrm{rot}_𝒂𝑨)_i=e_{ijk}A_j/a_k`$. The change of $`𝑺`$ occurs due to the viscous force exclusively and is governed by the diffusion-type equation

$$𝑺/t=\eta \mathrm{rot}_𝒂\left[𝐠\mathrm{rot}_𝒂\left(𝐠𝑺/D\right)/D\right],$$
(17)
where $`\eta `$ is the kinematic viscosity, $`𝐠=(g_{ik})=𝐑^\mathrm{T}𝐑`$ is the metric tensor reflecting the distortion of the frozen-in ‘liquid’ coordinate system, $`D=(det𝐠)^{1/2}`$. This equation complements set (1) of the ideal-fluid matrix equations. Together, they constitute a closed system of equations that fully describes the motion of a viscous fluid, provided that $`S^i`$ in (1) are considered as functions of time.

For a 2-D motion $`S^1=S^2=0`$ and (17) reduces to

$$\frac{S}{t}=\eta \left\{_a\left[\frac{g_{21}}{D}_b(\frac{S}{D})\frac{g_{22}}{D}_a(\frac{S}{D})\right]_b\left[\frac{g_{11}}{D}_b(\frac{S}{D})\frac{g_{12}}{D}_a(\frac{S}{D})\right]\right\},$$
(18)
where $`SS^3`$. Equation (18) can be simplified asymptotically for low or high viscosity. For the case of low viscosity ($`\mathrm{𝑅𝑒}1`$), the tensor components $`g_{ik}`$ can be approximately replaced by their time average obtained from the inviscid problem. For high viscosity ($`\mathrm{𝑅𝑒}1`$), the term $`S/t`$ on the left-hand side of (18) can asymptotically be neglected, so that time plays the role of a parameter in (18) (note that we should nevertheless keep the time derivatives in (1)). More profound study of (17), (18) and their applications are beyond the scope of this report.

The authors gratefully acknowledge the financial support provided by INTAS Projects 97-0575, 99-1637 and Project No. 00-15-96772 of the Russian Foundation for Basic Research.


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# On the Nature of Intrinsic Absorption in Reddened Seyfert 1 Galaxies

## 1 Introduction

A large fraction of Seyfert 1 galaxies show significant reddening of their continua and emission lines due to an intrinsic column of dust (Ward et al. 1987). X-ray observations of a number of these galaxies show that the column density of neutral hydrogen is much smaller than that derived from the reddening (Komossa et al. 2000, and references therein). Brandt, Fabian, & Pounds (1996) suggested that the dust exists within a warm absorber, characterized by O VII and O VIII bound-free edges, although they mentioned the possibility that the dust exists in lower ionization gas in which the hydrogen is still stripped. In Kraemer et al. (2000), we found that lower ionization gas in the form of a dusty “lukewarm absorber” provides a more natural explanation than the dusty warm absorber, because it can be placed at a sufficient radial distance from the nucleus ($`\stackrel{>}{}`$ 100 pc) to redden most of the emission from the narrow-line region (NLR). We predicted that the lukewarm absorber could be identified by strong, and in some cases saturated, UV absorption lines (C IV, N V, Si IV, and Mg II) in reddened Seyfert 1 galaxies.

We subsequently identifed lukewarm absorbers in Hubble Space Telescope (HST) spectra of the Seyfert 1 galaxy NGC 3227 (Crenshaw et al. 2001a) and the narrow-line Seyfert 1 galaxy Akn 564 (Crenshaw et al. 2001b). In both cases, photoionization models of the UV absorption lines confirmed that the column of gas (NH $`=`$ 1 – 2 x 1021 cm-2) is sufficient to provide the observed reddening, assuming a dust-to-gas ratio that is within a factor of two of the Galactic value given by N(H) $`=`$ 5.2 x 1021 E(B$``$V) cm-2 (Shull & van Steenberg 1985). Interestingly, the galactic disks of both Seyferts are inclined ($`i=`$ 63o for NGC 3227, $`i=`$ 59o for Akn 564; de Zotti & Gaskell 1985), so that our line of sight intercepts more gas and dust in their disks than for face-on galaxies. In addition, the intrinsic absorbers for both objects have velocities within 200 km s-1 of the systemic velocities of their host galaxies, consistent with an origin in the galactic disks (Unger et al. 1987), whereas most UV absorbers show substantial outflow velocities with respect to their nuclei (up to $``$2100 km s-1, see Crenshaw et al. 1999). Finally, the depths of the UV lines confirm that the absorbers cover the NLRs in these objects, which indicates that they are at distances $`\stackrel{>}{}`$ 100 pc from the Seyfert nuclei (Crenshaw et al. 2001a, 2001b). These findings led us to suggest that the dusty lukewarm absorbers lie in the galactic disks of these Seyferts, and may due to a highly ionized component in the extended narrow-line region (ENLR). In this letter, we pursue this suggestion by investigating the connection between reddening, UV absorption, and host galaxy inclination in a large sample of Seyfert galaxies.

## 2 The Sample

We have assembled data from the literature and the IUE and HST archives for 48 Seyfert 1 galaxies; these data are listed in Table 1. The list includes the 30 Seyfert 1 galaxies in the Ward et al. (1987) study of continuum reddening, which contains the complete sample of hard X-ray selected sources of Piccinotti et al. (1982) plus a few other Seyferts. Four objects from the Ward et al. sample were excluded from our study (NGC 2992, NGC 7172, and NGC 7582 are generally considered to be Seyfert 2 galaxies, and 3C 273 is a quasar). We have also included Seyfert 1s in our sample that appear in recent studies of UV absorption (e.g., Ulrich 1988; Crenshaw et al. 1999) or X-ray absorption (e.g., Reynolds 1997; George et al. 1998).

Ward et al. (1987) found that at least 30% of the Seyfert 1 galaxies in their sample showed signs of heavy reddening. Their broad-band 1 - 20 $`\mu `$m photometry combined with previous optical and IRAS fluxes indicated that the continuum energy distributions of these objects could be placed into one of three categories: A) bare, minimally reddened, B) reddened, or C) contaminated by the host galaxy. Seyferts with strong blue fluxes (i.e., at 3600 Å) were placed in class A, those with steep visible spectra (decreasing to the blue) and flat far-infrared spectra were placed in class B, and those with steeply rising flux from 12 to 60 $`\mu `$m were placed in class C. We list these designations in Table 1.

We also list the axial ratios (b/a) of the host galaxies from, in order of preference, de Zotti & Gaskell (1985), Kirhakos & Steiner (1990), NASA/IPAC Extragalactic Database (NED), or direct measurement from the Palomar Sky Survey (POSS) images, as noted. We prefer the de Zotti & Gaskell (1985) compilation, since it uses measurements from large-scale plates when available; the other measurements rely strictly on POSS images. In Table 1, we note the presence or absence of UV absorption based on HST spectra obtained at moderate to high spectral resolution ($`\lambda `$/$`\mathrm{\Delta }\lambda `$ $`\stackrel{>}{}`$ 1000). Most of these are from Crenshaw et al. (1999), although results on the following individual objects are also included: Ton S180 (Turner et al. 2001), NGC 3227 (Crenshaw et al. 2001a), and NGC 4051 (Collinge et al. 2001). We also include a Seyfert 1 galaxy that shows significant evidence for intrinsic C IV and Mg II absorption in IUE spectra: MCG 8-11-11 (Ulrich 1988). We list the Galactic reddening E(B$``$V) values from NED that were derived from the maps of Schlegel et al. (1998).

In order to estimate the extinction, we determined a UV color from the continuum fluxes in HST or IUE spectra. For those sources with HST spectra, we used our measurements of continuum fluxes at 1350 Å (far-UV) and 2200 Å (near-UV). These wavelengths were chosen to avoid contamination by line emission; in particular, the 2200 Å region is just shortward of the “little blue bump”, which consists of Fe II emission in the UV (Wills, Netzer, & Wills 1985). Unfortunately, the sensitivity of IUE at 2200 Å is quite poor; thus, for objects with only archival IUE spectra, we used the region around 2400 Å for the near-UV point (we discuss the effects of this choice in §3). We obtained the IUE fluxes from the tabulated values in the AGN compilation of Courvoisier & Paltani (1992); in cases of multiple observations, we used the first pair of well-exposed SWP and LWP images obtained on the same day. A few objects were observed after the publication of this catalog, and their fluxes were taken directly from spectra in the IUE archives. Note that we do not regard this as a complete sample, since the requirement for UV spectra biases the sample towards Seyferts with significant UV flux. However, the sample is large enough to show clear trends among the reddening properties, as we will demonstrate.

