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# Conformally invariant powers of the ambient Dirac operator

## 1. Introduction

Recent work in even-dimensional conformal geometry ,, ,  has revealed the importance of conformally invariant powers of the Laplacian on a conformal manifold; that is, of operators $`P_k`$ whose principal part is the same as $`\mathrm{\Delta }^k`$ with respect to a representative of the conformal structure. These invariant powers of the Laplacian were first defined in  in terms of the Fefferman-Graham  ambient Lorentzian structure. The present paper defines conformally invariant powers of the Dirac operator by generalizing the construction of .

It is well-known that the usual Dirac operator $`\text{}`$, under a conformal transformation $`g\widehat{g}=\lambda ^2g`$, transforms (acting on spinor densities of weight $`0`$) via

$$\widehat{\text{}}\psi =\frac{1}{\lambda ^2}\text{}(\lambda \psi ).$$

Such an operator is called conformally covariant of bidegree $`(2,1)`$ in . However, the operator we shall study in this paper is not the usual Dirac operator, but rather comes from the Dirac operator of the ambient Lorentzian manifold constructed in . Our approach is nearly parallel to the construction of conformally invariant powers of the Laplacian in . However, there are many subtleties involved in the study of the Dirac operator which are not present in the case of the Laplacian.

Our main results are summarized as follows, stated somewhat imprecisely:

###### Main Theorem.

Let $`M`$ be a manifold of dimension $`n`$. Let $`G,\stackrel{~}{G}`$ be as in .

1. Let $`\mathrm{\Psi }`$ be a spinor on $`G`$ of conformal weight $`w=p\frac{1}{2}n`$. Let $`\psi `$ be an extension of $`\mathrm{\Psi }`$ to a spinor on $`\stackrel{~}{G}`$ also of conformal weight $`w`$. Then $`\left(x\text{}^{2p}\psi \right)|_G`$ is a spinor on $`G`$ of conformal weight $`p\frac{1}{2}n+1`$ independent of the choice of extension $`\psi `$. Thus $`\mathrm{\Psi }\left(x\text{}^{2p}\psi \right)|_G`$ is a conformally invariant operator.
2. Let $`\mathrm{\Psi }`$ have conformal weight $`w=p\frac{1}{2}n+1`$. Let $`\psi `$ be a “preferred” extension of $`\mathrm{\Psi }`$ of conformal weight $`w`$. Then $`\left(\text{}^{2p+1}\psi \right)|_G`$ is a spinor on $`G`$ of conformal weight $`p\frac{1}{2}n`$ independent of the choice of preferred extension $`\psi `$. Thus $`\mathrm{\Psi }\left(\text{}^{2p+1}\psi \right)|_G`$ is a conformally invariant operator.

Here $`x`$ is a $`C^{\mathrm{}}`$-linear operator related to the Euler field, which will be defined in Section 3. Part 1 of the main theorem is not surprising, considering the result Proposition 2.1 in , and we shall show that $`\left(x\text{}^{2p}\psi \right)|_G`$ arises naturally as the obstruction to an asymptotic expansion problem by analogy with Proposition 2.2 in . Part 2 has no analog in . Furthermore, we show that the operator $`\left(\text{}^{2p+1}\psi \right)|_G`$ arises naturally as the obstruction to a different asymptotic expansion problem.

## 2. The ambient space

Let $`M`$ be a manifold of dimension $`n`$ with a conformal metric $`[g]`$ of signature $`(p,q)`$. Let $`[w]`$ be the line bundle of conformal densities of weight $`w`$ on $`M`$. Let $`G\stackrel{𝜋}{}M`$ be the principal $`_{>0}`$-bundle of representatives of the conformal class on $`M`$. Define a one-parameter family of dilation diffeomorphisms $`\delta _s:GG`$ by $`\delta _s(x,g)=(x,s^2g)`$. The Euler field is then the vector field $`X`$ on $`G`$ defined by

$$Xf(p)=\frac{d}{ds}f(\delta _sp)|_{s=0},$$

for $`fC^{\mathrm{}}(G),pG`$. In abstract indices, we shall denote the Euler field by $`x^a`$. There is a tautological bilinear form $`g_0`$ on $`G`$ of signature $`(p,q,0)`$ given at a point $`(x,g)G`$ by

$$g_0(Y,Z)=g(\pi _{}Y,\pi _{}Z).$$

Note that

(2.1)
$$g_0(X,)=0$$

Let $`\stackrel{~}{G}`$ be a formal neighborhood of $`G\times \{0\}`$ in $`G\times [0,1)`$. The $`\delta _s`$ extends to a diffeomorphism of $`\stackrel{~}{G}`$, and so $`X`$ extends to a vector field on $`\stackrel{~}{G}`$ as well. In  it is proven that $`g_0`$ has a unique formal extension to a formal metric $`\stackrel{~}{g}`$ of signature $`(p+1,q+1)`$ on $`\stackrel{~}{G}`$ such that $`\delta _s^{}\stackrel{~}{g}=s^2\stackrel{~}{g}`$ and $`\text{Ric}(\stackrel{~}{g})=0`$. For odd $`n`$, this formal extension is defined to infinite order. For even $`n`$, the extension is defined in general only to order $`n/2`$.

