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# Crystalline ground state in chiral Gross-Neveu and Cooper pair models at finite densities

## I Introduction

Illuminating the vacuum structure of QCD at high baryonic densities, which should be useful to understand physics of compact stars and heavy ion collisions, remains challenge for particle and nuclear theorists. One of the most interesting in the related subjects is the color superconductivity of quarks . Quark Cooper pairs condense due to the BCS instability of Fermi surface at high densities and low temperatures, while chiral condensates is dynamically generated by particle-antiparticle pairing at low temperatures and densities. Since quarks have a color component of the $`SU(3)`$ gauge group, the ground state of QCD is a superconductor with spontaneous breaking of color symmetry as a result of diquark condensates.

In this paper, we address the question of spatial variations of fermionic condensates, the problem first investigated by Deryagin, Grigoriev and Rubakov (DGR) in QCD with infinite number of colors $`N_c`$ . Working in the perturbative regime $`g^2N_c1`$ ($`g`$ is the gauge coupling) and by using the variational method, DGR discovered a previously unsuspected (in the context of QCD) instability of the Fermi surface. Namely, they found that an instability exists in the large $`N_c`$ QCD at finite densities which triggers condensate of particle-hole pairs (Overhauser effect) having almost the same momentum $`𝒑`$ with modulus $`|𝒑|=\mu `$, where $`\mu `$ is the chemical potential. They showed that the ground state of the theory is spatially nonuniform, and has a periodically varying chiral condensate with wave number $`2\mu `$.

Following DGR, analyses which utilize either renormalization group analysis  or Wilsonian effective action formalism  as well as the Nambu-Gorkov formalism  were attempted to examine which effect, the Overhauser or the BCS effects wins at large, at finite $`N_c`$. It was shown in these analyses that the BCS effect overtakes the Overhauser effect in weak coupling regime, while Overhauser wins against BCS in strong coupling regime. More recently, the possibility of crystalline ground state was investigated in the context of color superconductivity . The underlying mechanism which leads to the crystalline structure is a mismatch in the fermi surface of up and down quarks, and is apparently quite different from one for the periodic chiral condensate discussed by DGR.

To have better understanding of the relationship between these related but different phenomena, it is desirable to have a theoretical laboratory to investigate the underlying mechanism of these different phenomena. In this paper, we examine two simple (1+1)-dimensional models with quartic fermi interactions which would serve for this purpose. We examine the chiral Gross-Neveu model  and the Cooper pair model proposed by Chodos, Minakata and Cooper .

The chiral Gross-Neveu model  is a natural choice as the two-dimensional model which displays dynamical breaking of continuous chiral symmetry. It is also well known that the Gross-Neveu model at infinite number of flavor has a number of similar properties with QCD; the renormalizability, the asymptotic freedom, and the similar phase structure on $`\mu `$-$`T`$ plane with those suspected for the two-flavor QCD.

The Cooper pair model  is a toy model for ”color superconductivity” in QCD but without color degrees of freedom. It nevertheless serves as a renormalizable asymptotically free model field theory which admits Lorentz scalar fermion pair condensate. The model possesses $`O(N)`$ flavor symmetry and $`U(1)`$ symmetry of fermion number, and the authors of Ref.  have shown that at the large-$`N`$ limit the $`U(1)`$ symmetry is dynamically broken by the Lorentz singlet di-fermion condensate. It was also shown that the model, when coupled with the Gross-Neveu model, has a very similar phase structure with that of QCD with two flavor of quarks .

Strictly speaking, continuous symmetry such as the $`U(1)`$ symmetries of chirality or fermion number cannot be violated by the Coleman-Mermin-Wagner theorem  in (1+1) dimensions. However, it is well understood by now in what sense the theorem is ”invalidated” in the large-$`N`$ limit. As Witten argued , the correlation functions of order parameters have power law behavior at large distances, and the power is inversely proportional to $`N`$. Therefore, if we take the limit $`N\mathrm{}`$ first and then send spatial distance between two order parameters infinity to use the cluster property, we formally obtain nonvanishing vacuum expectation value of the order parameter. The procedure seems to give a consistent field theory, which is usuable as a theoretical laboratory for investigating various properties of condensate phenomena.

We develop a systematic method for investigating the possibilities of spatial varing condensates, and then apply the formalism to discuss the chiral Gross-Neveu model and the Cooper pair model in a unified way. In a recent paper, Schön and Thies  treated the chiral Gross-Neveu model and concluded that the model has chiral wave condensates with a wave number $`2\mu `$. Our formalism differs from theirs on several respects, in particular on how to regulate ultraviolet divergence. We will reexamine the chiral Gross-Neveu model in the light of our formalism and confirm their results. On the other hand, We obtain a spatially uniform fermion pair condensate as the stable ground state of the Cooper pair model, in agreement with .

In Sec. II we introduce the quasi-particle picture and the Hamiltonian is diagonalized in terms of the quasi-particles. In Sec. III the effective potential is derived by taking the expectation values of the Hamiltonian with respect to properly defined variational vacua and we search for a vacuum solution. In Sec. IV we relate the quasi-particles to the free particles through the Bogoliubov-Valatin transformation, which leads us to the fact that the spatial variations of the chiral condensate yield due to the nonvanishing momentum of particle-hole/antiparticle pairs. We also discuss validity of the ultraviolet regularization by considering the fermion number of vacuum. In Sec. V the similar discussion to the chiral Gross-Neveu model is applied to the Cooper pair model. Sec. VI is devoted to conclusions. In Appendix we discuss the ultraviolet regularization scheme in detail.

## II The Hamiltonian of chiral Gross-Neveu model

First of all, we will focus our attention on the chiral Gross-Neveu model in which the Lagrangian is given by

$$=\overline{\psi _i}\left(i\partial ̸+\gamma ^0\mu \right)\psi _i+\frac{1}{2}g^2\left|\overline{\psi _i}(1+\gamma ^5)\psi _i\right|^2.$$
(1)
Here, $`\psi _i`$ is a two-component spinor with a flavor index of $`SU(N)`$. Repeated flavor indices in Eq. (1) are meant to be summed. To solve the model, $`N`$ is sent to an infinite, keeping $`\lambda _0=g^2N`$ fixed. We also introduce a chemical potential $`\mu `$ which is a constant source for fermion number in order to take account of the finite fermion density of the system. The Lagrangian has a $`U(1)`$ chiral symmetry, which is dynamically broken at zero temperature and $`\mu =0`$ . Under the assumption of spacially uniform ground state the symmetry is shown to be restored at finite temperature and/or chemical potential . A recent work that relaxes the assumption of spatial uniformity to accomodate a periodically varing one has shown that a chiral crystalline state with $`\overline{\psi _i}(1+\gamma ^5)\psi _ie^{2i\mu x}`$ has lower energy than uniform chiral symmetry breaking or unbroken state. Using this model, we will first develop a method for investigating possibilities of spatially varing condensates, which can also be applied to the Cooper pair model.

Our strategy is to use the auxiliary field method. Following standard techniques  we can add the term involving complex, auxiliary field $`\sigma (x)`$ without affecting on the dynamics of the theory:

$$\frac{1}{2g^2}\left|\sigma +g^2\overline{\psi _i}(1+\gamma ^5)\psi _i\right|^2.$$
(2)
An effective action of the model is obtained by doing the functional integral with respect to both auxiliary and fermion fields. In the large-$`N`$ limit, however, $`\sigma (x)`$ can be regarded as a classical, background field for fermions because it is determined by the method of stationary phase. Instead of integrating out the fermion fields in the effective action, we diagonalize the fermionic Hamiltonian in the presence of the background field $`\sigma (x)`$ in terms of the creation and annihilation operators of quasi-particles. The free energy is then obtained as expectation values of the Hamiltonian with respect to variational ground states for each $`\sigma `$. At this moment, since a $`U(1)`$ chiral transformation including the auxiliary field is indicated by $`\psi _ie^{i\alpha \gamma ^5}\psi _i`$ and $`\sigma e^{2i\alpha }\sigma `$ ($`\alpha `$ is an arbitrary constant), non-vanishing classical field $`\sigma `$ implies spontaneous symmetry breaking of the $`U(1)`$ chiral symmetry.

To analyze the chiral Gross-Neveu model and the Cooper pair model in parallel, it is convenient to introduce the charge conjugation field defined by

$`\psi _i^c(x)=C\overline{\psi _i}^T(x),`$

where $`C`$ is a $`2\times 2`$ matrix with the properties (see, for example, Bjorken and Drell )

$`C^1\gamma ^\mu C=\gamma ^{\mu T},C=C^T.`$

In our convention of Dirac matrices, $`\gamma ^0=\sigma _1`$, $`\gamma ^1=i\sigma _2`$ and $`\gamma ^5=\sigma _3`$ ($`\sigma `$’s are Pauli matrices), $`C=\gamma ^1`$ and charge conjugation field is described as

$$\psi _i^c(x)=\gamma ^5\psi _i^{}(x).$$
(3)
By using the integral identity

$$\frac{1}{2}d^2x\overline{\psi _i}\left(i\partial ̸+\gamma ^0\mu \right)\psi _i=\frac{1}{2}d^2x\overline{\psi _i^c}\left(i\partial ̸\gamma ^0\mu \right)\psi _i^c,$$
(4)
the fermionic Hamiltonian density corresponding to the Lagrangian of the chiral Gross-Neveu model can be written as

$``$ $`=`$ $`{\displaystyle \frac{}{\dot{\psi _i}}}\psi _i+{\displaystyle \frac{}{\dot{\psi _i^c}}}\psi _i^c`$ (5)
$`=`$ $`{\displaystyle \frac{\left|\sigma \right|^2}{2g^2}}+{\displaystyle \frac{1}{2}}[\psi _{i}^{}{}_{}{}^{},\psi _{i}^{c}{}_{}{}^{}]\left[\begin{array}{cc}h& 0\\ 0& h^c\end{array}\right]\left[\begin{array}{c}\psi _i\\ \psi _i^c\end{array}\right],`$ (10)
where the first quantized Hamiltonian $`\widehat{H}=\left[\begin{array}{cc}h& 0\\ 0& h^c\end{array}\right]`$ is given by

$`h`$ $`=`$ $`i\gamma ^5_x\mu +\gamma ^0\text{Re}\sigma i\gamma ^1\text{Im}\sigma `$ (11)
$`h^c`$ $`=`$ $`i\gamma ^5_x+\mu +\gamma ^0\text{Re}\sigma +i\gamma ^1\text{Im}\sigma `$ (12)
Note that the sign of $`\text{Im}\sigma `$ term flips because the charge conjugation is a kind of chiral conjugation (see, Eq. (3)) and the imaginary part of an auxiliary field $`\sigma `$ transforms as $`\overline{\psi _i}\gamma ^5\psi _i`$.