## 3 Reddening, Inclination, and Absorption

To investigate the trends in our sample, we use the inclination of the host galaxy:

$$i=cos^1(b/a)$$
(1)
and define a UV color (in magnitudes):

$$FUVNUV=2.5log[Flux(farUV)/Flux(nearUV)].$$
(2)
In Figure 1, we plot these two quantities for Seyferts designated type A or B by Ward et al. (we omit the point for 3C 120, since its type B classification is due to high Galactic reddening; see Table 1). The UV colors have been corrected for Galactic reddening using the curve of Savage & Mathis (1979).

Figure 1 shows that the UV color FUV$``$NUV provides a measurement of reddening that is consistent with the Ward et al. results; those objects with FUV$``$NUV $`<`$ $``$0.2 are type A (unreddened) and those with FUV$``$NUV $`>`$ $``$0.2 are type B (reddened). Thus, we can use the UV color as a consistent reddening indicator for the Seyferts in our entire sample. We note that this correlation implies that the reddening curves of Seyfert galaxies typically lack a significant 2200 Å bump, since the bump yields comparable extinctions at 1350 Å and 2200 Å in the standard Galactic curve (Savage & Mathis 1979). This conclusion is consistent with the lack of a 2200 Å bump in the reddening curves of the Seyfert galaxies NGC 3227 (Crenshaw et al. 2001a), Akn 564 (Crenshaw et al. 2001b), and quasars in general (Pitman, Clayton, & Gordon 2000).

Figure 1 also demonstrates that the inclined sources tend to be the most reddened, which indicates that the reddening is primarily associated with dust in the plane of the host galaxy. Similar correlations have been found in previous studies. Cheng, Danese, & de Zotti (1983) found that the optical colors B$``$V and U$``$B of Seyfert 1 nuclei increase (i.e, become redder) with decreasing axial ratio (i.e., increasing inclination). De Zotti & Gaskell (1985) found that the Balmer decrement H$`\alpha `$/H$`\beta `$ of the broad lines increases with decreasing axial ratio, and the narrow-line decrement shows a similar, though less significant, behavior. We point out the advantage of using the UV color for this type of correlation is that it is very sensitive to reddening, since reddening curves tend to be steep in the UV.

In Figure 2, we have replotted the UV color against inclination angle for the entire sample, flagging those sources for which the presence or absence of intrinsic UV absorption is known. The correlation between UV color and inclination is well established in this sample. The dispersion in UV colors at low inclinations is due in large part to the intrinsic dispersion in spectral energy distributions, since the UV color of even an individual Seyfert can vary significantly. For example, based on the IUE fluxes of Fairall 9 in Courvoisier & Paltani (1992), FUV $``$ NUV varied from $``$0.3 to $``$1.0 as it went through a factor of $``$30 variation in flux at 1350 Å (with more negative colors corresponding to larger fluxes). Other sources of dispersion at all inclinations could be: 1) different amounts of dust in the lines of sight through the host galaxies (due to intrinsic variations in dust content or clumpiness), 2) different reddening curves (see Crenshaw et al. 2001b), or 3) additional components of dusty gas that are not coplaner with the host galaxy (see §4). The use of the 2400 Å region (instead of 2200 Å) for the IUE spectra introduces only a small amount of scatter. From the STIS spectrum of NGC 4151 , which has a relatively large “little blue bump” (Crenshaw et al. 2001a), we find that the Fe II emission in this region increases FUV$``$NUV by only $`+`$0.10, whereas the use of the continuum fit at 2400 Å (i.e., if NGC 4151 had no emission bump) decreases FUV$``$NUV by only $``$0.09.

The Seyfert 1 galaxies in Figure 1 with intrinsic absorption are distributed thoughout the full range of inclination angle. This is not surprising, since many of these absorbers are known to be associated with the active nuclei (and not the host galaxies), due to their high outflow velocities, variability, or less than one covering factors (Crenshaw et al. 1999). However, it is interesting that absorption-free Seyfert 1 galaxies are completely lacking at high inclination angles. We suggest that the reason for this is that sources in this area of the plot tend to be reddened, and a column of dusty gas which causes even marginally detectable reddening will produce detectable UV absorption lines, unless very highly ionized. For example, we have generated a set of models using the photoionization code CLOUDY90 (Ferland et al.1998) and the form of the ionizing continuum described in Kraemer et al. (2000). We varied the ionization parameter (number of ionizing photons per hydrogen atom at the illuminated face of the slab) for a fixed total hydrogen column of 5 x 1020 cm-2, which corresponds to a reddening of E(B$``$V) $`=`$ 0.10 (Shull & van Steenberg 1985). We asssumed solar abundances (see Grevesse & Anders 1989), and a 65% depletion of the carbon onto grains. We find that for ionization parameters U $`<`$ 3.0, the column density of C IV will be $`>`$ 1013 cm-2, which is the approximate detection limit for current high-resolution STIS spectra (Kraemer et al. 2001).

The labeled Seyfert 1 galaxies in Figure 2 are particularly interesting. All show evidence for reddening, and in addition, saturated C IV and N V absorption lines near the systemic velocities of their host galaxies. As we have shown, these are the signatures of dusty lukewarm absorbers in NGC 3227 and Akn 564, and we expect that future high-resolution spectra and modeling of the absorbers in WPVS 007 and MCG 8-11-11 will show that the columns of UV absorbing gas are sufficient to provide the observed reddenings. Furthermore, we predict that the other heavily reddened, inclined Seyfert galaxies (NGC 931, IC 4329A, NGC 5506, and MCG -6-30-15 in particular) will show dusty lukewarm absorbers.

## 4 Discussion

We conclude that there are at least two types of UV absorbers in Seyfert 1 galaxies: dusty lukewarm absorbers in the plane of the host galaxy and absorbers intrinsic to the nucleus. The first type is a natural consequence of viewing the nucleus through a host galaxy at a large inclination angle. It can be identified through saturated UV absorption lines (typically C IV and N V) near the systemic velocity in a Seyfert galaxy that shows evidence for reddening of its nonstellar continuum and emission lines, including those from the NLR. Given the morphological and kinematic evidence that the extended narrow-line region (ENLR) in a Seyfert galaxy is ionized gas in the galactic disk (Unger et al. 1987), we suggest that the dusty lukewarm absorber is a highly ionized component of the ENLR seen in absorption.

The other type of absorber (i.e., intrinsic to the nucleus) can be identified through absorption-line variability, high outflow velocities, and/or covering factors that are less than one. Thus, it is possible in many cases to use this information to separate the two types of absorbers, permitting more focused studies of either phenomenon. We note that it may not always be possible to identify the origin of a particular absorber; for example, a saturated absorber with low radial velocity, a covering factor of one, and no evidence for variability does not automatically fall into the dusty lukewarm absorber class (i.e., in the host galaxy). However, we suggest that evidence for reddening by a column sufficient to produce the absorption lines, plus evidence for covering of the NLR, does place it in this class.

One interesting question is: why don’t all Seyfert 1 galaxies show UV absorption? Since nearly all Seyfert galaxies are spirals, we might expect a significant column of gas for even face-on objects. Xilouris et al. (1999) find that a line-of-sight to the nucleus of a normal spiral galaxy will show a column of a NH $``$ 5 x 1020 cm-2 at zero inclination, which should normally produce observable UV absorption lines (§3). However, $``$40% of Seyfert 1 galaxies show no UV absorption lines at all, including Ly$`\alpha `$ (Crenshaw et al. 1999). The answer may be that gas originally associated with the host galaxy is evacuated in the vicinity of the nucleus, (i.e., distances $`\stackrel{<}{}`$ 100 pc) as suggested by de Zotti & Gaskell (1985). This evacuation would occur at least within some polar angle relative to the axis of the accretion disk and/or putative torus (and within the ionization bicone through which we presumably view Seyfert 1 galaxies). Support for partial evacuation of the bicone comes through kinematic models of the outflowing gas in the NLR (Crenshaw et al. 2000). As we mentioned previously, another possibility for the lack of UV absorption is that the gas is highly ionized (U $`>`$ 3) close to the nucleus.

In many, if not all, Seyfert galaxies, there is clearly another source of extinction at distances less than 100 pc from the nucleus (e.g., a dusty torus or dusty wind). Only a small fraction of Seyfert 2 galaxies can be attributed to viewing Seyfert 1 host galaxies at large inclination angles, due to the small range of inclination angles that would completely extinguish the nucleus. Furthermore, the source of extinction is not, in general, coplaner with the host galaxy, since Seyfert 2 galaxies are not seen preferentially edge-on (Kirhakos & Steiner 1990). An important pursuit would be to determine the connection, if any, between reddening and UV absorption in the inner regions, since this would undoubtedly lead to a better understanding of the origin of the absorbers. An interesting example is the high-column (NH $`=`$ 2.7 x 1021 cm-2) absorber in NGC 4151, which is dust-free because it is located at a distance of only $``$0.03 pc (Kraemer et al. 2000), which is well within the dust sublimation radius for this Seyfert. Studies of the reddening properties of other high-column UV absorbers would be helpful in determining if this is a common occurrence. Knowledge of the inclination angle of the accretion disk and/or torus with respect to our line of sight is also very important, and could be obtained, for example, from kinematic models of the NLR outflow (Crenshaw et al. 2000).

We acknowledge support from NASA grant NAG5-4103. We thank Michael French for assistance with the IUE data. This research has made use of the NASA/IPAC Extragalactic Database (NED) which is operated by the Jet Propulsion Laboratory, California Institute of Technology, under contract with the National Aeronautics and Space Administration. This research has also made use of NASA’s Astrophysics Data System Abstract Service.


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# Stochastic Multiplicative Processes for Financial Markets

## 1 Introduction

Multiplicative processes have been well studied in different contexts and widely applied to various research fields, such as the biological, social, and economic systems . One of the major interests in these processes is the generation of power laws , which have been observed in many natural domains and indicate the properties of scale invariance and universality. In fact, the investigations of power law behaviors in systems with stochastic multiplicative dynamics can be traced back to decades ago, and the underlying physical mechanisms are still to be understood.

For the applications in financial problems, the assumption of multiplicative property for the individual capital investments $`w_i`$ (the index $`i=1,\mathrm{},N`$ may correspond to various investors/traders or companies (stocks) in the market) leads to a term

$$w_i(t+1)\lambda (t)w_i(t)$$
(1)
appearing in the dynamics of wealth/capital evolution. That is, the individual capital $`w_i`$ at time $`t+1`$ is proportional to the invested capital itself. The random factor $`\lambda (t)`$ reflects the relative gain/loss incurred by individuals between time $`t`$ and $`t+1`$, and is chosen from a probability distribution $`\mathrm{\Pi }(\lambda )`$.

The Pareto power law distribution  of individual wealths $`w`$

$$P(w)w^{1\alpha _w},$$
(2)
has been found in many of the previous studies of multiplicative processes , which all follow the above dynamics (1) (plus some additional crucial dynamical elements that we will discuss later), and been verified repeatedly in the last hundred years in most of the capitalistic societies, e.g., for individual income and wealth , size of business firms , etc. In spite of the significant fluctuations in the total wealth (with occasional spectacular booms and crashes), the exponent $`\alpha _w`$ was observed typically in the range $`1<\alpha _w<2`$, i.e., within the stable Lévy regime .

Besides the above distribution property of individual wealth, we are more interested in studying the relative fluctuations of the total wealth $`W(t)=_{i=1}^Nw_i(t)`$, which may represent the capitalization (total market value) of a company, or the market price of a stock (when normalized to the total number of shares that stock has on the market), or the market index. The fluctuations of $`W(t)`$ over arbitrary periods of time $`\tau `$ define the market returns $`r(\tau )`$ during these time periods:

$$r(\tau )=\mathrm{ln}W(t+\tau )\mathrm{ln}W(t),$$
(3)
which have attracted much attention in recent financial studies, in particular for their statistical properties . There are some empirical features generic for different financial markets, including:

* The power-law decay of probability density of returns $`r`$

$$P(r)r^{1\alpha },$$
(4)
in tail region, but with exponent $`\alpha >2`$ different from that of wealth distribution (2), i.e., outside the Lévy regime . For larger $`r`$ values, $`P(r)`$ can be fitted by an exponential in some observations ;
* The very short range (about a few minutes) correlation of returns and long-range persistence for correlation of square or absolute value of returns (so-called volatility clustering) .

It is interesting to not only reproduce these stylized facts through microscopic models, but also understand the intrinsic mechanisms dominating the processes.

## 2 Generalized Lotka-Volterra system

The framework we use to describe the dynamics of financial systems is the Generalized Lotka-Volterra (GLV) model proposed by one of us a few years ago :

$$w_i(t+1)=\lambda (t)w_i(t)+a\overline{w}(t)+c(w_1,w_2,\mathrm{},w_N,t)w_i(t),$$
(5)
with the average wealth $`\overline{w}(t)=W(t)/N`$. The multiplicative property at the individual level, i.e., Eq. (1), is expressed in the first r.h.s. term, and the second term represents the property of wealth at the social level, which may correspond to the social security, subsidies, or funded services, and can also be interpreted as arising from the diffusion of wealth between agents (by services, taxes, etc.). This term is set to be proportional to the average wealth $`\overline{w}`$ with an important coupling parameter $`a`$, supplying the correlation and coupling between investors or companies that is crucial for the distribution properties of wealth and wealth fluctuation shown below. Generally, the last term $`cw_i`$ which corresponds to the competition in the market, does not qualitatively affect the properties of the model . For simplicity, we set it $`0`$ in the present study. Therefore, we have

$$w_i(t+1)=\lambda (t)w_i(t)+a\overline{w}(t).$$
(6)
Note that in this stochastic multiplicative system an asynchronous updating mechanism  is used, due to the fact that in a real market the capitals of different agents or companies are not updated simultaneously. Thus, at each discrete time $`t`$, one of the elements $`i`$ is chosen randomly and updated according to Eq. (6), while the other $`w_i`$’s keep unchanged. Moreover, the random factor $`\lambda `$ is taken in a rather narrow range around $`1`$, since in practice the price returns for very small time intervals are usually rather small.

## 3 Power law behaviors and cut-off effect

The system described by Eq. (6) does not approach a steady state; instead the total wealth grows (or decays) exponentially with superimposed fluctuations, i.e., $`W(t)\mathrm{exp}(\kappa t/N)`$ with $`\kappa `$ depending on $`a`$ as well as the mean and standard deviation of $`\lambda `$ distribution. Nevertheless, the instantaneous values of wealth (or the relative value $`w_i(t)/W(t)`$) fulfill the Pareto power-law distribution (2), with exponent $`\alpha _w<2`$ , that is, inside the stable Lévy regime.

More interesting results for this multiplicative system are obtained by studying the wealth fluctuations (i.e., returns) $`r(\tau )`$ defined by Eq. (3). (Note that due to the growth effect of total wealth $`W`$ ($`\mathrm{exp}(\kappa t/N)`$) in this model, the return in (3) should be detrended, that is, change by a constant: $`r(\tau )r(\tau )\kappa \tau /N`$.) For a certain time interval $`\tau `$, the return $`r(\tau )`$ can be written as $`_{s=t}^{t+\tau 1}\mathrm{ln}[(W(s+1)W(s))/W(s)+1]`$$`=_s\mathrm{ln}[(\lambda (s)1)w_i(s)/W(s)+a/N+1]`$ according to Eq. (6) . Since the relative value of wealth $`w_i/W`$ at each step is small and generally $`\lambda 1`$ is in a narrow range around $`0`$, one obtains that the properties of the (detrended) return $`r(\tau ,t)`$ are the resultant of $`\tau `$ steps walk

$$R(\tau )=\underset{s=t}{\overset{t+\tau 1}{}}(\lambda (s)1)w_i(s)/W(s),$$
(7)
with step sizes governed by power law distribution (2) with cut-off effect.

For $`\tau =1`$ the distribution of returns differs from that of the relative wealth $`w_i(t)/W(t)`$ only by a random factor $`\lambda (t)1`$, and then displays a similar power law behavior (4) with exponent $`\alpha \alpha _w`$ and a sharp peak around $`0`$. As $`\tau `$ increases, the consequence of $`\tau `$ step walks described by Eq. (7) is the smoothening of this tip.

Note that for any finite $`N`$ the distribution of $`w_i(t)/W(t)`$ is not a perfect power law even if one assumes that of $`w_i`$ to be so, since this distribution is truncated from above: $`w_i/W<1`$, shown as a bending in a log-log plot for very large values of $`w_i`$ . We have proven  that this upper cut-off effect leads to an exponential decay for extremely large values of returns and for very wide range of interval $`\tau `$.