Our next task is to identify the eigenstates of Eq. (10) and to expand the fermion field in terms of them. To do this, we assume that $`\sigma (x)`$ has the following static standing wave form:

$$\sigma (x)=\left|\sigma \right|e^{2iKx},$$
(13)
where $`\left|\sigma \right|`$ and $`K`$ are arbitary constants which will be determined later. We solve eigenvalue problem $`\widehat{H}\mathrm{\Psi }=\omega _n\mathrm{\Psi }`$ by Fourier expanding with the chiral phase factor $`e^{\pm iKx\gamma ^5}`$. We obtain a complete, orthonormal set of eigen functions $`\mathrm{\Psi }=[\psi _n(x),\psi _n^c(x)]^T`$. It consists of four types of continuum state labeled as $`n=(p,a),(p,b),(p,\overline{a}),(p,\overline{b})`$ with the following eigenvalus ($`p`$ is the Fourier mode and we call this type of eigenstates “branch”, e.g., $`a`$-branch):

$$\begin{array}{ccccc}\omega _{pa}=ϵ_p\mu _{}\hfill & :& \psi _{pa}(x)=e^{i(p+\gamma ^5K)x}u_p\hfill & ,& \psi _{pa}^c(x)=0,\hfill \\ \omega _{pb}=ϵ_p+\mu _{}\hfill & :& \psi _{pb}(x)=0\hfill & ,& \psi _{pb}^c(x)=e^{i(p\gamma ^5K)x}u_p,\hfill \\ \omega _{p\overline{a}}=ϵ_p+\mu _{}\hfill & :& \psi _{p\overline{a}}(x)=0\hfill & ,& \psi _{p\overline{a}}^c(x)=e^{i(p\gamma ^5K)x}u_p^c,\hfill \\ \omega _{p\overline{b}}=ϵ_p\mu _{}\hfill & :& \psi _{p\overline{b}}(x)=e^{i(p+\gamma ^5K)x}u_p^c\hfill & ,& \psi _{p\overline{b}}^c(x)=0.\hfill \end{array}$$
(14)
Here, $`ϵ_p=\sqrt{p^2+\left|\sigma \right|^2}`$ and $`\mu _{}=\mu K`$. The two component spinors in Eqs. (14) are

$`u_p`$ $`=`$ $`\left[\begin{array}{c}\mathrm{cos}\frac{1}{2}\theta _p\\ \mathrm{sin}\frac{1}{2}\theta _p\end{array}\right]={\displaystyle \frac{1}{\sqrt{2ϵ_p}}}\left[\begin{array}{c}\sqrt{ϵ_p+p}\\ \sqrt{ϵ_pp}\end{array}\right],`$ (19)
$`u_p^c=\gamma ^5u_p^{}`$ $`=`$ $`\left[\begin{array}{c}\mathrm{sin}\frac{1}{2}\theta _p\\ \mathrm{cos}\frac{1}{2}\theta _p\end{array}\right]={\displaystyle \frac{1}{\sqrt{2ϵ_p}}}\left[\begin{array}{c}\sqrt{ϵ_pp}\\ \sqrt{ϵ_p+p}\end{array}\right].`$ (24)
Note that the wave functions are no longer momentum eigenstates in the presense of $`K`$ because of the chiral phase factor. While $`\omega `$’s may be regarded as the energies of a fermion or an antifermion with momentum $`p`$, mass $`\left|\sigma \right|`$ and chemical potential $`\mu _{}`$, they must be interpreted merely as quasi-particle dispersion relations (especially, $`p`$ is not a momentum of particles).

The fermion field can be expanded in terms of eigenstates (14). The coefficients of four branches of eigenstates are not independent with each other, but $`a(b)`$\- and $`\overline{a}(\overline{b})`$-branches must be hermitian conjugate with each other to assure that $`\psi _i^c=\gamma ^5\psi _i^{}`$. The second quantized fermion field is then given by

$$\left[\begin{array}{c}\psi _i(x)\\ \psi _i^c(x)\end{array}\right]=\frac{dp}{2\pi }\left[\begin{array}{c}e^{i(p+\gamma ^5K)x}\left(u_pa_{pi}+u_p^cb_{pi}^{}\right)\\ e^{i(p\gamma ^5K)x}\left(u_p^ca_{pi}^{}+u_pb_{pi}\right)\end{array}\right].$$
(25)
Here, $`a_{pi}`$, $`b_{pi}`$ and their hermitian conjugates are creation and annihilation operators of quasi-particles. To hold the canonical anticommutation relations, $`\{\psi _i(x),\psi _j^{}(y)\}=\delta _{ij}\delta (xy)`$, they must obey anticommutation relations; $`\{a_{pi},a_{qj}^{}\}=\{b_{pi},b_{qj}^{}\}=2\pi \delta (pq)\delta _{ij}`$, and all other anticommutators vanish.

Using the decomposition into Fourier space, the field operators can be expressed in terms of quasi-particle operators, $`a`$’s and $`b`$’s. For example, Hamiltonian and fermion number operator become

$`H`$ $`=`$ $`{\displaystyle 𝑑x}`$ (26)
$`=`$ $`NL{\displaystyle \frac{\left|\sigma \right|^2}{2\lambda _0}}+{\displaystyle \frac{1}{2}}{\displaystyle \frac{dp}{2\pi }\left(\omega _{pa}a_{pi}^{}a_{pi}+\omega _{pb}b_{pi}^{}b_{pi}+\omega _{p\overline{a}}a_{pi}a_{pi}^{}+\omega _{p\overline{b}}b_{pi}b_{pi}^{}\right)},`$ (27)
$`J^0`$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle 𝑑x\left[\psi _{i}^{}{}_{}{}^{}\psi _i\psi _{i}^{c}{}_{}{}^{}\psi _i^c\right]}`$ (28)
$`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \frac{dp}{2\pi }\left(a_{pi}^{}a_{pi}b_{pi}^{}b_{pi}a_{pi}a_{pi}^{}+b_{pi}b_{pi}^{}\right)},`$ (29)
where $`L=𝑑x`$ is the spatial volume. It is found that $`a_{pi}^{}`$ is the annihilation operator of the $`\overline{a}`$-branch simultaneously with the creation operator of the $`a`$-branch. It should be also noticed that the quasi-particle operators diagonalize the fermion number operator differently from the Cooper pair model. This becomes the crucial point to distinguish between the two models, as one can find below.

## III Effective potential and Vacuum structure for chiral Gross-Neveu model

In this section we want to construct and analyze the effective potential for the chiral Gross-Neveu model. We begin by calculating expectation values of the Hamiltonian with respect to variational ground state which is defined by filling the negative energy states;

$$\begin{array}{ccccccc}\omega _{pa}=\omega _{p\overline{a}}>0& :& a_{pi}|\sigma =0& ,& \omega _{pb}=\omega _{p\overline{b}}>0& :& b_{pi}|\sigma =0\\ \omega _{pa}=\omega _{p\overline{a}}<0& :& a_{pi}^{}|\sigma =0& ,& \omega _{pb}=\omega _{p\overline{b}}<0& :& b_{pi}^{}|\sigma =0\end{array}.$$
(30)
Evaluating the expectation value of the Hamiltonian with respect to $`|\sigma `$, the effective potential becomes (for brevity, we denote $`𝒪=\sigma |𝒪|\sigma `$)

$`𝒱(\left|\sigma \right|,K)`$ $`=`$ $`{\displaystyle \frac{H}{NL}}`$ (31)
$`=`$ $`{\displaystyle \frac{\left|\sigma \right|^2}{2\lambda _0}}+{\displaystyle \frac{1}{2}}{\displaystyle \frac{dp}{2\pi }\omega _{p\overline{a}}}+{\displaystyle \frac{1}{2}}{\displaystyle \frac{dp}{2\pi }\omega _{p\overline{b}}}+{\displaystyle \underset{\omega _{pa}<0}{}}{\displaystyle \frac{dp}{2\pi }}\omega _{pa}+{\displaystyle \underset{\omega _{pb}<0}{}}{\displaystyle \frac{dp}{2\pi }}\omega _{pb},`$ (32)
where the region of integration in the second and the third terms in the last line consists of whole range of $`p`$. The last two integrals come from “no-pairing” regions in which the modes does not give any contribution to dynamical generation of chiral condensate (see, e.g, Eq. (44)). Under the condition for absence of no-paring regions, $`\mu _{}^2<\left|\sigma \right|^2`$, there is no effect from free fermions and these integrals vanish.

Eq. (32) contains several divergences at ultraviolet regions; for example, if we introduce the naive Fourier mode cutoff (as we took care before, $`p`$ is not a momentum of quasi-particle), $`\left|p\right|<\mathrm{\Lambda }/2`$, then the divergent terms come from first two integrals in Eq. (32):

$`{\displaystyle \underset{\mathrm{\Lambda }/2}{\overset{\mathrm{\Lambda }/2}{}}}{\displaystyle \frac{dp}{2\pi }}\omega _{p\overline{a}}`$ $`=`$ $`{\displaystyle \frac{\mathrm{\Lambda }^2}{8\pi }}+{\displaystyle \frac{\mu _{}}{2\pi }}\mathrm{\Lambda }{\displaystyle \frac{\left|\sigma \right|^2}{4\pi }}\mathrm{ln}{\displaystyle \frac{\mathrm{\Lambda }^2}{\left|\sigma \right|^2}}{\displaystyle \frac{\left|\sigma \right|^2}{2\pi }}+𝒪(1/\mathrm{\Lambda })`$ (33)
$`{\displaystyle \underset{\mathrm{\Lambda }/2}{\overset{\mathrm{\Lambda }/2}{}}}{\displaystyle \frac{dp}{2\pi }}\omega _{p\overline{b}}`$ $`=`$ $`{\displaystyle \frac{\mathrm{\Lambda }^2}{8\pi }}{\displaystyle \frac{\mu _{}}{2\pi }}\mathrm{\Lambda }{\displaystyle \frac{\left|\sigma \right|^2}{4\pi }}\mathrm{ln}{\displaystyle \frac{\mathrm{\Lambda }^2}{\left|\sigma \right|^2}}{\displaystyle \frac{\left|\sigma \right|^2}{2\pi }}+𝒪(1/\mathrm{\Lambda })`$ (34)
The quadratic and linear divergences depend on the cutoff scheme, although the logarithmic divergence does not. These divergences therefore lead to nontrivial issue for the ultraviolet regularization. We will show at the next section that the naive Fourier mode cutoff has problems with the number of fermions floating in the vacuum. We employ a different cutoff scheme which is free from the trouble. As will be explained somewhat in detail in Appendix, it involves the branch dependent cutoff prescription:

$$a(\overline{a})\text{-branch}:[\frac{\mathrm{\Lambda }}{2}+K,\frac{\mathrm{\Lambda }}{2}K],b(\overline{b})\text{-branch}:[\frac{\mathrm{\Lambda }}{2}K,\frac{\mathrm{\Lambda }}{2}+K].$$
(35)
The reader may wonder why one should take such branch-dependent shift on the ultraviolet cutoff. In fact, it is shown in Refs.  that the similar shift resulting from a phase shift in the normal modes of fluctuations around the soliton gives correct quantum corrections to the kink mass in the two-dimentional $`\varphi ^4`$-theory.

By using the cutoff prescription (35), first two integrals in the effective potential (32) become

$`{\displaystyle \underset{\mathrm{\Lambda }/2+K}{\overset{\mathrm{\Lambda }/2K}{}}}{\displaystyle \frac{dp}{2\pi }}\omega _{p\overline{a}}`$ $`=`$ $`{\displaystyle \frac{\mathrm{\Lambda }^2}{8\pi }}+{\displaystyle \frac{\mu }{2\pi }}\mathrm{\Lambda }{\displaystyle \frac{\left|\sigma \right|^2}{4\pi }}\mathrm{ln}{\displaystyle \frac{\mathrm{\Lambda }^2}{\left|\sigma \right|^2}}{\displaystyle \frac{\left|\sigma \right|^2}{2\pi }}+{\displaystyle \frac{\mu _{}^2}{2\pi }}{\displaystyle \frac{\mu ^2}{2\pi }}+𝒪(1/\mathrm{\Lambda })`$ (36)
$`{\displaystyle \underset{\mathrm{\Lambda }/2K}{\overset{\mathrm{\Lambda }/2+K}{}}}{\displaystyle \frac{dp}{2\pi }}\omega _{p\overline{b}}`$ $`=`$ $`{\displaystyle \frac{\mathrm{\Lambda }^2}{8\pi }}{\displaystyle \frac{\mu }{2\pi }}\mathrm{\Lambda }{\displaystyle \frac{\left|\sigma \right|^2}{4\pi }}\mathrm{ln}{\displaystyle \frac{\mathrm{\Lambda }^2}{\left|\sigma \right|^2}}{\displaystyle \frac{\left|\sigma \right|^2}{2\pi }}+{\displaystyle \frac{\mu _{}^2}{2\pi }}{\displaystyle \frac{\mu ^2}{2\pi }}+𝒪(1/\mathrm{\Lambda })`$ (37)
One notices by comparing Eqs. (37) to (34) that additional finite contributions arise from the lineary or quadraticaly divergent terms due to the shifts in cutoff. The quadratic divergence in Eq. (37) is an uninteresting constant which can be subtracted off and the linear divergences are exactly cancelled between two integrals. The remaining logarithmic divergence in Eqs. (37) can be removed, as usual, by the renormalization of the coupling constant. Since they contain only $`\left|\sigma \right|`$ dependence, it is enough to carry it out in the case of $`K=\mu =0`$. Therefore, we renormalize by demanding that the renormalized coupling constant $`\lambda `$ satisfies

$$\frac{^2𝒱}{\left|\sigma \right|^2}|_{\genfrac{}{}{0pt}{}{\left|\sigma \right|=m_0}{K=\mu =0}}=\frac{1}{\lambda }.$$
(38)
Here $`\left|\sigma \right|=m_0`$ designates an arbitary renormalization point on which the coupling constant depends. Using this conditions to solve for $`\lambda _0`$ in terms of $`\lambda `$ yields the renormalized form of the effective potential:

$`\mu _{}^2<\left|\sigma \right|^2`$ $`:`$ $`𝒱={\displaystyle \frac{\left|\sigma \right|^2}{4\pi }}\left[{\displaystyle \frac{2\pi }{\lambda }}3+\mathrm{ln}{\displaystyle \frac{\left|\sigma \right|^2}{m_0^2}}\right]+{\displaystyle \frac{\mu _{}^2}{2\pi }}{\displaystyle \frac{\mu ^2}{2\pi }},`$ (39)
$`\mu _{}^2>\left|\sigma \right|^2`$ $`:`$ $`𝒱={\displaystyle \frac{\left|\sigma \right|^2}{4\pi }}\left\{{\displaystyle \frac{2\pi }{\lambda }}3+\mathrm{ln}{\displaystyle \frac{\mu _{}^2}{m_0^2}}\left[1+\sqrt{1{\displaystyle \frac{\left|\sigma \right|^2}{\mu _{}^2}}}\right]^2\right\}`$ (41)
$`+{\displaystyle \frac{\mu _{}^2}{2\pi }}\left[1\sqrt{1{\displaystyle \frac{\left|\sigma \right|^2}{\mu _{}^2}}}\right]{\displaystyle \frac{\mu ^2}{2\pi }}.`$
When $`K=0`$, Eqs. (41) turns into the well-known effective potential assuming the homogeneity of chiral condensates . If we set $`K=\mu `$, the effective potential is reduced to one in Ref. .

It is easy to show that $`\left|\sigma \right|=m_0e^{1\pi /\lambda }`$, $`\mu _{}=\mu K=0`$ is the solution of the gap equations derived from the effective potential, $`\frac{𝒱}{\left|\sigma \right|}=\frac{𝒱}{K}=0`$. It give the minmum value of effective potential as one can see in Fig. 1. Therefore, the vacuum structure is characterized by

$$\sigma (x)=\left(m_0e^{1\pi /\lambda }\right)e^{2i\mu x}.$$
(42)
Using the field decomposition (25), one can evaluate the chiral condensate of vacuum explicitly,

$`\overline{\psi _i}(1+\gamma ^5)\psi _i`$ $`=`$ $`N\left|\sigma \right|e^{2iKx}{\displaystyle \frac{1}{2\pi }}\left[{\displaystyle \frac{dp}{ϵ_p}}{\displaystyle \underset{\omega _{pa}<0}{}}{\displaystyle \frac{dp}{ϵ_p}}{\displaystyle \underset{\omega _{pb}<0}{}}{\displaystyle \frac{dp}{ϵ_p}}\right]`$ (43)
$`=`$ $`N\sigma (x)/\lambda _0,`$ (44)
where the vacuum value of $`\sigma (x)`$, Eq. (42), is used in the second line of the equation. The equation guarantees to hold the equation of motion for $`\sigma (x)`$ derived from the Lagrangian (2). Consequently, we have reproduced the result in Ref.  which the phase standing chiral density wave with a wave number $`2\mu `$ is stable as compared to uniformally chiral symmetry broken phase or the symmetric phase. Moreover, we have demonstrated that the condensate of the wave number $`2\mu `$ arises as the unique minimum of the effective potential. We present arguments to clarify the reasons why the wave number is $`2\mu `$ at the next section.

## IV Relation to the Overhauser effect

To understand why the chiral condensate oscillates in space with wave number $`2\mu `$, we start by considering that the field expansion, Eq. (25), has a connection with an interaction-free description through the Bogoliubov-Valatin transformation. For brevity, we drop the flavor indices and set $`L`$ to unity. Setting $`\left|\sigma \right|=K=0`$ in Eq. (25), the free field expansion is

$$\psi (x)=\frac{dq}{2\pi }e^{iqx}\left[\begin{array}{c}a_q^{(0)}\mathrm{\Theta }(q)+b_q^{(0)}\mathrm{\Theta }(q)\\ a_q^{(0)}\mathrm{\Theta }(q)b_q^{(0)}\mathrm{\Theta }(q)\end{array}\right],$$
(45)
where the subscript $`(0)`$ implies the operators corresponding to free massless fermion and antifermion, and $`\mathrm{\Theta }`$ denotes the Heaviside step function. By equating Eq. (45) to Eq. (25), the Bogoliubov-Valatin transformation reads

$`K<p`$ $`:`$ $`\{\begin{array}{c}a_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _pb_{p+K}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p,\hfill \\ b_p=b_{pK}^{(0)}\mathrm{cos}\frac{1}{2}\theta _pa_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p,\hfill \end{array}`$ (48)
$`K<p<K`$ $`:`$ $`\{\begin{array}{c}a_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _p+a_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p,\hfill \\ b_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _pa_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p,\hfill \end{array}`$ (51)
$`p<K`$ $`:`$ $`\{\begin{array}{c}a_p=b_{pK}^{(0)}\mathrm{cos}\frac{1}{2}\theta _p+a_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p,\hfill \\ b_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _p+b_{p+K}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p.\hfill \end{array}`$ (54)
We can then relate the variational ground state $`|\sigma `$ to the normal state $`|0`$. The latter is annihilated by $`a^{(0)}(a^{(0)})`$ and $`b^{(0)}`$ above (below) the Fermi surface:

$$\begin{array}{ccc}\left|q\right|>\mu & :& a_q^{(0)}|0=b_q^{(0)}|0=0,\hfill \\ \left|q\right|<\mu & :& a_q^{(0)}|0=b_q^{(0)}|0=0,\hfill \end{array}$$
(55)
(We implicitly assume that $`\mu >0`$ such that the fermionic Fermi surface is formed). For the case of $`K=\mu `$ in particular, one is able to show that $`|\sigma `$ can be written in a form of the BCS state,

$$|\sigma =\underset{p<\mu }{}A_p^{}\underset{\mu <p<0}{}B_p^{}\underset{0<p<\mu }{}B_p^+\underset{\mu <p}{}A_p^+|0,$$
(56)
where

$$\begin{array}{c}A_p^+=\mathrm{cos}\frac{1}{2}\theta _p+\mathrm{sin}\frac{1}{2}\theta _pa_{p+\mu }^{(0)}b_{p+\mu }^{(0)},\hfill \\ B_p^+=\mathrm{cos}\frac{1}{2}\theta _p+\mathrm{sin}\frac{1}{2}\theta _pa_{p\mu }^{(0)}a_{p+\mu }^{(0)},\hfill \\ B_p^{}=\mathrm{sin}\frac{1}{2}\theta _p+\mathrm{cos}\frac{1}{2}\theta _pa_{p+\mu }^{(0)}a_{p\mu }^{(0)}.\hfill \\ A_p^{}=\mathrm{sin}\frac{1}{2}\theta _p+\mathrm{cos}\frac{1}{2}\theta _pb_{p\mu }^{(0)}a_{p\mu }^{(0)},\hfill \end{array}$$
(57)
It can be easily verified that $`|\sigma `$ in Eq. (56) satisfies the definition of it, Eq. (30), by using Eqs. (51) and (55). In the region of $`p>\mu `$, $`|\sigma `$ comprises with the particle-antiparticle pairing as in the usual chiral condensate vacua but with pair momentum $`2\mu `$ in our case. On the other hand, in the region of $`0<p<\mu `$, $`|\sigma `$ comprises the particle-hole pairing with the momentum $`(p+\mu )`$ and $`(p\mu )`$, respectively. The manner of pairing is depicted in Fig. 2. This figure tells us that either the particle-hole or the particle-antiparticle pairing across the Fermi surface replaces particle-antiparticle pairing across the Dirac sea that generates homogeneous chiral condensates at $`\mu =0`$. Exciting the pair of a particle with momentum $`\mu `$ and a hole with momentum $`\mu `$ ($`p=0`$) costs zero energy. Since the pairing wave function $`\mathrm{tan}\frac{1}{2}\theta _p`$ at $`p>0`$ has the peak at $`p=0`$, most likely, the zero energy pairing is generated when the interaction is truned on. This is the Overhauser instability first proposed for spin density wave of nonrelativistic electron system , and recently revived for chiral density wave in QCD . Because of effects of this instability, the vacuum must have the chiral crystalline structure with a period $`\pi /\mu `$.

Eq. (56) tells us an another important result. Since $`|0`$ has nonzero fermion number owing to the existence of the Fermi sea and the pairing preserves fermion number, $`|\sigma `$ must also have nonzero fermion number. The expectation value of a fermion number operator becomes

$`J^0`$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \underset{\mathrm{\Lambda }/2+K}{\overset{\mathrm{\Lambda }/2K}{}}}{\displaystyle \frac{dp}{2\pi }}NL+{\displaystyle \frac{1}{2}}{\displaystyle \underset{\mathrm{\Lambda }/2K}{\overset{\mathrm{\Lambda }/2+K}{}}}{\displaystyle \frac{dp}{2\pi }}NL+{\displaystyle \underset{\omega _{pa}<0}{}}{\displaystyle \frac{dp}{2\pi }}NL{\displaystyle \underset{\omega _{pb}<0}{}}{\displaystyle \frac{dp}{2\pi }}NL`$ (58)
$`=`$ $`\{\begin{array}{cc}NL{\displaystyle \frac{K}{\pi }}& \text{for }\mu _{}^2<\left|\sigma \right|^2\\ NL\left({\displaystyle \frac{K}{\pi }}+{\displaystyle \frac{\mu _{}}{\pi }}\sqrt{1{\displaystyle \frac{\left|\sigma \right|^2}{\mu _{}^2}}}\right)& \text{for }\mu _{}^2>\left|\sigma \right|^2\end{array},`$ (61)
by our cutoff scheme (35). At $`\mu _{}=0`$, or equivalently $`K=\mu `$, it yields the correct fermion number of the state $`|\sigma `$, $`J^0=NL\mu /\pi `$. We emphasize that the consistent result comes out because of the cutoff procedure (35) we employ. Vanishing fermion number would result if the naive Fourier mode cutoff were used.

We comment out about the relation of Eq. (61) to early works relating on the zero chemical potential system, finally. In the chiral sigma model in which $`\sigma (x)`$ turns into the true backgroun field, the authors of Ref.  has shown that the vacuum expectation value of fermion number density is $`j^0=\frac{_x\phi }{2\pi }`$, where $`\sigma (x)=\left|\sigma \right|e^{i\phi (x)\gamma ^5}`$, by using the adiabatic method. To compare with our model we set $`\phi (x)=2Kx`$, so that the fermion number density becomes the first case of Eq. (61) expecting the factor $`N`$ coming from the number of flavor. Since the adiabatic method implies the slowly varing condition ($`_x\phi \left|\sigma \right|`$), the secound case of Eq. (61) is excluded from this condition.

## V The Cooper pair model

We discuss the Cooper pair model in this section, replacing the interaction term in Eq. (1) with $`\frac{1}{2}g^2\left|\overline{\psi _i^c}\psi _i\right|^2`$:

$$=\overline{\psi _i}\left(i\partial ̸+\gamma ^0\mu \right)\psi _i+\frac{1}{2}g^2\left|\overline{\psi _i^c}\psi _i\right|^2.$$
(62)
The Lagrangian (62) is the same as the one in Ref. , due to our convention of Dirac matrices. The Lagrangian has a $`U(1)`$ symmetry which implies the conserved fermion number in the model. As was shown in Ref.  under the assumption of spatilly homogenuity, a Lorentz scalar Cooper pair condensate is dynamically generated in this model; $`\overline{\psi _i^c}\psi _i0`$ ($`\psi _i^c`$ transform as $`\psi _i`$ under the Lorentz transformations).