Thus, the process described by Eq. (7) looks like a truncated Lévy walk leading to similar power laws for different $`\tau `$ and slow convergence to Gaussian . However, our studies below indicate a more complicated situation, that is, this process is different from the ordinary Lévy walk due to the coupling between step sizes.

The numerical results of Eq. (6) for the distribution of returns $`r(\tau )`$ (3) are shown in Figs. 1 and 2, where the random gain/loss factor $`\lambda `$ has an uniform distribution in the range $`0.95<\lambda <1.05`$ and the coupling parameter $`a=0.0002`$, with the corresponding power-law exponent of wealth distribution $`\alpha _w`$ about $`1.5`$ as in usual financial application. (In all the numerical simulations of this paper the results are calculated after $`t=10^5N`$ updatings, so that the returns series are stationary after detrending the wealth growth factor.) As expected according to the above analysis, the semi-log plots of distribution in Fig. 1 (a) exhibit the smearing out of the sharp peak for small time intervals into a dome-like shape for large one, and one obtains the exponential-type behavior for extremely large $`r`$ due to the cut-off effect of finite $`N`$ system, even for very large interval $`\tau `$, which has been observed in some empirical studies .

The power-law scaling region described by Eq. (4) can be found in the log-log plots of the distribution (see Figs. 1 (b) and 2), and interestingly, exponents much larger than that of the wealth distribution (2) are obtained. For small interval $`\tau `$, the exponent $`\alpha `$ is within the stable Lévy regime, i.e., $`\alpha _w<\alpha <2`$, while for large intervals ($`\tau >N`$) we obtain the result consistent with the recent empirical observations for both the stock index (German DAX  and S&P 500 ) and individual stocks , that is, the effective exponent $`\alpha >2`$ outside the Lévy regime. Similar to the findings of real markets , the exponent increases very slightly with the increase of the time interval, due to the very slow convergence to Gaussian, as shown in Figs. 1 and 2.

The extension of this power-law region with exponent $`\alpha >2`$ depends on the size $`N`$ of the multiplicative system. By comparing the results in Fig. 1 for $`N=500`$ with that in Fig. 2 for $`N=5000`$, one can find that the range of the power-law scaling is longer for larger systems. This phenomenon is attributed to the exponential truncation effect discussed above for finite $`N`$, which appears more obvious for smaller system. As observed in the log-log plots, the deviation and bend-down from a straight line occurs for large $`r`$, which has been found very recently in the Hang Seng Index (HSI) of Hong Kong  if one skips the data of first 20 minutes in daily opening. The similar effect of finite size $`N`$ has been found in some microscopic models, in particular the Cont-Bouchaud percolation-type model , where the $`\alpha >2`$ power-law exponent is obtained over an intermediate region which becomes infinitely long for infinite large market size and computer time, while the asymptotic return distribution is expected to be a (stretched) exponential decay in the tails.

However, different from the percolation model, the exponent $`\alpha `$ for large interval $`\tau `$ decreases with increasing size $`N`$ in our system. As shown in Figs. 1 (a) and 2, $`\alpha 2.7`$ for $`N=500`$, and $`\alpha 2.3`$ for $`N=5000`$. Moreover, for $`N=10^5`$ (not shown here) $`\alpha 2`$, which is the border of the stable Lévy regime. Therefore, the property of returns distribution is size-dependent, and one can obtain that the effective $`N`$ for real market is not very large according to the high empirical $`\alpha `$ value.

Although the value of the exponent $`\alpha _w`$ for wealth distribution depends on the parameters of the system, the behaviors of the $`\alpha >2`$ power-law scaling for return distribution can exist for different parameters (e.g., coupling parameter $`a`$ and random factor $`\lambda `$) corresponding to $`1<\alpha _w<2`$. When increasing the value of $`a`$, one still obtains the $`\alpha >2`$ power-law behaviors with larger $`\alpha `$ value and longer extension for the same $`N`$. In Fig. 1 $`N=500`$ and $`a=0.0002`$ (with the corresponding $`\alpha _w`$ about $`1.5`$), we have $`\alpha 2.7`$ but with a rather limit range of power law regime, while for larger $`a=0.0003`$ as well as the same $`N`$ and range of $`\lambda `$ (with $`\alpha _w`$ about $`1.7`$) $`\alpha =3.1`$ is obtained, and more importantly, the power law regime is much longer (close to $`3`$ orders of magnitude), as shown in Fig. 3.

## 4 Properties of correlations: Correlated walk steps and volatility

These results of $`\alpha >2`$ are nontrivial, and different from the expectation that the wealth $`w_i`$ and the fluctuation $`r`$ should have tails obeying the similar power law, since a random walk similar to Eq. (7) with steps of sizes dominated by Lévy-like distribution with finite variance still leads to a behavior within the stable Lévy regime before the crossover to a Gaussian process . However, this expectation is only valid for the random walk with statistically independent step sizes, while for the multiplicative process (6), there are cross-correlations between the relative wealths $`w_i(s)/W(s)`$ comprising the returns in Eq. (7) at each micro-step $`s`$. This can be verified by studying the properties of time series $`w_i(t)/W(t)`$, where $`w_i`$ refers to the newly updated wealth at each time $`t`$. As expected, the probability distribution of the walk process of Eq. (7) is almost indistinguishable from that of return $`r(\tau )`$ shown in Figs. 1, 2, and 3. However, if randomizing the time series of $`w_i(t)/W(t)`$, which corresponds to eliminate all the possible correlations but keep the distribution form of step sizes, and then calculating the distribution of $`R(\tau )`$ due to Eq. (7), one obtains the completely different results, that is, the convergence to Gaussian is faster and only the power law regions with Lévy-like exponent $`\alpha <2`$ can be found, similar to the process of ordinary truncated Lévy flight .

To directly calculate the cross-correlations between the relative updated wealths $`w_i(t)/W(t)`$, we use the autocorrelation function of

$$Corr(T)=\frac{x(t)x(t+T)x(t)x(t+T)}{x^2(t)x(t)^2},$$
(8)
for some variable $`x(t)`$. Although there is no correlation of relative wealths ($`x=w_i/W`$ in (8)), the nonzero and positive correlation of the square $`(w_i/W)^2`$ is found with long persistence, as shown in Fig. 4, verifying the existence of the coupling between step sizes of the walk (7) for this multiplicative system. These correlations are attributed to the social term $`a\overline{w}`$ introduced in our system (6), supplying the coupling between different wealths. A larger value of $`a`$ leads to an enhancement of cross-correlations, and then of $`\alpha >2`$ behavior, including the value of $`\alpha `$ and the extension of power-law region (see Fig. 3). Even when keeping the value of $`\alpha _w`$ for wealth, the correlation of $`(w_i/W)^2`$ increases with larger $`a`$. In the inset of Fig. 4, different values of coupling parameter $`a`$ and different range of $`\lambda `$ are chosen so that the corresponding $`\alpha _w`$ keeps the same value $`1.5`$, and from bottom to top the correlations increase with the increasing values of $`a`$.

As the consequence of cross-correlations between $`w_i/W`$, the volatility correlations for $`R(\tau )`$ (which is the weight-sum of $`w_i/W`$ shown in Eq. (7) and equivalent to return $`r(\tau )`$), defined as the autocorrelation of square of returns, i.e., $`x=R^2(\tau )`$ in Eq. (8), exhibit the long-range persistence, as shown in Fig. 4 for $`\tau =1`$ (lower curve). Fig. 5 gives the results of volatility correlations for $`\tau =N=500`$, which exhibits the slow decaying and seems to be exponential-type (inset of Fig. 5) rather than the power law decay found in real market data . For correlation of return $`R`$ the value is around 0, consistent with empirical observations . This property of volatility clustering can be also reproduced in some microscopic models, but there an extra dynamics like diffusion of traders or feedback between price change and trading activity is needed , while in this asynchronous system it is obtained intrinsically.

## 5 Discussions and conclusions

It is interesting to relate the scales $`\tau `$ and $`N`$ here with that of the real markets. The more natural time unit of measurement is $`\tau =N`$, which corresponds to average updating interval of stocks or agents. To describe the properties of market index, the relevant degrees of freedom $`N`$ could be interpreted as the major companies capitalization in the market, while for individual stocks $`N`$ may correspond to the important agents dominating the stock price. Thus, the somewhat different behavior (value of $`\alpha `$, exponential cut-off, etc.) found in different markets and stocks may be attributed to different effective $`N`$. Moreover, according to our results in Sec. 3 the effective $`N`$ is not very large (that is, the finite size effect is significant) in real market, indicating a phenomenon that is also found in some microscopic models : It is a limited number of important players, not millions of small traders, who determine the market.

In summary, we have shown that the stochastic multiplicative model (6) reproduces two different power law behaviors found in reality for the wealth distribution (2) and the return distribution (4), as well as the volatility clustering. The dynamics of returns is described by a walk with steps of sizes obeying a truncated Lévy-like distribution, and in particular, having cross correlations. These cross-correlations between relative updated wealths $`w_i(t)/W(t)`$ are expected to be the origin of the $`\alpha >2`$ behavior in the tail distribution and the long-range volatility correlations of returns, and can be attributed to the coupling term in multiplicative system (6).

## Acknowledgements

We thank Dietrich Stauffer, Ofer Biham, and Ofer Malcai for very helpful discussions and comments.


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# The QCD String Spectrum and Conformal Field Theory

## 1 INTRODUCTION

We believe that a deeper understanding of the string theory connection with large Wilson surfaces will require a precise knowledge of the surface excitation spectrum and the determination of the universality class of Wilson surface criticality in the continuum limit of lattice QCD. This approach will also require a consistent description of the conformal properties of the gapless Wilson surface excitation spectrum. In this short progress report we summarize our ab initio on-lattice calculations (a more extended status report was published recently). In collaboration with Mike Peardon, we have also studied the spectrum of a “closed” flux loop across periodic slab geometry (Polyakov line) by choosing appropriate boundary conditions and operators for selected excitations without static sources.

## 2 QCD STRING FORMATION

The first attempt at a comprehensive determination of the rich energy spectrum of the gluon excitations

between static sources in the fundamental representation of $`\mathrm{SU}(3)_\mathrm{c}`$ in D=4 dimensions was reported earlier for quark-antiquark separations r ranging from 0.1 fm to 4 fm. The extrapolation of the full spectrum to the continuum limit is summarized in Fig. 1 with very different characteristic behavior on three separate physical scales. Nontrivial short distance physics dominates for $`r0.3\mathrm{fermi}`$. The transition region towards string formation is identified on the scale $`0.5\mathrm{fm}2.0\mathrm{fm}`$. String formation and the onset of string-like ordering of the excitation energies occurs in the range between 2 fm and 4 fm where we reach the current limit of our technology.

To display the fine structure with some clarity, error bars are not shown in Fig. 1. Our earlier results are compatible with extended new runs on our dedicated UP2000 Alpha cluster which was built to increase the statistics more than an order of magnitude. The notation and the origin of the quantum numbers used in the classification of the energy levels are explained in earlier publications. The physical scale is set by the Sommer $`\mathrm{r}_0`$ which, to a good approximation, is $`\mathrm{r}_0=0.5\mathrm{fm}`$.

We also established that the main features of string formation with three separate scales is remarkably universal, independent of the gauge groups SU(2) and SU(3), and space-time dimensions D=3 and D=4: Although the level ordering is approximately string-like in all cases at large separation, there is a surprising and rather universal fine structure in the spectrum with large displacements from the expected massless Goldstone levels.

## 3 CONFORMAL THEORY

We believe that the fine structure of the Wilson surface spectrum can be understood within the framework of two-dimensional conformal field theory. This is illustrated first with the D=3 Z(2) gauge model. The Abelian subgroup Z(2) of SU(2) is expected to play an important role in the microscopic mechanisms of quark confinement suggesting that Wilson surface physics of the D=3 Z(2) gauge spin model should have qualitative and quantitative similarities with the theoretically more difficult $`\mathrm{QCD}_3`$ case. In the critical region of the Z(2) model we have a rather reasonable description of continuum string formation based on the excitation spectrum of a semiclassical defect line (soliton) of the equivalent $`\mathrm{\Phi }^4`$ field theory. The surface physics of the Z(2) gauge model is closely related to the BCSOS model by universality argument and a duality transformation: their surface spectra should show universality.

### 3.1 BCSOS Surface Spectrum

The body-centered solid-on-solid (BCSOS) model is obtained from the SOS condition (accurate to a few percent around the roughening transition) on the fluctuating interface in the body-centered cubic Ising model. This model can be mapped into the six-vertex formulation for which the Bethe Ansatz equations are known. It follows from the Bethe Ansatz solution that the surface has a roughening phase transition at $`\mathrm{T}_\mathrm{R}=\mathrm{J}/(\mathrm{k}_\mathrm{B}2\mathrm{l}\mathrm{n}2)`$ which is of the Kosterlitz-Thouless type. For $`\mathrm{T}<\mathrm{T}_\mathrm{R}`$ the interface is smooth with a finite mass gap in its excitation spectrum. For $`\mathrm{T}\mathrm{T}_\mathrm{R}`$ the mass gap vanishes and the surface exhibits a massless excitation spectrum.

We determined the low energy part of the full surface spectrum from direct diagonalization of the transfer matrix of the BCSOS model and from the numerical solution of the Bethe Ansatz equations. A periodic boundary condition was used, which corresponds to the spectrum of a periodic Polyakov line in the Z(2) gauge model. With a flux of period L we used exact diagonalization for $`\mathrm{L}18`$, and the Bethe Ansatz equations up to L=1024. The following picture emerges from the calculation for large L values in the massless Kosterlitz-Thouless (KT) phase. The ground state energy of the flux is given by

$$\mathrm{E}_0(\mathrm{L})=\sigma _{\mathrm{}}\mathrm{L}\frac{\pi }{6\mathrm{L}}\mathrm{c}+\mathrm{o}(1/\mathrm{L}),$$
(1)
where $`\sigma _{\mathrm{}}`$ is the string tension, c designates the conformal charge, which is found to be c=1 to very high accuracy. The o(1/L) term designates the corrections to the leading 1/L behavior; they decay faster than 1/L. At the critical point of the roughening transition, the corrections can decay very slowly, like $`1/(\mathrm{lnL}^3\mathrm{L})`$ for the ground state energy. Away from the critical point, the corrections decay faster than 1/L in power-like fashion. These finite size (or equivalently, finite cut-off) effects in the fine structure of the spectrum are dominated by the Sine-Gordon operator in conformal perturbation theory.

For each operator $`\mathrm{O}_\alpha `$ which creates states from the vacuum (surface ground state) with quantum numbers $`\alpha `$, there is a tower excitation spectrum,

$$\mathrm{E}_{\mathrm{j},\mathrm{j}^{}}^\alpha (\mathrm{L})=\mathrm{E}_0(\mathrm{L})+\frac{2\pi }{\mathrm{L}}(\mathrm{x}_\alpha +\mathrm{j}+\mathrm{j}^{})+\mathrm{o}(1/\mathrm{L}),$$
(2)
where the nonnegative integers j,j’ label the conformal tower and $`\mathrm{x}_\alpha `$ is the anomalous dimension of the operator $`\mathrm{O}_\alpha `$. The momentum of each excitation is given by

$$\mathrm{P}_{\mathrm{j},\mathrm{j}^{}}^\alpha (\mathrm{L})=\frac{2\pi }{\mathrm{L}}(\mathrm{s}_\alpha +\mathrm{j}\mathrm{j}^{}),$$
(3)
where $`\mathrm{s}_\alpha `$ is the spin of the operator $`\mathrm{O}_\alpha `$. We find excitations of conformal towers built on the integer scaling exponents x=1,2 which are independent of the coupling and correspond to naively expected string excitations. However, we also find scaling dimensions $`\mathrm{x}_\alpha `$ which continuously vary with the coupling J in the rough phase. This sequence can be labelled by anomalous dimensions

$$\mathrm{x}_{\mathrm{n},\mathrm{m}}^\mathrm{G}=\frac{\mathrm{n}^2}{4\pi \mathrm{K}}+\pi \mathrm{Km}^2,$$
(4)
where n,m are non-negative integers and the constant K depends in a known way on the BCSOS coupling constant J. The physical interpretation of the rather peculiar excitations of the rough gapless surface will be discussed elsewhere. The surface spectrum is described by a compactified conformal Gaussian field. The nontrivial part of the spectrum corresponds to field configuration with line defects which describe the screw dislocation pairs of the fluctuating rough surface.