We introduce an auxiliary field $`\mathrm{\Delta }(x)`$ by

$$\frac{1}{2g^2}\left|\mathrm{\Delta }+g^2\overline{\psi _i^c}\psi _i\right|^2.$$
(63)
When one thinks about the Cooper pair condensate, it is convenient to regard the charge conjugation of $`\psi _i`$ as independent variable of the theory (see, for example, Refs. ). By introducing the kinetic term of charge conjugation field by Eq. (4), we obtain the Hamiltonian density in the following form,

$$=\frac{\left|\mathrm{\Delta }\right|^2}{2g^2}+\frac{1}{2}[\psi _{i}^{}{}_{}{}^{},\psi _{i}^{c}{}_{}{}^{}]\left[\begin{array}{cc}i\gamma ^5_x\mu & \gamma ^0\mathrm{\Delta }\\ \gamma ^0\mathrm{\Delta }^{}& i\gamma ^5_x+\mu \end{array}\right]\left[\begin{array}{c}\psi _i\\ \psi _i^c\end{array}\right].$$
(64)
As in the case of chiral Gross-Neveu model, we impose the standing wave ansatz for the background (auxiliary) field:

$$\mathrm{\Delta }(x)=\left|\mathrm{\Delta }\right|e^{2iKx}.$$
(65)
$`\mathrm{\Delta }(x)`$ is equal to the Cooper pair condensate $`\overline{\psi _i^c}\psi _i`$ apart from a constant factor, so that nonvanishing $`\left|\mathrm{\Delta }\right|`$ indicates the symmetry breaking of fermion number $`U(1)`$ symmetry.

Eigenvalues of the first quantized Hamiltonian in Eq. (64) consist of the following four branches:

$$\begin{array}{ccc}\omega _{pa}=ϵ_{p_+}+K\hfill & ,& \omega _{p\overline{a}}=ϵ_p_{}K,\hfill \\ \omega _{pb}=ϵ_p_{}K\hfill & ,& \omega _{p\overline{b}}=ϵ_{p_+}+K,\hfill \end{array}$$
(66)
where $`ϵ_p=\sqrt{p^2+\left|\mathrm{\Delta }\right|^2}`$ is a energy of a particle with momentum $`p`$ and mass $`\left|\mathrm{\Delta }\right|`$, and $`p_\pm =p\mu `$ are momenta relative to the Fermi surface. We can then diagonalize the Hamiltonian, and fermionic field is expanded in terms of the eigenstates with phase factor, $`e^{\pm iKx}`$:

$`\psi _i(x)={\displaystyle \frac{dp}{2\pi }e^{i(p+K)x}\left[\begin{array}{c}a_{pi}\mathrm{cos}\frac{1}{2}\theta _{p_+}+b_{pi}^{}\mathrm{sin}\frac{1}{2}\theta _{p_+}\\ b_{pi}\mathrm{sin}\frac{1}{2}\theta _p_{}a_{pi}^{}\mathrm{cos}\frac{1}{2}\theta _p_{}\end{array}\right]},`$ (69)
$`\psi _i^c(x)={\displaystyle \frac{dp}{2\pi }e^{i(pK)x}\left[\begin{array}{c}b_{pi}\mathrm{cos}\frac{1}{2}\theta _p_{}+a_{pi}^{}\mathrm{sin}\frac{1}{2}\theta _p_{}\\ a_{pi}\mathrm{sin}\frac{1}{2}\theta _{p_+}b_{pi}^{}\mathrm{cos}\frac{1}{2}\theta _{p_+}\end{array}\right]}.`$ (72)
The wave functions $`\mathrm{cos}\frac{1}{2}\theta _p`$ and $`\mathrm{sin}\frac{1}{2}\theta _p`$ are defined analogously in Eq. (24). The Hamiltonian is obtained in exactly the same form as in Eq. (27) with the energies of Eq. (66).

Decomposing the fermion number and current operator in the basis of Eq. (72) manifests the difference from the chiral Gross-Neveu model. In the Cooper pair model, fermion current is diagonalized by the quasi-particle operators as the following equation, but fermion number is not;

$`J^1`$ $`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle 𝑑x\left[\psi _{i}^{}{}_{}{}^{}\gamma ^5\psi _i\psi _{i}^{c}{}_{}{}^{}\gamma ^5\psi _i^c\right]}`$ (73)
$`=`$ $`{\displaystyle \frac{1}{2}}{\displaystyle \frac{dp}{2\pi }\left(a_{pi}^{}a_{pi}b_{pi}^{}b_{pi}a_{pi}a_{pi}^{}+b_{pi}b_{pi}^{}\right)}.`$ (74)
The cutoff scheme is the same one as the chiral Gross-Neveu model, because the field expansion (72) must reduce to the free theory even if $`\left|\mathrm{\Delta }\right|=\mu =0`$ and $`K0`$ (see Appendix). Variational ground state $`|\mathrm{\Delta }`$ is defined by filling the negative energy states in the same way as Eq. (30), and then the effective potential becomes

$`𝒱(\left|\mathrm{\Delta }\right|,K;\mu )`$ $`=`$ $`{\displaystyle \frac{H}{NL}}`$ (75)
$`=`$ $`{\displaystyle \frac{\left|\mathrm{\Delta }\right|^2}{2\lambda _0}}+{\displaystyle \frac{1}{2}}{\displaystyle \underset{\mathrm{\Lambda }/2+K}{\overset{\mathrm{\Lambda }/2K}{}}}{\displaystyle \frac{dp}{2\pi }}\omega _{p\overline{a}}+{\displaystyle \frac{1}{2}}{\displaystyle \underset{\mathrm{\Lambda }/2K}{\overset{\mathrm{\Lambda }/2+K}{}}}{\displaystyle \frac{dp}{2\pi }}\omega _{p\overline{b}}`$ (77)
$`+{\displaystyle \underset{\omega _{pa}<0}{}}{\displaystyle \frac{dp}{2\pi }}\omega _{pa}+{\displaystyle \underset{\omega _{pb}<0}{}}{\displaystyle \frac{dp}{2\pi }}\omega _{pb}.`$
In (77), $`H`$ implies to take expectation value with respect to the state $`|\mathrm{\Delta }`$. Performing the integrations explicitly and using the renormalization condition (38) (replacing $`\left|\sigma \right|`$ to $`\left|\mathrm{\Delta }\right|`$ in the equation), we obtain the renormalized effective potential as

$`K^2<\left|\mathrm{\Delta }\right|^2`$ $`:`$ $`𝒱={\displaystyle \frac{\left|\mathrm{\Delta }\right|^2}{4\pi }}\left[{\displaystyle \frac{2\pi }{\lambda }}3+\mathrm{ln}{\displaystyle \frac{\left|\mathrm{\Delta }\right|^2}{m_0^2}}\right]+{\displaystyle \frac{K^2}{2\pi }}{\displaystyle \frac{\mu ^2}{2\pi }},`$ (78)
$`K^2>\left|\mathrm{\Delta }\right|^2`$ $`:`$ $`𝒱={\displaystyle \frac{\left|\mathrm{\Delta }\right|^2}{4\pi }}\left\{{\displaystyle \frac{2\pi }{\lambda }}3+\mathrm{ln}{\displaystyle \frac{K^2}{m_0^2}}\left[1+\sqrt{1{\displaystyle \frac{\left|\mathrm{\Delta }\right|^2}{K^2}}}\right]^2\right\}`$ (80)
$`+{\displaystyle \frac{K^2}{2\pi }}\left[1\sqrt{1{\displaystyle \frac{\left|\mathrm{\Delta }\right|^2}{K^2}}}\right]{\displaystyle \frac{\mu ^2}{2\pi }}.`$
It is easy to observe that the effective potential is identical with that of the chiral Gross-Neveu model, Eq. (41), under the replacement of $`\mu _{}`$ by $`K`$. Then, the vacuum is obtained at $`K=0`$, and the Cooper pair condensate of vacuum is given by

$$\mathrm{\Delta }(x)=m_0e^{1\pi /\lambda }=\lambda _0\overline{\psi _i^c}\psi _i/N$$
(81)
(The last equality is straightforwardly proved, similarly to Eq. (44) in the chiral Gross-Neveu model). Therefore, the ground state with spatially uniform Cooper pair condensate obtained in Ref.  gives the true vacuum in this model.

The question we have to ask here is why the Cooper pair condensate is uniform differently from the chiral condensate in the chiral Gross-Neveu model. In order to answer this question, we had to better examine the fermion number and current of the variational ground state $`|\mathrm{\Delta }`$. After some calculations, they turn out to be

$`J^0`$ $`=`$ $`NL{\displaystyle \frac{\mu }{\pi }},`$ (82)
$`J^1`$ $`=`$ $`\{\begin{array}{cc}NL{\displaystyle \frac{K}{\pi }}& \text{for }K^2<\left|\mathrm{\Delta }\right|^2\\ NL\left({\displaystyle \frac{K}{\pi }}{\displaystyle \frac{K}{\pi }}\sqrt{1{\displaystyle \frac{\left|\mathrm{\Delta }\right|^2}{K^2}}}\right)& \text{for }K^2>\left|\mathrm{\Delta }\right|^2\end{array}.`$ (85)
The fermion number is independent of the parameter indicating the spatial varidity $`K`$ in constrast to the chiral Gross-Neveu model. The spatial homogeneity can be explicitly broken in the chiral Gross-Neveu model because the fermion number is an order parameter for this symmetry breaking and it has a source, namely chemical potential. In the Cooper pair model this symmetry breakdown, if it occurs, must be caused spontaneously because the fermion number is no longer the order parameter. Then, the spontaneous symmetry breaking of the spatial homogeneity does not occur in our models.

## VI Conclusions

In this paper we have analyzed the vacuum structure of (1+1)-dimensional models with quartic fermi interactions at finite densities, with particular emphasis on the possibility of spatially nonuniform ground state. Our treatment is restricted into the case of large-$`N`$ limit and of zero temperature. This is the unique place where we can have nonvanishing order parameter in 1+1 dimensions in the sense explained in Introduction.

We first examined the chiral Gross-Neveu model. We have constructed the effective potential by allowing the chiral condensate to vary periodically in space. The quasi-particle basis diagonalizing the fermionic Hamiltonian of the theory was obtained by the Fourier expansion after performing the chiral rotation. We have constructed an effective potential and have shown that the vacuum has a crystalline structure in which the chiral condensate oscillates with the wave number $`2\mu `$. This is consistent with the result obtained by Schön and Thies .

In the course of constructing the effective potential, we have found that the branch-dependent ultraviolet cutoff procedure is required to derive the correct effective potential. In the cutoff scheme, the shifts from the explicit cutoff parameter play important role for the purpose of providing the system with the correct fermion number. While the branch-dependent ultraviolet cutoff procedure may look ugly, it is likely that it is required to preserve the fermion number in the system by cancelling the spectral flow induced by chiral rotation performed to obtain the basis used in our treatment.

We have also constructed the variational ground state in terms of free particle basis and performed the Bogoliubov-Valatin transformation to obtain quasi-particle basis which diagonalize the Hamiltonian. We have shown that the wave number $`2\mu `$ of the chiral condensate results from the Overhauser instability which generates particle-hole/antiparticle pairs with the total momentum $`2\mu `$, or $`2\mu `$.

We have examined the possibility of spatially varying ground state in the Cooper pair model proposed by Chodos, et al.  by allowing the Cooper pair condensate to vary periodically in space. By constructing and analyzing the effective potential, we have shown that the ground state with spatially uniform Cooper pair condensate obtained in Ref.  gives the true ground state of this model.