## 4 D=3 QCD STRING THEORY

If the $`Q\overline{Q}`$ color sources are located along one of the principal axes on the lattice in some spatial direction, the Wilson surface at strong coupling is smooth in technical terms. This implies the existence of a mass gap in its excitation spectrum, as seen for example in the strong coupling tests of our simulation technology. As the coupling weakens, a roughening transition is expected in the surface at some finite gauge coupling $`\mathrm{g}=\mathrm{g}_\mathrm{R}`$ where the gap in the excitation spectrum vanishes with the characteristics of the Kosterlitz-Thouless phase transition. The correlation length in the surface diverges at $`\mathrm{g}_\mathrm{R}`$ and it is expected to remain infinite for any value of the gauge coupling when $`\mathrm{g}\mathrm{g}_\mathrm{R}`$. At the roughening transition, the bulk behavior differs from that of the continuum theory which is located in the vicinity of $`\mathrm{g}=0`$. The low energy excitation spectrum of the Wilson surface for $`\mathrm{g}\mathrm{g}_\mathrm{R}`$ and not far from $`\mathrm{g}_\mathrm{R}`$, in the domain of the critical KT phase, should be essentially identical to Eqs. (1-3) of our BCSOS spectrum.

Now, is the critical Kosterlitz-Thouless picture around $`\mathrm{g}\mathrm{g}_\mathrm{R}`$ identical to what we expect for the Wilson surface in the low energy limit of continuum $`\mathrm{QCD}_3`$ string theory at $`\mathrm{g}=0`$? We guess that according to the most likely scenario the Wilson surface remains massless throughout the $`0\mathrm{g}\mathrm{g}_\mathrm{R}`$ region but its critical behavior will cross over from the Kosterlitz-Thouless class of the conformal Gaussian behavior into the universality class of continuum QCD string theory whose precise description remains the subject of our future investigations. The low energy effective string Lagrangian will contain higher dimensional operators which will signal the deviation from the Gaussian universality class. These operators introduce a physical fine structure into the low energy spectrum. It will remain a challenge to disentangle this physical fine structure from finite cut-off effects in the surface which manifested themselves as finite size corrections in the conformal spectrum at the roughening transition.


text:
# Study of spatial meson correlators at finite temperature in quenched anisotropic lattice QCDPoster presented by K. Nomura.

## 1 Introduction

The extraction of the spectral functions from the correlators measured in lattice QCD simulation is of great importance to understand the QCD phase transition at finite temperature, both in theoretical and phenomenological points of view. Our goal is to investigate the both of spatial and temporal structure of hadron correlators near the deconfining transition . Particularly for the latter, one needs to develop techniques to extract detailed and reliable information from the correlators. On the other hand, the correlators in the spatial direction are rather easy to measure precisely, and therefore are expected to serve as a good test ground for the method. In this report, we focus on the spatial meson correlators at finite temperature, and develop procedures to analyze them. These analyses will give us insights also for the static screening structure of QCD at $`T>0`$, which still remains not well understood .

We introduce a spectral function for the correlator propagating in the spatial direction in analogous to the ordinary spectral function obtained from the correlator propagating in the temporal direction. In order to reconstruct this spectral function from the lattice data, we apply two kinds of analysis procedures: (a). Fit with ansatz on the shape of spectral function. At present stage, we assume that the spectral function is represented by a sum of several strong peaks, i.e. delta functions, and fit the data to this form to obtain the screening masses corresponding to the peaks. We adopt single, two, and three pole(s) fittings. (b). Reconstruction of spectral function from the correlator by the maximum entropy method (MEM) . Comparing the results of these two methods, we discuss their efficiency and reliability.

For these analysis, it is better to have as many points of correlators as possible. We use the anisotropic lattice which has small lattice spacing in $`z`$-direction to measure the spatial hadron correlators in high resolution. Although one needs additional effort for the calibration of anisotropy parameters, once it has been done, the systematic uncertainties due to the anisotropy can be controlled within reasonable accuracy . In the following, we show only the results for the pseudoscalar meson correlators, while the procedures are applicable for other channel in the same manner.

## 2 Numerical Simulations and Results

Our numerical simulations are carried out on quenched lattices of sizes $`12^2\times 96\times N_t`$ where $`N_t=`$12, 5, 3 and 2 which roughly correspond to the temperatures $`0`$, $`0.8T_c`$, $`1.3T_c`$ and $`2T_c`$, respectively. The gauge configurations are generated with the Wilson plaquette action at $`\beta =5.75`$ with the anisotropy $`\xi =a/a_z=4`$, where $`a_z`$ and $`a`$ are the lattice spacings in z-direction and other three directions . With these parameters, the lattice cutoff set by the string tension is $`a_z^14`$ GeV. Configuration numbers are 400 at $`T0`$ and 510 at other $`T`$’s. The quark action is the $`O(a)`$ improved Wilson action , at three values of hopping parameter, $`\kappa =`$0.124, 0.122 and 0.120, which cover the range of quark mass $`m_q=(0.51.5)m_s`$. The bare quark anisotropy is set as $`\gamma _F=`$, which is determined using the meson dispersion relation from the lattice Klein-Gordon type action.

In the following, we show the results for the pseudoscalar meson channel at $`\kappa =0.120`$ ($`m_q1.5m_s`$). The fit is performed with the fitting region $`[L_{min},L_{max}]`$, where $`L_{max}`$ is fixed to $`48`$ and $`L_{min}`$ is varied. The screening masses as the results of single, double and triple pole fits are displayed in the figures for each value of $`L_{min}`$. Existence of a region where the masses are stable indicates that the assumed form of fit is a good representation of the spectral function. On the other hand, absence of such a region signals that the spectral function is not approximated by such a form. In both cases, we can extract the spectral function reconstructed by MEM as an alternative procedure. In MEM analysis we use the default model function $`m_0(\omega )=16\omega ^2`$, frequency region $`0\omega 2.0`$ and the fitting region of correlators $`1t40`$.

Let us start with the zero temperature. The upper panel of Figure 1 shows the results fitting analysis. For each fit (i.e. number of poles), there is a region where the masses do not change within errors. For the ground and first excited states, three fits give consistent masses. This shows that the assumed form of spectral function (the sum of poles) well represent the correlator, in accord with the physical expectation. The spectral function reconstructed by MEM also exhibits consistent position of peaks, as shown in the lower panel of Fig. 1. Since the masses from the fits shows clear plateaus, and observing the errors associated to the regions of spectral function, the observed widths of peaks may not be practical ones but artifacts through the statistical and systematic errors MEM.

Now we apply the same procedures to the correlators at finite temperature. The result of fit method at $`0.8T_c`$ is almost the same as at $`T=0`$. Therefore there seems no significant change in the spectral functions at $`T=0.8T_c`$ from that at $`T=0`$. On the other hand, as shown in Figure 2, the result of MEM shows a deference: there is two peaks at the position of the first excited state obtained by the fits. This is unphysical structure can be understood by the failure of MEM in reconstructing the spectral function, probably due to lack of statistics. In order to detect the structure of spectral function in high frequency region from MEM, one would probably need larger statistics that the present one which of $`O(500)`$.

Figure 3 shows the results at $`1.3T_c`$. We again find the regions of constant masses for each fit and a consistency in the masses of the ground and first excited states. Result of spectral function also have peaks at consistent positions. Thus we find that the sum of poles are a good approximation of the spectral function. The ground state mass is slightly less than the twice lowest Matsubara frequency. For the quantitative analysis, however, present lattice is so coarse that the number of temporal degrees of freedom is just three. We also observe similar result at $`T=2T_c`$.

We conclude that these two procedures are promising as useful ways to extract the structure of the spectral function, although one need careful treatment particularly for MEM. Fits assuming various forms for the spectral function serve complementary way of analysis, and supply the reliability for the result of MEM. Such a study is particularly important for the analysis of temporal correlators, since the degrees of freedom is restricted even with anisotropic lattices and the data are inevitably in the high frequency region. In this case, since the spectral function have physical width, one also need to try other fitting forms, such as the peaks with widths. To obtain more quantitative result on the screening mass and the spectral function for the spatial correlators, we should use smaller lattice spacing as well as higher statistics.


text:
# Decay of spin-peierls state in CuGeO3:Fe. The case of a strong disorder

## .1 Introduction

Discovery of inorganic spin-Peierls compound CuGeO3 opened an opportunity to study influence of doping and disorder on the spin-Peierls state. Numerous experiments and theoretical studies have been carried out in this field up to now. However, from the theoretical point of view, most of the available data correspond to the limit of weak disorder when density of states have a pseudogap, i.e. a spin-Peierls gap filled by disorder-induced states p1 . In this case the expected temperature-concentration $`Tx`$ phase diagram consists of uniform state, spin-Peierls state, antiferromagnetic state and the region, where antiferromagnetic and spin-Peierls orders coexist p1 . This structure of $`Tx`$ phase diagram was observed experimentally for Zn, Si, Ni, Co, Mg and Mn impurities p1 ; p2 ; p3 ; p4 ; p5 ; p6 ; p7 ; p8 ; p9 ; p10 .