We should note that our model, which contains a single chemical potential common to $`N`$-flavor fermions, does not quite mimic the QCD motivated (3+1)-dimensional model in Refs.  in which the mismatch in the Fermi surfaces of up and down quarkes are the essential ingredient for the crystalline color superconducting phase. It would be very interesting to construct a (1+1)-dimensional model which possesses the analogous structure and work it out in the similar way as done in this paper. However, the formulation of the large-$`N`$ field theory with two different chemical potentials is highly nontrivial and we did not enter into the problem in this paper.

The spatial variations of Cooper pair condensate, if it forms, is due to the condensation of particle-particle pairs (or antiparticle-antiparticle pairs) with nonvanishing total momenta, as we observe from the Bogoliubov-Valatin transformation. It means that there is nozero expectation value of fermionic current. In other words, the fermionic current becomes an order parameter for the breakdown of the spatial homogeneity.

On the other hand, the role of order parameter is played by fermion number in the chiral Gross-Neveu model, so that the breakdown of the spatial homogeneity is caused explicitly by the chemical potential (in fact, the symmetry is restored at $`\mu =0`$). In the Cooper pair model, however, this symmetry breakdown is caused spontaneously if it occurs. The result, therefore, shows that the spatial homogeneity is not sopntaneously broken in our models.

## Acknowledgements

I wish to thank Professor W. A. Bardeen for suggesting possible connection between the regularization scheme employed in this paper and the spectral flow due to chiral rotation in the context of chiral anomaly. I also thank Professor H. Minakata for suggesting the problem and for careful reading of this paper.

## A Ultraviolet regularization

In this Appendix we explain the ultraviolet cutoff procedure given in Eq. (35) in detail.

If we set $`\left|\sigma \right|=0`$ in Eq. (13) in the chiral Gross-Neveu model, it becomes a free field theory. In this case the quasi-particle description should reduce to the free field description. Eq. (25), however, differs from Eq. (45) by the factor $`e^{\pm iKx\gamma ^5}`$. We will show below that the superficial difference between the quasi-particle and the free-particle description is removed by the ultraviolet cutoff prescription.

From the Bogoliubov transformation (51) at $`\left|\sigma \right|=0`$ we first obtain

$$\begin{array}{ccc}a_p=a_{p+K}^{(0)}\hfill & \text{ for}& p>0,\\ a_p=a_{pK}^{(0)}\hfill & \text{ for}& p<0.\end{array}$$
(A1)
It is natural that the free field description possesses naive momentum cutoff, $`\left|q\right|<\mathrm{\Lambda }/2`$ in Eq. (45). We observe from Eq. (A1) that the cutoff in the $`a`$-branch becomes $`\mathrm{\Lambda }/2<pK=q<K`$ and $`K<q=p+K<\mathrm{\Lambda }/2`$, i.e. $`\left|p\right|<\mathrm{\Lambda }/2K`$. The remaining mode of free fermion, $`K<q<K`$, comes from the $`b`$-branch:

$$\begin{array}{ccc}b_p=a_{p+K}^{(0)}\hfill & \text{ for}& 0<p<K,\\ b_p=a_{pK}^{(0)}\hfill & \text{ for}& K<p<0.\end{array}$$
(A2)
Finally, the rest of the Bogoliubov transformation,

$$\begin{array}{ccc}b_p=b_{pK}^{(0)}\hfill & \text{ for}& p>K,\\ b_p=b_{p+K}^{(0)}\hfill & \text{ for}& p<K,\end{array}$$
(A3)
leads to the cutoff in the $`b`$-branch, $`\mathrm{\Lambda }/2<p+K=q`$ and $`q=pK<\mathrm{\Lambda }/2`$, namely $`\left|p\right|<\mathrm{\Lambda }/2+K`$. In addition, we can verify by using Eqs. (A1)–(A3) that the quasi-particle decomposition (25) with the cutoff (35) is reduced to the free-particle decomposition (45) with the naive momentum cutoff, $`\left|q\right|<\mathrm{\Lambda }/2`$.

In the above discussion, we have proved that the ultraviolet cutoff must be Eq. (35) for $`\left|\sigma \right|=0`$ at least. We believe that this cutoff is correct one at $`\left|\sigma \right|0`$ because the cutoff procedure must be insensitive to the vacuum expectation value, as mentioned in Sec. III; thus, this cutoff is required to provide the state $`|\sigma `$ with the correct fermion number.

Now, we comment on the cutoff prescription from a different point of view. We enclose the system in a finite box of length $`L`$ for the purpose of counting the number of modes correctly. We shall impose periodic boundary conditions on $`\psi _i(x)`$ and $`\psi _i^c(x)`$. This leads to the following conditions on $`K`$ and $`p`$ because of the chiral phase factor in wave functions (14),

$$K=\frac{\pi B}{L},p=\frac{2\pi }{L}\left(n+\frac{1}{2}B\right),$$
(A4)
where $`B`$ and $`n`$ are integer. One can see from the cutoff (35) that $`n`$ take $`(2N_\mathrm{\Lambda }B+1)`$ values from $`N_\mathrm{\Lambda }`$ to $`N_\mathrm{\Lambda }B`$ for $`\overline{a}`$-branch, and $`(2N_\mathrm{\Lambda }+B+1)`$ values from $`N_\mathrm{\Lambda }B`$ to $`N_\mathrm{\Lambda }`$ for $`\overline{b}`$-branch, respectively, for fixed $`B`$ (i.e., fixed $`K`$). Here, $`N_\mathrm{\Lambda }=\mathrm{\Lambda }L/4\pi `$ is an explicit cutoff parameter. The number of modes included in divergent sums to evaluate the effective potential (32) is kept constant, independently of $`B`$; $`(2N_\mathrm{\Lambda }B+1)+(2N_\mathrm{\Lambda }+B+1)=2(2N_\mathrm{\Lambda }+1)`$. We depict the cutoff prescription in Fig. 3. This figure tells us that the cutoff implies summing modes in order from above with respect to the absolute value of energy, keeping the total number of modes fixed when $`\mu =0`$.

We also note that the fermion number of the state $`|\sigma `$ results from the difference of mode between $`\overline{a}`$\- and $`\overline{b}`$-branch when we take the cutoff as Fig. 3. Since $`\overline{a}`$-branch carries fermion number $`\frac{1}{2}`$ and $`\overline{b}`$-branch carries $`+\frac{1}{2}`$ as one can find from Eq. (29), the fermion number of $`|\sigma `$ becomes $`\frac{1}{2}(2N_\mathrm{\Lambda }B+1)+\frac{1}{2}(2N_\mathrm{\Lambda }+B+1)=B`$ times $`N`$ of flavor, namely, $`NL\frac{K}{\pi }`$. It is consistent with the first equation of Eq. (61) because we now ignore the region where $`\omega _{p\overline{a},\overline{b}}>0`$.

For the Cooper pair model, we can discuss the cutoff procedure as the chiral Gross-Neveu model. By comparing Eq. (72) to Eq. (45), we obtain the Bogoliubov transformation

$`K<p`$ $`:`$ $`\{\begin{array}{c}a_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _{p_+}a_{p+K}^{(0)}\mathrm{sin}\frac{1}{2}\theta _{p_+},\hfill \\ b_p=b_{pK}^{(0)}\mathrm{cos}\frac{1}{2}\theta _p_{}b_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p_{},\hfill \end{array}`$ (A7)
$`K<p<K`$ $`:`$ $`\{\begin{array}{c}a_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _{p_+}+b_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _{p_+},\hfill \\ b_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _p_{}b_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p_{},\hfill \end{array}`$ (A10)
$`p<K`$ $`:`$ $`\{\begin{array}{c}a_p=b_{pK}^{(0)}\mathrm{cos}\frac{1}{2}\theta _{p_+}+b_{pK}^{(0)}\mathrm{sin}\frac{1}{2}\theta _{p_+},\hfill \\ b_p=a_{p+K}^{(0)}\mathrm{cos}\frac{1}{2}\theta _p_{}+a_{p+K}^{(0)}\mathrm{sin}\frac{1}{2}\theta _p_{}.\hfill \end{array}`$ (A13)
The condition in which the quasi-particle description is reduced to the interaction-free description at $`\left|\mathrm{\Delta }\right|=0`$ in spite of the presence of $`K`$, leads to the cutoff (35).

We also depict the same figure as Fig. 3 because the dispersion relations of quasi-particles in the two models coinside with each other at $`\mu =0`$. In the Cooper pair model, however, the quasi-particle does not carry definite fermion number, but the fermion current. Therefore, the fermion current of the state $`|\mathrm{\Delta }`$ is generated as we vary the value of $`K`$, as indicated in Eq. (85). This means from the viewpoint of the Bogoliubov transformation (A10) that $`|\mathrm{\Delta }`$ is composed of two (free)fremions pairing with total momentum $`2K`$ or two antifermions pairing with total momentum $`2K`$.


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# Untitled Document

An application of the catastrophe theory to building the model of elastic-plastic behaviour of materials.

Part 2. 3D model

L. N. Maurin, I. S. Tikhomirova 111e-mail: tihomir@ivanovo.ac.ru

Physics Department, Ivanovo State University

Ermaka St. 39, Ivanovo, 153025, Russia

## Abstract

The three-dimensional elastic-plastic deformation is considered. The catastrophe theory underlies the construction of this process model. It was shown that the variety of stable states consists on elastic states and can be depicted as a lattice on T – $`\mathrm{\Gamma }`$ plane, where T is shearing stress intensity and $`\mathrm{\Gamma }`$ is shearing strain intensity.

The uniaxial model of elastic-plastic deformation was built in . Just as in that article we use the catastrophe theory to construct the model. To define the state function we introduce two variables. The first one is the shearing stress intensity T:

$`T=\sqrt{\frac{1}{2}s_{ij}s_{ij}}`$,

where $`s_{ij}`$ are the components of stress deviator.

The second one is the shearing strain intensity:

$`\mathrm{\Gamma }=\sqrt{2e_{ij}e_{ij}}`$,

where $`e_{ij}`$ are the components of strain deviator.

With these variables Hook’s law takes the following form: T = G$`\mathrm{\Gamma }`$, where is the shear modulus or in dimensionless units: T = $`\mathrm{\Gamma }`$. We make a substitution here, where T stands for T/G.

To construct the model we take into account the assumption of existence of the equilibrium static states of the deforming material. These equilibrium states are elastic states. Plastic states are not static equilibrium. They are implemented in the transforming from one equilibrium state (elastic state) to another. Thus we can construct the variety of equilibrium states that is depicted on Fig. 1a for ideal plastic materials and on Fig. 1b for strengthening material. As it is seen from Fig. 1 the variety of stable states is the lattice which we will call the $`\mathrm{\Delta }`$-lattice, here T is non-dimensional quantity.

So in 3D model the variety of stable states forms the lattice the same way as in one-dimensional model. The variety of unstable states consists of segments joining the upper end (Ai) of each rod with lower end (Oi+1) of next rod (see the dotted lines on Fig. 2).

Just as in one-dimensional model we distinguish two types of models: the model with parameter T and the model with parameter $`\mathrm{\Gamma }`$. Different types of transitions from one rod of $`\mathrm{\Delta }`$-lattice to next rod correspond to different types of models. Transitions in the model with parameter T are the same as in the model with parameter $`\sigma `$. And transitions in the model with parameter $`\mathrm{\Gamma }`$ are the same as in the model with parameter $`\epsilon `$ (see  and Fig. 3). That is why we refer the reader to  in oreder to omit redundant discussions.