In the limit of a strong disorder the ground state of CuGeO3 is gapless and the density of states diverges at $`ϵ=`$0: $`\rho `$ ($`ϵ`$) $``$$`|`$$`ϵ`$$`|`$ p1 . As a consequence the temperature dependences of magnetic susceptibility $`\chi `$ and magnetic contribution $`c_m`$ to specific heat $`c_p`$ acquire the forms p11

$$\chi T^\alpha $$
(1)
$$c_mT^{1\alpha }$$
(2)
where $`\alpha <1`$. A non-Curie type behavior of $`\chi (T)`$ have been first reported for CuGeO3 doped with Zn p4 . However, experiments in Ref.4 were carried out for extremely low Zn concentrations corresponding to the *weak* disorder limit, and the observed deviations from the Curie law can not be related to the case of strong disorder.

Recently Demishev et al. p12  suggested that CuGeO3 doped with Fe provides a ”true” experimental realisation of a strongly disordered regime p12 . It was found that substitution of Cu by 1% of Fe in CuGeO3 matrix induces strong disorder in magnetic subsystem and leads to the complete damping of the spin-Peierls transition. As long as the low temperature asymptotic of the integrated intensity of the electron spin resonance (ESR) line $`I(T)`$ corresponded to Eq. (1), it was concluded that doping with iron gives rise to onset of a ”quantum critical point” p12  or, in the other words, a strongly disordered limit p1 ; p11 .

Nevertheless, the data presented in Ref.12 can not be considered as a complete evidence of the aforementioned conclusion. Firstly, the ESR frequency 60 GHz used in p12  was high enough to cause possible violation of the widely applied approximation $`I(T)`$$``$$`\chi (T)`$p13 . Indeed, in general case the integrated intensity for arbitrary electromagnetic wave frequency $`\omega `$ and resonant magnetic field $`B_{res}`$ is given by p14

$$I(T)\omega \frac{M(T,B_{res})}{B_{res}}$$
(3)
and the observed in p12  deviations from Curie law may reflect non-linearity of magnetic moment $`M(T,B_{res})`$ in strong magnetic field (note that for $`\omega /2\pi =`$60 GHz the resonant field in CuGeO3:Fe is about $`B_{res}`$ 2 T p12 ).

Secondly, the iron concentration of 1% is relatively low and according to most findings should correspond to the weak disorder region p1 ; p2 ; p3 ; p4 ; p5 ; p6 ; p7 ; p8 ; p9 ; p10 . At the same time the absence of antiferromagnetic resonance (AFMR) modes in p12  was confirmed only up to $`\omega /2\pi =`$120 GHz. Therefore the possibility of coexistence of ESR and AFMR, i.e. of spin-Peierls and antiferromagnetic orders, in high frequency range $`\omega /2\pi >`$120 GHz for CuGeO3:Fe is not excluded. The described coexistence is a fingerprint of considerable but still weak disorder p1 , so experiments at higher frequencies are highly desirable.

Thirdly, in the limit of a strong disorder Eqs. (1) and (2) should be valid simultaneously. This have not been checked in p12 , moreover as far as we know the information about specific heat of the doped CuGeO3 in this region is missing.

The aim of the present work is to solve experimentally these three problems formulated above and verify interpretation proposed in p12 . For that reason we studied single crystals of Cu0.99Fe0.01GeO3 obtained by self-flux technique p15  and identical to the crystals studied in p12 . The quality of crystals have been controlled by X-ray and Raman scattering data; the actual contents of Fe in crystals was determined by chemical analysis. The structure of the samples studied coincided with the structure of pure CuGeO3 and the effect of doping on the Raman spectra confirmed that iron impurity substitute cooper p12 .

Experimental facilities of three different kinds were used to study magnetic and thermodynamic properties of CuGeO3:Fe. Magnetoabsorption lines for the frequencies up to 450 GHz were studied with the help of the magneto-optical facility at Kobe University. In this experiment we measured transmission through the sample as a function of magnetic field $`B`$ up to 16 T at fixed frequency for liquid helium temperatures 4.2 K and 1.8 K. Simultaneously a reference transmittance of the thin layer of DPPH powder has been recorded and both magnetoabsorption spectra of CuGeO3:Fe and DPPH were analyzed quantitatively.

Temperature dependence of the ESR spectrum in the range 1.8-140 K was measured using 60 GHz cavity spectrometer in General Physics Institute p12 . For each temperature studied the accuracy of the temperature stabilization was better than 0.01 K. All magnetoabsorption experiments reported below were carried out in B$``$a geometry.

Specific heat of CuGeO3:Fe for the temperature interval 6-20 K was studied in Moscow State University with the help of the low temperature small sample relaxation calorimeter.

## .2 ESR studies of CuGeO3:Fe

Typical magnetoabsorption spectra in transmission experiment are shown in Fig. 1. Up to $`\omega /2\pi =`$450 GHz neither additional ”impurity” lines, nor AFMR modes have been detected and the spectrum for CuGeO3:Fe consists of a single lorenzian ESR line. The corresponding $`g`$factor value is close to that for Cu2+ ions in the case B$``$a (see below). The resonant field for this line scales linearly with frequency, i.e. $`g`$-factor is frequency independent (see inset in Fig. 1).

Transmission data obtained at various frequencies were used to calculate ESR integrated intensities for CuGeO3:Fe and DPPH. It follows from Eq. (3) that for each frequency

$$\frac{I_1}{I_0}=\frac{M_1(T,B_{res}^1)}{M_0(T,B_{res}^0)}\frac{B_{res}^0}{B_{res}^1}$$
(4)
where indexes 0 and 1 denote characteristics of ESR lines for DPPH and CuGeO3:Fe respectively. Assuming that magnetic moment of DPPH is given by Brillouin function $`M_0(T,B)B_J(\mu _BB/k_BT)`$ it is possible to calculate field or frequency dependence of magnetic moment $`M_1(T,B_{res})=f[B_{res}(\omega )]`$ for CuGeO3:Fe with the help of Eq. (4). The result is presented in Fig. 2; it is visible that linear region $`M_1B_{res}`$ lasts up to $`B_{res}`$6 T ($`\omega /2\pi =`$200 GHz). At higher resonant fields/frequencies magnetic moment of CuGeO3:Fe tends to saturate and above $`B_{res}`$11 T ($`\omega /2\pi =`$350 GHz) $`M_1(B_{res})`$ starts to decrease with field (Fig. 2).

Along with the integrated intensity the width $`\mathrm{\Delta }`$$`B`$ of the ESR line in CuGeO3:Fe was calculated. Contrary to the frequency independent $`g`$-factor this parameter demonstrates a considerable frequency dependence. It follows from Fig. 2 that $`\mathrm{\Delta }`$$`B`$ increases two times when frequency is varied from $`\omega /2\pi =`$60 GHz to $`\omega /2\pi =`$450 GHz. Experimental data $`\mathrm{\Delta }`$$`B(\omega )`$ at $`T=`$1.8 K can be modeled by expression

$$\mathrm{\Delta }B=A\omega ^2+C$$
(5)
which is characteristic to Raman relaxation mechanism for $`S`$=1/2 ion p16 . The line 1 in Fig.2 correspond to best fit parameters in Eq. (5) $`A=`$(3.2$`\pm `$0.4)$``$10-7T/GHz2 and $`C=`$(0.063$`\pm `$0.004) T. It is interesting, that attempts to model $`\mathrm{\Delta }`$ $`B(\omega )`$ by expression for the direct process $`\mathrm{\Delta }`$$`B`$$``$$`\omega ^5`$/tanh($`\mathrm{}\omega `$/2kBT) p16  have failed as long as the theoretical frequency dependence was too strong to fit the experimental data in Fig. 2. Therefore it is possible to conclude that at low temperatures the dispersion of the relaxation time in CuGeO3:Fe is controlled mainly by the Raman process.