Let us summarize the demands that the state function have to satisfy. The state function must be smooth and has minima at each rod of $`\mathrm{\Delta }`$-lattice and maxima for rods of additional variety. In accordance with these demands we start to construct the state functions. Firstly we consider the state function with parameter T. The function looks like this:

(1) $`\mathrm{\Phi }=\mathrm{\Phi }_n(\mathrm{\Gamma };T)`$,

(2a) $`\mathrm{\Phi }_n^/\frac{d\mathrm{\Phi }_n}{d\mathrm{\Gamma }}=\underset{s=k}{\overset{k}{}}\left(T\phi _{ns}(\mathrm{\Gamma })\right)`$,

(2b) $`\mathrm{\Gamma }_i\mathrm{\Gamma }<\mathrm{\Gamma }_{i+1}`$, if $`\mathrm{\Gamma }_i`$ \- projection of lower end of rod onto $`\mathrm{\Gamma }`$

axis,

$`\mathrm{\Gamma }_{i+1}`$ \- projection of lower end of next rod onto

$`\mathrm{\Gamma }`$ axis;

(2c) $`\mathrm{\Gamma }_i\mathrm{\Gamma }\mathrm{\Gamma }_{i+1}`$, if $`\mathrm{\Gamma }_i`$ \- projection of lower end of rod onto $`\mathrm{\Gamma }`$

axis,

$`\mathrm{\Gamma }_{i+1}`$ \- projection of upper end of rod onto $`\mathrm{\Gamma }`$ axis

that is defined by function $`\phi _l`$, where l$`<`$i;

(2d) $`\mathrm{\Gamma }_i<\mathrm{\Gamma }<\mathrm{\Gamma }_{i+1}`$, if $`\mathrm{\Gamma }_i`$ \- projection of upper end of rod onto $`\mathrm{\Gamma }`$

axis,

$`\mathrm{\Gamma }_{i+1}`$ \- projection of lower end of next rod onto

$`\mathrm{\Gamma }`$ axis;

(2e) $`\mathrm{\Gamma }_i<\mathrm{\Gamma }\mathrm{\Gamma }_{i+1}`$, if $`\mathrm{\Gamma }_i`$ \- projection of upper end of rod onto $`\mathrm{\Gamma }`$

axis,

$`\mathrm{\Gamma }_{i+1}`$ \- projection of upper end of next rod onto

$`\mathrm{\Gamma }`$ axis;

(3) $`\mathrm{\Phi }_n(\mathrm{\Gamma }_{n+1})=\mathrm{\Phi }_{n+1}(\mathrm{\Gamma }_{n+1})`$ \- lacing condition, where $`n<(N1)`$,

N - number of intervals on $`\mathrm{\Gamma }`$ axis.

Here for rods of $`\mathrm{\Delta }`$-lattice

(4) $`i=2m`$, $`\phi _i(\mathrm{\Gamma })=\mathrm{\Gamma }\underset{l=0}{\overset{\frac{i}{2}1}{}}\mathrm{\Delta }_l,`$

and for rods of additional variety

(5) $`i=2m+1`$, $`\phi _i(\mathrm{\Gamma })=k_i\left(\mathrm{\Gamma }\underset{l=0}{\overset{\frac{i1}{2}}{}}\mathrm{\Delta }_l\right)`$,

where $`k_i=\frac{\left(\mathrm{\Gamma }\underset{i=0}{\overset{m1}{}}\mathrm{\Delta }_l\right)}{\left(\mathrm{\Gamma }\underset{i=0}{\overset{m}{}}\mathrm{\Delta }_l\right)}=1+\frac{\mathrm{\Delta }_m}{\mathrm{\Gamma }\underset{i=0}{\overset{m}{}}\mathrm{\Delta }_l}`$, and $`\mathrm{\Gamma }`$ is equal to the strain in point Am.

As it is seen from equations (1) - (3) the state function is constructed of all $`\phi _i\left(\mathrm{\Gamma }\right)`$ existing on the examining part of the strain axis $`\mathrm{\Gamma }`$. It is not difficult to test (using (1) - (5)) that the state function $`\mathrm{\Phi }_n`$ is minimum on all rods of $`\mathrm{\Delta }`$ -lattice (i. e. these states are stable) and maximum on all rods of additional variety (unstable states). It is necessary to note that the end points of rods are degenerated critical points.

The second state function type is the state function with parameter $`\mathrm{\Gamma }`$. We define this function as:

(6) $`\mathrm{\Phi }=\mathrm{\Phi }_n(T;\mathrm{\Gamma })`$, $`\mathrm{\Phi }_n(T_{n+1})=\mathrm{\Phi }_{n+1}(T_{n+1})`$,

(7) $`\mathrm{\Phi }_n^/=\frac{d\mathrm{\Phi }_n}{dT}=\underset{i=2n}{\overset{2(N1)}{}}\left(\mathrm{\Gamma }\psi _i(T)\right)=\underset{i=2n}{\overset{2(N1)}{}}\left(\psi _i(T)\mathrm{\Gamma }\right)`$,

defined for region $`T_n<TT_{n+1}`$, if $`n0`$, and for $`T_nTT_{n+1}`$, if $`n=0`$, here N stands for number of rods of $`\mathrm{\Delta }`$-lattice.

Here $`\psi _i(T)=T+\underset{l=0}{\overset{\frac{i}{2}1}{}}\mathrm{\Delta }_l`$, for the rods of $`\mathrm{\Delta }`$-lattice, where $`i=2m`$,

and for the rods of additional variety:

$`\psi _i(T)=\frac{1}{k_i}T+\underset{l=0}{\overset{\frac{i1}{2}}{}}\mathrm{\Delta }_l`$, where $`i=2m+1`$.

Here ki is the same as in the case of a model with parameter T.

Like the previous state function (with parameter T) we use all of functions $`\psi _i\left(T\right)`$ existing on the examining part of the stress axis T to construct this function, i. e. it is formed by means of all rods of $`\mathrm{\Delta }`$-lattice and additional variety existing on the examining part of the T-axis. It is easy to verify that the state function $`\mathrm{\Phi }_n(T;\mathrm{\Gamma })`$ (see (6) - (7)) also satisfies the above demands.

So the 3D model of elastic-plastic deformation was built both with parameter $`\mathrm{\Gamma }`$ and parameter T.

References

* An application of the catastrophe theory to building the model of elastic-plastic behaviour of materials. Part 1. Uniaxial deformation (stress) //

cond-mat/0111304 (http://xxx.lanl.gov/abs/cond-mat/0111304)

Fig. 1 a, b. The $`\mathrm{\Delta }`$-lattice of ideal plastic (a) and strengthening (b) materials.

Fig. 2 a, b. The $`\mathrm{\Delta }`$-lattice and additional variety of ideal plastic (a) and strengthening (b) materials.

Fig. 3 a, b. The possible transitions in the model with parameter T (a) and in the model with parameter $`\mathrm{\Gamma }`$ (b).


text:
# Portfolio Optimization and the Random Magnet Problem

## Abstract

Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movement of assets are are mutually correlated and therefore knowledge of cross–correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an investment in stocks which exposes invested funds to a minimum level of risk is analogous to the problem of finding the magnetization of a random magnet. The interactions for this “random magnet problem” are given by the cross-correlation matrix C of stock returns. We find that random matrix theory allows us to make an estimate for C which outperforms the standard estimate in terms of constructing an investment which carries a minimum level of risk.

Challenging optimization problems are encountered in many branches of science. Typical examples include the traveling salesman problem  and the traveling tourist problem . Another type of optimization problem occurs when system parameters are not accurately known and only estimates are available, such as in the problem of finding the least risky investment in the stock market which earns a given return. Such an investment is called an optimal portfolio. It has been suggested  that the calculation of an optimal portfolio has an analogy in pure physics: finding the ground state of a random magnet. However, the portfolio optimization problem is more intricate due to the fact that many ”system” parameters such as correlations are not known with any degree of accuracy, but can only be estimated from empirical data.

Two relevant pieces of information are necessary for an investor to judge the quality of an investment: the investor must know (i) the expected relative change in price (“return”), and (ii) the uncertainty of the return (“risk”), usually measured by the standard deviation of the returns over some preselected time intervals. Given two investments with the same return, the investment with smaller risk is preferred. One way to reduce risk is to diversify the investment, i.e., to buy stocks of not one, but of $`N`$ different companies . Diversifying the investment would work best if the fluctuations of stock prices were completely uncorrelated; the risk would then decrease with $`N`$ as $`1/\sqrt{N}`$. In reality, the price fluctuations of different stocks are correlated. The challenging optimization problem is to choose the fraction of money to be invested into each stock $`m_i`$ where $`i`$ runs over all $`N`$ stocks, in such a way as to minimize the effect of correlations on risk of the N-stock portfolio. We define the return $`G_i`$ as the relative price change of stock $`i`$, $`i=1\mathrm{}N`$, and denote the expected total return by $`R_{i=1}^Nm_iR_i`$ with $`R_i=G_i`$, the return of an investment in company $`i`$ over the investment period (in our empirical study half a year).

The variance of $`R`$ is

$$D^2=\underset{i,j=1}{\overset{N}{}}(C_{ij}\sigma _i\sigma _j)m_im_j,$$
(1)
where the cross-correlation matrix C is the covariance matrix normalized by the standard deviations $`\{\sigma _i\}`$ of individual stocks . To study the influence of the cross-correlation matrix on investment decisions we consider a straightforward investment problem first, where short selling of stocks (i.e. borrowing stocks and selling them) is allowed at no extra cost. In addition, we consider a problem where all the capital is invested in stocks. Enforcing the constraints of fixed return $`R`$ and fixed total capital $`_{i=1}^Nm_i=1`$ by Lagrange multipliers $`\mu `$ and $`h`$, the optimal portfolio is defined as the set $`\{m_i\}`$ found by minimizing the function

$`F={\displaystyle \frac{1}{2}}{\displaystyle \underset{i,j=1}{\overset{N}{}}}\left(C_{ij}\sigma _i\sigma _j\right)m_im_j\mu {\displaystyle \underset{i=1}{\overset{N}{}}}m_iR_ih{\displaystyle \underset{i=1}{\overset{N}{}}}m_i,`$ (2)
which is equivalent to the free energy of an Ising model with random couplings $`C_{ij}\sigma _i\sigma _j`$ and a random magnetic field $`R_i`$. From a physics point of view, selecting an optimal portfolio amounts to calculating the mean field magnetizations $`m_i`$ of this random Ising model with the constraint of total magnetization one. An analytical solution exists since the free energy is quadratic. The expected return $`R`$ is a monotonically increasing function of the standard deviation $`D`$. Thus, for accepting a large standard deviation (risk) the investor is rewarded with a high expected return.

For the calculation of an optimal portfolio, one requires the $`2N`$ expectation values for future returns and standard deviations of stock returns, and estimates for the $`N(N1)/2`$ independent elements $`C_{ij}`$. In practice, returns and standard deviations are estimated by combining historical values with the judgement of analysts . In contrast, cross-correlations are estimated purely from historical time series as analysts usually have expertise in a specific industry and therefore have difficulties evaluating cross-correlations between different industries.

The problem of estimating cross-correlations is similar to knowing only Monte Carlo time series for the dynamics of spins and estimating the interactions between them from their correlations. In this physics problem, interactions are stationary in time and one can in principle calculate the exact correlation matrix by using infinitely long time series. In the stock market problem, correlations may not be stationary, and the use of long time series may not be possible. Estimating correlations from short time series is plagued by considerable statistical error.

Random matrix theory (RMT) allows one to separate noise and information in C by comparing the statistical properties of C to the properties of a random control R constructed from i.i.d. time series . Agreement between C and R is a signature of noise, whereas deviations indicate meaningful information . Specifically, it was found that only the few eigenvectors with eigenvalues larger than the upper edge $`\lambda _+`$ of the random part of C contain information about groups of correlated firms  and are useful for the construction of optimal portfolios . Here, we go considerably beyond the analysis in previous approaches. We (i) compare portfolios constructed with RMT methods to those constructed under the standard assumption that the only common influence on different stocks is the whole market and (ii) systematically study whether portfolios constructed with the RMT method have the lowest possible risk.

We diagonalize C and rank-order its eigenvalues $`\lambda _k`$ such that $`\lambda _{k+1}>\lambda _k`$. To filter from C the effects of the random part, we calculate the upper edge $`\lambda _+`$ of the random part of C and find that $`\lambda _{989}`$ is the smallest eigenvalue larger than $`\lambda _+`$. In order to keep only the part of C which contains information about correlated groups of companies, we construct a ‘filtered’ diagonal matrix $`\mathrm{\Lambda }^{}`$, whose elements are

$$\mathrm{\Lambda }_{ii}^{}\{\begin{array}{cc}0\hfill & 1i<989\hfill \\ \lambda _i\hfill & 989i1000\text{.}\hfill \end{array}$$
(3)
We obtain the filtered correlation matrix C by transforming $`\mathrm{\Lambda }^{}`$ to the basis of C. In addition, we set the diagonal elements to one as every time series is completely correlated with itself.

We compare the proposed method to a method in which the cross-correlation matrix C′′ is calculated under the assumption that the only common influence on two stocks is the whole market, i.e. the one factor model . This assumption is wide spread as on the one hand it is known that the price of a market index as the S&P500 (comprising the 500 largest US stocks) has big influence on the price of individual stocks. On the other hand, there have been many attempts to identify further factors influencing the price of groups of stocks but none of these models was found to have larger predictive power than the simple assumption that only the market index influences stock prices . If $`G^\mathrm{M}(t)`$ denotes the return of the market index (we use the S&P500 index), then the return of stock $`i`$ is $`G_i(t)=R_i+\beta _iG^\mathrm{M}(t)+ϵ_i(t)`$, where $`ϵ_i(t)`$ are random variables describing the component of the return of stock $`i`$ which is both independent of the market and independent of all other stocks, and $`\beta _i`$ describes the response of stock $`i`$ to a price change of the market. The cross-correlation matrix C′′ has elements $`C_{ij}^{\prime \prime }=\beta _i\beta _j\sigma _\mathrm{M}^2/(\sigma _i\sigma _j)`$, where the standard deviations of $`G^\mathrm{M}`$ and $`ϵ_i`$ are $`\sigma _\mathrm{M}`$ and $`\sigma _i`$,

To compare the quality of the RMT forecast with that of the control, we analyze 30-min returns of $`N=1000`$ largest US stocks for the year 1994 . We partition the year 1994 into two six-month periods A and B and use the first period to calculate the RMT forecast C and the one-factor model forecast C′′ for the empirical matrix CB in the second period. As can be seen from Eq.(2) one needs the future returns and standard deviations as an input in addition to C in order to calculate a portfolio. In practice these quantities are estimated by specialists . We use instead the returns and volatilities actually realized in the second period . In this way, we probe only the effect of randomness in the correlations coefficients and our results are not influenced by uncertainties in returns and standard deviations. With this input we calculate optimal portfolios, i.e., the weights $`\{m_i\}`$ of investment made into stock $`i`$ for CA, C, and C′′. Given these weights, we calculate the risk for a given value of return.

We use three different tests to evaluate the performance of the RMT method as regards reducing risk. First, we compare the predicted risk to the risk which would have been realized if someone had invested using the set of weights $`\{m_i\}`$. We calculate this realized risk by using the empirical cross-correlation matrix CB in Eq.(1). In agreement with  we find that the empirical matrix CA is a very poor forecast for CB as the realized risk is 170% higher than the predicted one (relative difference). For portfolios constructed with the RMT forecast C  and with the standard forecast C′′ the relative difference between predicted and realized risk is only 22% and 33%, respectively. In addition to the higher accuracy in forecasting risk, the realized risk for both C and C′′ is considerably smaller than for the empirical matrix CA (Fig. 1).

Next, we compare portfolios constructed with the standard forecast C′′ against portfolios constructed with the RMT forecast C. We find that for a return of 15% the realized risk for the “filtered” portfolios is 5% smaller than the realized risk for the “standard” portfolios. A similar reduction of risk is also apparent for other expected returns (Fig. 2). Thus, the RMT method not only provides better estimates of future risks than the standard method, but also allows to calculate portfolios with a considerably reduced realized risk.

Finally, we study whether the RMT method really suggests the optimal number of eigenvalues which should be kept when constructing the cleaned cross-correlation matrix. We calculate a family of cross-correlation matrices C$`{}_{p}{}^{}{}_{}{}^{}`$ by keeping the largest $`p`$ eigenvalues in the diagonal matrix $`\mathrm{\Lambda }^{}`$ instead of keeping 12 as in Eq.(3). In Fig. 3 the realized risk for 15% return is plotted against the number $`p`$ of eigenvalues. For a range of $`4p25`$ the level of realized risk fluctuates around the risk for $`p=12`$ (RMT suggestion) . Hence we conclude that the RMT method provides a good estimate for the forecast of future cross-correlations.

Having found that the cleaned cross-correlation matrix C is indeed a good choice for portfolio optimization, we want to come back to the random magnet analogy and ask to what type of random magnet the portfolio problem corresponds. For an investment in the stock market as described by a linear constraint fixing the total invested capital Eq.(2), one cannot find a phase transition. Instead, the covariance matrix acts like a susceptibility and the amount of invested capital depends on the ratio of expected return to expected volatility of an eigenmode. Alternatively, one can study an investment in futures markets, where the investor is asked to leave a deposit proportional to the value of the asset. This leads to a nonlinear constraint $`_{i=1}^n|m_i|`$ instead of the magnetic field term in Eq.(2). Extrema of the free energy are described by coupled equations  for the signs $`S_i=\mathrm{sign}[m_i]`$

$`S_i=\mathrm{sign}\left[{\displaystyle \underset{i=1}{\overset{N}{}}}J_{ij}\left(\mu R_j+\nu S_j\right)\right],`$ (4)
where $`\left(J^1\right)_{ij}=C_{ij}\sigma _i\sigma _j`$. In Ref.  this optimization problem was studied for a historical cross–correlation matrix and found to be related to spin glasses. Here, we argue that for the cleaned matrix C one has to solve the problem of ferromagnetic clusters in a random magnetic field. To see the difference, we compare the eigenvectors of C and C. For each eigenvector, we are interested in the number $`N_s`$ of significant components which can be measured by one over the inverse participation ratio (IPR) . We analyze the eigenvectors of the matrices $`C_{ij}^\mathrm{A}\sigma _i\sigma _j`$ and $`C_{ij}^{}\sigma _i\sigma _j`$. The number of significant components of the eigenvectors of these matrices (which are also the eigenvectors of the inverse matrices used in Eq.(4)) is displayed in Fig. 4. Many of the eigenvectors of CA have more than 200 significant components and describe long range frustrated interactions giving rise to a spin glass type magnetic problem . On the other hand, all but one of the eigenvectors of C have less than 30 significant components. The eigenvector corresponding to the largest eigenvalue has 285 significant components and describes the influence of the whole market on the price dynamics of an individual stock. In terms of the magnetic model, it describes a long range ferromagnetic interaction. The 999 eigenvectors with a small number of significant component describe the fluctuations of individual stocks or ferromagnetic interaction of small clusters of stocks which can be identified as business sectors . Hence we suggest that the magnetic problem equivalent to the portfolio problem with a cleaned cross–correlation matrix is a random field ferromagnet.

In summary, we used random matrix theory to estimate cross-correlations and find that this method allows us to find investments with substantially reduced risk compared to conventionally used methods. To accomplish this, we exploited a formal analogy with the “random magnet problem”, and analyzed the cross-correlation matrix C of stock returns for short time intervals extending over a one-year period. We find an estimate for C that outperforms the standard estimate, and allows us to construct an investment which exposes the invested capital to only a minimum level of risk.

Acknowledgement: We thank J.-P. Bouchaud, L.A.N. Amaral and L. Viceira for interesting discussions, and the National Science Foundation for support.


text:
# Griffiths phases in the strongly disordered Kondo necklace model

## Abstract

The effect of strong disorder on the one-dimensional Kondo necklace model is studied using a perturbative real-space renormalization group approach which becomes asymptotically exact in the low energy limit. The phase diagram of the model presents a random quantum critical point separating two phases; the random singlet phase of a quantum disordered $`XY`$ chain and the random Kondo phase. We also consider an anisotropic version of the model and show that it maps on the strongly disordered transverse Ising model. The present results provide a rigorous microscopic basis for non-Fermi liquid behavior in disordered heavy fermions due to Griffiths phases.

An understanding of the effects of randomness on the quantum critical point ($`QCP`$) of the $`d=1`$ Kondo necklace ($`KN`$) model doni  is relevant for the study of disordered heavy fermions systems with non-Fermi liquid behavior miranda ; castroneto ; aronson . Recently a non-perturbative real space renormalization group ($`RG`$) was presented showing that weak disorder is an irrelevant perturbation near the $`QCP`$ of a $`d=1`$, anisotropic, pure $`KN`$ model tati1 . This result is in agreement with the generalized Harris criterion Harris ; chayes  for irrelevance of disorder, $`\nu >2/d`$, where $`\nu =2.24`$ is the value obtained for the correlation length exponent of the $`QCP`$ of the pure anisotropic system tati1 . On the other hand different approaches have been proposed to describe the non-Fermi liquid behavior of disordered heavy fermions that rely on the relevance of disorder miranda ; castroneto . In order to settle this important point we investigate here the one-dimensional $`KN`$ model in the case of strong disorder using a generalization of a perturbative real space $`RG`$ approach. This is the Ma-Dasgupta-Hu method ma  which has been extended by Fisher fisher1 ; fisher2  and others qc  mostly for the study of random quantum spin chains and the random transverse-field Ising model ($`RTIM`$). In this Letter we obtain an exact mapping of the strongly disordered $`KN`$ model into a problem of quantum spin chains. For the anisotropic $`KN`$ model, the mapping is in the random transverse-field Ising model ($`RTIM`$). The general mapping allows to apply directly to the $`KN`$ problem the results of extensive work done recently on random quantum spin chains fisher1 ; fisher2 ; qc ; iglu1 ; iglu2 ; iglu3 ; young . This includes the existence of Griffiths phases with the characteristic singular behavior of different thermodynamic quantities at low temperatures. The present work provides a rigorous microscopic justification for the non-Fermi liquid behavior of disordered heavy fermions due to the existence of a Griffiths phase in the neighborhood of a random $`QCP`$ castroneto .

The one-dimensional $`KN`$ model is defined by the Hamiltonian,

$$H=\underset{i=1}{\overset{L1}{}}W_i(\sigma _{}^{x}{}_{i}{}^{}\sigma _{}^{x}{}_{i+1}{}^{}+\sigma _{}^{y}{}_{i}{}^{}\sigma _{}^{y}{}_{i+1}{}^{})+\underset{i=1}{\overset{L1}{}}J_i\stackrel{}{S}_i.\stackrel{}{\sigma }_i,$$
(1)
where $`\sigma ^\mu `$ and $`S^\mu `$, $`\mu =x,y,z`$ are spin-1/2 Pauli matrices denoting the conduction electrons and the spins of the local moments, respectively. The sites $`i`$ and $`i+1`$ are nearest-neighbors on a chain of $`L`$ sites. The local Kondo interactions, $`J_i>0`$ and the hopping energies $`W_i>0`$ are uncorrelated quenched random variables with probability distributions, $`P_J(J_i)`$ and $`P_W(W_i)`$. In the anisotropic version of the model, ($`XKN`$), the band of conduction electrons is represented just by an Ising term, $`_{i=1}^{L1}W_i\sigma _{}^{x}{}_{i}{}^{}\sigma _{}^{x}{}_{i+1}{}^{}`$. The full isotropic $`KN`$ model in Eq. (1) will be refered from now on as the $`XYKN`$ to avoid confusion.

The $`KN`$ model was proposed by Doniach doni  to study heavy fermions and emphasizes magnetic degrees of freedom neglecting charge fluctuations. It incorporates the essential physics of these systems which results from the competition between Kondo effect and magnetic ordering. In the absence of disorder, the models above have distinct behavior. For the $`XKN`$ there is an unstable fixed point at a finite value of $`(J/W)`$ separating an antiferromagnetic phase from a spin compensated, Kondo-like phase tati1 . For the $`XYKN`$, any interaction $`J>0`$ gives rise to a dense Kondo state tati1 ; scalettar85 ; santini92 ; moukouri95 ; zhang00 .