The above results indicate that at $`\omega /2\pi =`$60 GHz the CuGeO3:Fe remains in the region of linear magnetic response and relation $`I(T)`$$``$$`\chi `$$`(T)`$$`M(T,B_{res})/B_{res}`$ is valid. In order to check assumptions of Ref. 12 we performed also temperature measurements of the ESR in the 60 GHz cavity spectrometer on the same crystal as was investigated in the quasi-optical transmission experiment. For the precise determination of the $`g`$-factor a DPPH crystal was placed in the cavity together with the CuGeO3:Fe sample.

At all temperatures studied a single absorption line of lorenzian shape was observed (Fig.3), that is in agreement with the results of the quasi-optical experiment. Data in Fig.3 were used to calculate temperature dependences of the $`g`$-factor $`g(T)`$, line width $`\mathrm{\Delta }`$$`B(T)`$ and integrated intensity $`I(T)`$ (see Fig.4).

For $`T>`$20 K the value of the $`g`$-factor is $`g`$2.15 and characteristic to Cu ions in CuGeO3 structure for geometry $`𝐁`$$``$$`𝐚`$ p17 . Below $`T=`$20 K $`g`$-factor starts to increase with lowering temperature and reach the value $`g=`$2.19 at $`T=`$1.8 K (Fig. 4). It is worth to note, that in the case of Fe-doped crystal no giant changes of the $`g`$-factor like in Ni-doped CuGeO3 p8  are observed.

The temperature dependence of the line width is non-monotonic: when temperature is lowered the $`\mathrm{\Delta }`$$`B(T)`$ first decreases, passes through a minimum at $`T`$10-20 K, and finally starts to increase again. It is interesting that in pure CuGeO3 the width of the ESR line decreases gradually with lowering temperature and the magnitude of $`\mathrm{\Delta }`$$`B(T)`$ at $`T=`$100 K is about 6 times smaller than in Fe-doped crystal p17 . The decrease of temperature makes a difference in $`\mathrm{\Delta }`$$`B(T)`$ more dramatic: at $`T=`$1.8 K the line width for the Fe-doped CuGeO3 is 200 times bigger than in pure crystal (see Fig. 4 and data from Ref.17).

The significant difference between pure and Fe-doped CuGeO3 is visible in the temperature dependence of the integrated intensity. It follows from Fig. 4 that in the Fe-doped crystal spin-Peierls transition is completely damped. For $`T>`$70 K integrated intensity obeys Curie law $`I(T)`$$`T^1`$ (Fig. 4, curve 1). In the temperature range 25-70 K $`I(T)`$ saturates, and at lower temperatures a power law asymptotic behavior $`I(T)`$$`T^\alpha `$ with the index $`\alpha =`$0.35$`\pm `$0.03 is observed (Fig. 4, curve 2). This result agrees well with the data obtained in Ref.12.

## .3 Specific heat in CuGeO3:Fe

The experimental limitation on the sample mass in specific heat measurements has not allowed to study individual crystals as in ESR experiments and a set of CuGeO3:Fe single crystals cleaved from the same ingot and having total mass about 40 mg have been used. The temperature dependence of specific heat $`c_p(T)`$ for Fe-doped and pure CuGeO3 is presented in Fig. 5 (curves 1 and 4 respectively). The sharp peak at spin-Peierls transition in CuGeO3:Fe sample have vanished, that is in agreement with the ESR evidence of complete damping of the spin-Peierls transition by iron impurity (Fig. 4).

From the fact that in Fe-doped crystal specific heat is considerably (about 50% for $`T>`$14 K) bigger than in pure CuGeO3 (Fig. 5) it is reasonable to suppose that the studied sample has an excessive magnetic contribution $`c_m(T)`$ in $`c_p(T)`$:

$$c_p(T)=c_D(T)+c_m(T)=\beta T^3+\gamma T^\delta $$
(6)
Here the first term represents lattice (Debye) part and the choice for the analytical representation of the magnetic term $`c_m`$(T)=$`\gamma `$$`T^\delta `$ is made in accordance with Eq. (2).

The Eq. (6) was applied to model experimental data for CuGeO3:Fe (Fig. 5). We find the value $`\beta =`$(0.36$`\pm `$0.02) mJ$``$mol/K, corresponding to Debye temperature $`\mathrm{\Theta }_D`$300 K. This result agrees well with the previous findings for pure CuGeO3 p18 , where $`\mathrm{\Theta }_D=`$310 K have been obtained. Consequently the main changes in specific heat caused by doping with iron occur in magnetic part $`c_m(T)`$ (see curve 2 in Fig. 5; the magnetic contribution is obtained by subtracting of the lattice part from $`c_p`$$`(T)`$). The best fit of $`c_m`$$`(T)`$ gives parameters values $`\delta =`$0.63$`\pm `$0.04 and $`\gamma =`$(0.44$`\pm `$0.04) mJ$``$mol/K1+δ. The power law for magnetic part of specific heat is illustrated by inset in Fig. 5.

## .4 Summary and discussion

Summarizing experimental results of the present work, we wish to mark that observed low temperature behavior of the ESR line reflects intrinsic properties of Cu2+ chains modified by Fe impurity rather than impurity paramagnetism caused by Fe ions. This conclusion can be deduced from the $`g`$-factor values characteristic to Cu2+ (Fig. 4) and the observation of the line width frequency dependence given by Eq. (5). Indeed, for the Fe2+ ion substituting Cu2+ ion in $`S=`$1/2 chain a spin state with $`S=`$2 may be expected p19 . For the integer impurity spin the term proportional to $`\omega ^2`$ in expression for the line width should vanish and $`\mathrm{\Delta }B(T)`$ will be frequency independent p16 . The expected ”impurity behavior” for Fe2+ contradicts to experimental data (Fig. 2) and the whole experimental picture of ESR in CuGeO3:Fe is consistent with the assumption that magnetic properties of this system are controlled by disordered Cu2+ chains. The presence of the disorder in magnetic subsystem follows from the strong broadening of the ESR line with respect to the pure crystal (Fig. 4 and Ref.17) and agrees with the results of the structural studies p12 .

As long as the integrated intensity measured at $`\omega /2\pi =`$60 GHz for CuGeO3:Fe is proportional to magnetic susceptibility, the latter quantity diverges at $`T<`$20 K: $`\chi (T)`$$`T^\alpha `$, where $`\alpha `$0.35. According to Eq. (2) the value of the index $`\delta `$ in Eq(6) should be $`\delta =1\alpha `$0.65, whereas experiment gives $`\delta =`$0.63 (Fig. 5). Both values of the indexes are coincide within the experimental error and therefore Eq. (1) and Eq. (2) are hold simultaneously. This result confirms that inserting of 1% of iron in CuGeO3 matrix really induces a strongly disordered limit of doping as it was proposed in p12 .

From the theoretical point of view the non-Curie asymptotic behavior of magnetic susceptibility and related power law for magnetic part of specific heat reflect the onset of the Griffiths phase (GP) which thermodynamic properties are controlled by relatively rare spin clusters correlated more strongly than average \[20-22\]. The GP appears in various spin systems below some critical temperature $`T_G`$ if the magnitude of random potential is strong enough to destroy transition to magnetically ordered phase \[20-22\] (in the case of CuGeO3:Fe we have shown that both spin-Peierls and antiferromagnetic transitions are completely damped by doping). According to the data in Fig. 4 the value of $`T_G`$ in CuGeO3:Fe can be estimated as $`T_G`$=20-40 K. The possible interaction effects inside spin clusters of GP may be also responsible for a weak temperature dependence of the $`g`$-factor observed at $`T<T_G`$ (Fig. 4) and unusual field dependence of magnetic moment (Fig. 2). However this problem requires further theoretical investigation.

It is interesting, that 1% of iron is sufficient to shift doped CuGeO3 into the region of the strong disorder, whereas another impurities studied p1 ; p2 ; p3 ; p4 ; p5 ; p6 ; p7 ; p8 ; p9 ; p10  have corresponded to a weak disorder limit p1 . This question deserves a detail discussion of the universal properties of $`Tx`$ phase diagram of CuGeO3 and is reserved for future publications.

###### Acknowledgements.

Authors are grateful to A.N.Vasil’ev for valuable discussions and V.V.Glushkov for assistance. This work was supported by programmes ”Physics of Microwaves” and ”Fundamental Spectroscopy” of Russian Ministry of Industry, Science and Technology. SVD acknowledge financial support from Venture Business Laboratory in Kobe University.