In this Letter, in order to implement the perturbative $`RG`$ method for the $`KN`$ models, we consider the conduction electrons $`\sigma _i`$ and the local moments $`S_i`$ arranged in a chain as shown in Fig.1. Next we choose the largest interaction in the chain,

$$\mathrm{\Omega }=\mathrm{max}\{W_i,J_i\}$$
(2)
If the strongest interaction is a Kondo coupling (bond) between a local moment and a conduction electron, for example, $`\mathrm{\Omega }_I=J_2`$, the local moment $`S_2`$ and the conduction electron $`\sigma _2`$ are decimated out yielding an effective hopping $`\stackrel{~}{W}`$ between the conduction electrons $`\sigma _1`$ and $`\sigma _3`$ at neighboring sites which is obtained in second order perturbation theory (see Fig. 1).

If the strongest interaction is a hopping term, say, $`\mathrm{\Omega }_I=W_2`$, the four spins $`\sigma _2`$, $`S_2`$, $`\sigma _3`$ and $`S_3`$ are considered as a cluster. This is replaced by an effective two-spin cluster consisting of renormalized, local moment $`\stackrel{~}{S}`$ and conduction electron $`\stackrel{~}{\sigma }`$ coupled by a new effective local Kondo interaction, $`\stackrel{~}{J}`$ (see Fig. 1). Thus, after decimating a strong interaction, $`W_i`$ or $`J_i`$, we have an effective Hamiltonian with two less spin degrees of freedom and all couplings $`<\mathrm{\Omega }_I`$.

The $`RG`$ transformation gives, in the case the strongest interaction is a bond, an effective hopping,

$$\stackrel{~}{W}=\frac{W_1W_2}{\kappa \mathrm{\Omega }}$$
(3)
and in the case it is a hopping we obtain,

$$\stackrel{~}{J}=\frac{J_2J_3}{\kappa \mathrm{\Omega }}$$
(4)
The new Hamiltonian has exactly the same form as the original one, but now the system is formed by spin clusters and effective bonds. Note that the resulting flow equations, Eqs. (3) and (4), present a duality between $`W`$ and $`J`$. We find that for the $`XKN`$ model the parameter $`\kappa =1`$, so that the recursion relations for this model map exactly into those of the $`RTIM`$ fisher2 . For the $`XYKN`$ model, we get $`\kappa =4/\sqrt{6}1.63`$.

The method is implemented numerically on samples of sizes up to $`L=2^{18}`$ and averages over $`10^2`$ configurations. We use rectangular distributions for the local bonds and hopping terms. Periodic boundary conditions are applied. The relevant parameter is the ratio $`(J_0/W_0)`$ of the cut-offs of the original distributions. Furthermore we take $`W_0=1`$ such that $`J_0`$ is taken as the control parameter. The dual nature of the recursion relations allows to locate the random $`QCP`$ at $`J_0=1`$ for any $`\kappa `$.

We measure the distance to the random $`QCP`$ by the variable

$$\delta =\frac{<\mathrm{ln}J><\mathrm{ln}W>}{var(\mathrm{ln}J)+var(\mathrm{ln}W)}$$
(5)
where $`<>`$ means average over quenched disorder and $`var(x)`$ denotes the variance. Of course $`\delta =0`$ for $`J_0=1`$.

At the $`QCP`$, $`J_0=1`$ or $`\delta =0`$, the parameter $`\kappa 1`$ is irrelevant senthil  and we obtain for both models a behavior associated with a random singlet phase of the local moments. This is characterized by the fact that the fixed point distributions of bonds, $`P_J(J_i)`$, and hoppings, $`P_W(W_i)`$, have power-law forms,

$`P_J(J_i,\mathrm{\Omega })={\displaystyle \frac{\alpha _J}{\mathrm{\Omega }}}\left({\displaystyle \frac{\mathrm{\Omega }}{J}}\right)^{1\alpha _J}\theta (\mathrm{\Omega }J)`$
$`P_W(W_i,\mathrm{\Omega })={\displaystyle \frac{\alpha _W}{\mathrm{\Omega }}}\left({\displaystyle \frac{\mathrm{\Omega }}{W}}\right)^{1\alpha _W}\theta (\mathrm{\Omega }W)`$ (6)
with the exponents $`\alpha _W`$ and $`\alpha _J`$ depending on the cut-off $`\mathrm{\Omega }`$. They are given by,

$$\alpha _W=\alpha _J=\frac{1}{\mathrm{ln}\mathrm{\Omega }}$$
(7)
The physical behavior of the thermodynamic quantities as a function of temperature $`T`$, which arises from such distributions of interactions is extensively described in the literature fisher2 ; qc ; fisher . It is given by power laws with logarithmic corrections.

For the anisotropic $`KN`$ model, the $`QCP`$ at $`J_0=1`$ separates a disordered antiferromagnetic phase ($`J_0<1`$) from a dense Kondo compensated phase ($`J_0>1`$). The phase for $`J_0<1`$ of the $`XYKN`$ model, where $`P_J(J_i)`$ becomes negligeable under iteration, is identified, from the limit $`J_0=0`$, as a random singlet phase. In fact this limit corresponds to the strongly disordered $`XY`$ quantum chain which, as shown by Fisher fisher1 , exhibits a random singlet phase. The nature of the disordered Kondo compensated phase for $`J_0>1`$ is very similar in both $`KN`$ models and will be discussed in detail below.

Above and below, but close to criticality, the recursion relations in Eqs. (3) and (4), give rise to Griffiths phases with a range $`0<|\delta |<\delta _G`$. In each side of the $`QCP`$ such phases are dominated by rare, very large clusters of the opposite phase. They are also characterized by power law behavior of the probabilities distributions, as in Eq. (6), but in this case with exponents which depend on the distance $`\delta `$ to the $`QCP`$. As an illustration, we show in Fig. 2 the exponent $`\alpha _J`$, in the disordered phase ($`J_0>1`$) as a function of the cut-off $`\mathrm{\Omega }`$, as $`\mathrm{\Omega }`$ is reduced under iteration, for different distances ($`\delta <\delta _G`$) of the random $`QCP`$. For small $`\delta `$, sufficiently close to the $`QCP`$, the finite intercept for $`(1/\mathrm{ln}\mathrm{\Omega })0`$ is directly proportional to this distance $`\delta `$ fisher2 .

The range $`\delta _G`$ of the Griffiths phases in control parameter space depends on the original distributions of the interactions. For gapless distributions, i.e., those unbound from below, the Griffiths phases extend all over the phase diagram iglu1 ; iglu2 . For bounded distributions from below, i.e., with a low energy gap, they have a finite extension around the $`QCP`$.

The divergence of the susceptibility in the Griffiths phase is given by, $`\chi _0(T)T^{1/z_\kappa (\delta )1}`$ where $`z`$ is the dynamical exponent iglu1 ; iglu2 . The behavior of the specific heat in this phase is given by, $`C_V(T)/TT^{1+1/z_\kappa (\delta )}`$ and for small magnetic fields $`H`$, the magnetization, $`MH^{1/z_\kappa (\delta )}`$. The $`z`$ exponent has the usual meaning of a dynamic exponent in quantum phase transitions in that it relates length and time scales. It is an invariant of the $`RG`$ equations, Eqs. (3, 4), and assumes the values $`z=\mathrm{}`$ and $`z=1`$ at the random $`QCP`$ ($`\delta =0`$) and at the border of the Griffiths phase ($`|\delta |=\delta _G`$), respectivelyiglu2 ; iglu3 .

Fig. 3 shows the dynamic exponents $`z_\kappa (\delta )`$ for both $`XKN`$ and $`XYKN`$ models in the Griffiths phase, at $`J_0>1`$, for rectangular unbound distributions. Due to its invariance along the iteration process this exponent is very useful to characterize the temperature dependence of different thermodynamic quantities in all the Griffiths phase. For the original gapless distributions used to obtain $`z_\kappa (\delta )`$ in this figure, this phase extends for all $`\delta >0`$ iglu2 ; iglu3 . Note from Fig. 3 that for sufficiently small $`\delta `$, $`z_\kappa (\delta )^1\delta `$ fisher1 ; iglu1 .

Starting the iteration with a distribution $`P_J(J_i)`$ with a gap, in the disordered Kondo phase ($`J_0>1`$) we obtain for both the $`XKN`$ and $`XYKN`$, besides the Griffiths phase for $`\delta <\delta _G`$, a strongly disordered random Kondo phase ($`RKP`$) for $`\delta >\delta _G`$. This phase consists essentially of a collection of isolated Kondo singlets with a distribution of excitation energies. It is natural then to describe such phase using a distribution of Kondo temperatures miranda .

In Fig. 4 we show the uniform susceptibility as a function of temperature, $`\chi (T)`$, for the $`XKN`$ model, calculated far away from the random $`QCP`$, deep in the disordered Kondo phase for two initial distributions $`P_J(J_i)`$. When the original distribution of Kondo couplings $`J_i`$ has a finite gap $`\mathrm{\Delta }_J`$ at low energies, the susceptibility (solid line) does not diverge at low $`T`$ as shown in the figure. In this case the weakly disordered Griffiths phase extends to $`\delta <\delta _G=0.358`$ which corresponds to a gap in the original $`P_J(J_i)`$ of $`\mathrm{\Delta }_J<0.156`$. The susceptibility shown is for $`\delta =0.44>\delta _G`$, in the $`RKP`$. It is clear that in this case the fixed point distribution of gaps or Kondo temperatures does not become sufficiently singular in the $`RKP`$ to yield a diverging susceptibility. In the same figure we show the temperature dependent susceptibility for an initial unbound distribution of interactions, i.e., a rectangular distribution with no gap. The susceptibility now diverges as $`T0`$. Since in this case of gapless distributions, the Griffiths phase extends all over the disordered Kondo region, $`\delta >0`$, the divergence of $`\chi (T)`$ is clearly associated with this Griffiths phase. Similar behavior is found for the $`XYKN`$ model.

In summary, we have studied the effects of strong disorder in the $`KN`$ model for heavy fermion systems using a perturbative $`RG`$ approach. Differently from the case of weak disorder tati1 , strong disorder is a relevant perturbation and gives rise to Griffiths phases which for distributions with a gap extend over finite regions of the phase diagram, above and below the $`QCP`$. For $`J_0>1`$, in the strongly disordered regime above the Griffiths phase, we find a random Kondo phase which consists of a collection of isolated singlets with random excitation energies. It is natural to describe such a phase by a model with a distribution of Kondo temperatures miranda . The susceptibility however does not diverge at low temperatures in the $`RKP`$. We observe a diverging susceptibility in the case of lower unbound distributions where the Griffiths phase extends all over the disordered region. Consequently our results indicate that a diverging $`\chi (T)`$ is due to a Griffiths phase. It can not be obtained in a model of isolated Kondo singlets with random Kondo temperatures. A fixed point distribution $`P_J(J_i)`$ of the power law type, that gives rise to a diverging $`\chi (T)`$, is incompatible with the existence of isolated singlets. In the Griffiths phases, the temperature dependence of the thermodynamic quantities is expressed in terms of the dynamic exponent $`z`$. We have obtained this exponent for both $`KN`$ models as a function of the distance to the $`QCP`$ for gapless distributions.

At the random QCP of both the $`XKN`$ and the $`XYKN`$ there are random singlet phases characterized by thermodynamic quantities with power law behavior, arising from distributions of interactions like in Eqs. (3) and (4), with weakly temperature dependent exponents. For the disordered $`XKN`$ model there is a disordered antiferromagnetic phase for $`J_0<1`$ ($`\delta <0`$). The dense Kondo phase for $`J_0>1`$ ($`\delta >0`$) is similar in both $`KN`$ models studied. For the $`XYKN`$ with $`J_0<1`$ ($`\delta <0`$) there is a random singlet phase coexisting for some range of $`\delta `$, which depends on the original distributions, with a weakly disordered Griffiths phase fisher2 . The exact mapping of the recursion relations for the $`XKN`$ on those of the $`RTIM`$ allows to carry on the extensive results obtained on the latter to the present former model. It enables us to show unambiguously the existence of non-Fermi liquid behavior in strongly disordered heavy fermions associated with Griffiths phases.

###### Acknowledgements.

The authors are grateful to the Brazilian agencies FAPERJ, CNPq and CAPES for financial support.