We suppose that $`M`$ is a spin manifold (i.e., $`w_2(M)=0`$). Then since $`G`$ and $`G\times [0,1)`$ are retractable to $`M`$, $`G`$ and $`\stackrel{~}{G}`$ each carry a spin structure as well. Let $`𝒮(M),𝒮(G),𝒮(\stackrel{~}{G})`$ be the spin bundles of $`M`$, $`G`$ and $`\stackrel{~}{G}`$, respectively. Let $`𝒮(G)[w]`$ (resp. $`𝒮(\stackrel{~}{G})[w]`$) denote the sheaf of all sections $`\psi `$ of $`𝒮(G)`$ (resp. $`𝒮(\stackrel{~}{G})|_G`$) such that $`_X\psi =w\psi `$.

###### 2.1 Observation.

There is a natural inclusion $`𝒮(G)𝒮(\stackrel{~}{G})|_G`$. Consider the relationship between $`𝒮(M)`$ and $`𝒮(G)`$. Since the metric on $`G`$ is degenerate of signature $`(p,q,0)`$, its Clifford algebra is isomorphic to $`Cl(p,q)`$ with one element $`x`$ adjoined which anticommutes with every other element and such that $`x^2=0`$. Thus, in any irreducible representation of $`Cl(p,q,0)`$, one has $`x=0`$. Hence in particular

(2.2)
$$𝒮(G)𝒮(M)\times _MG.$$

Henceforth we shall work primarily with the ambient structure on $`\stackrel{~}{G}`$. Thus denote by $`g_{ab}`$ the Fefferman-Graham metric on $`\stackrel{~}{G}`$. Let $`_a`$ be the Levi-Civita connection for the ambient structure. Let us record the following facts from  and  for future reference

(2.3)
$$_ax_b=g_{ab}$$

and

(2.4)
$$_b_cx_d=R_{abcd}x^a=0.$$

## 3. The graded Lie algebra

Let $`\gamma :T_p\stackrel{~}{G}\text{End}\left(𝒮(\stackrel{~}{G})_p\right)`$ be the Clifford representation of the tangent space at $`p`$. We may regard $`\gamma `$ as an element of $`T_p^{}\stackrel{~}{G}𝒮(\stackrel{~}{G})`$, and thus identify $`\gamma `$ with the indexed operator $`\gamma _a`$. The Clifford algebra $`Cl(\stackrel{~}{G})`$ is defined by the relation

(3.1)
$$\gamma _a\gamma _b+\gamma _b\gamma _a=2g_{ab}$$

and give this algebra the usual $`_2`$-grading by the number of factors of $`\gamma `$ occuring in its elements. Let $`x^a`$ denote the Euler field. Consider the graded Lie algebra $`𝔤`$ generated by

(3.2) $`x`$ $`=\gamma ^ax_a`$
$`y`$ $`=\gamma ^a_a`$
$`h`$ $`=x^a_a+{\displaystyle \frac{n+2}{2}},`$
where the grading is again determined by parity of the number of $`\gamma `$’s in an element. Recall that in a $`_2`$-graded Lie algebra, the commutator of two elements $`\alpha `$ of degree $`p`$ and $`\beta `$ of degree $`q`$ is given in the enveloping algebra $`E(𝔤)`$ by

$$[\alpha ,\beta ]=\alpha \beta (1)^{pq}\beta \alpha .$$

Let $`Q=x^2`$, $`\mathrm{\Delta }=y^2`$ in $`E(𝔤)`$. Note that $`y`$ is precisely the Dirac operator $`\text{}`$. Of course, by the Lichnerowicz formula, $`y^2=\text{}^2=\mathrm{\Delta }+\frac{1}{4}\text{tr Ric}(\stackrel{~}{g})=\mathrm{\Delta }`$ (in our case) where $`\mathrm{\Delta }`$ is the usual covariant Laplacian acting on spinors. Furthermore, it is clear that $`Q=0`$ on $`G`$.

###### 3.1 Proposition.

The following commutation relations hold in $`𝔤`$:

(3.3) $`[x,x]`$ $`=`$ $`2Q`$
(3.4) $`[y,y]`$ $`=`$ $`2\mathrm{\Delta }`$
(3.5) $`[x,y]`$ $`=`$ $`2h`$
(3.6) $`[Q,x]`$ $`=`$ $`0`$
(3.7) $`[Q,y]`$ $`=`$ $`2x`$
(3.8) $`[Q,h]`$ $`=`$ $`2Q`$
(3.9) $`[\mathrm{\Delta },x]`$ $`=`$ $`2y`$
(3.10) $`[\mathrm{\Delta },y]`$ $`=`$ $`0`$
(3.11) $`[\mathrm{\Delta },h]`$ $`=`$ $`2\mathrm{\Delta }`$
(3.12) $`[\mathrm{\Delta },Q]`$ $`=`$ $`4h`$
(3.13) $`[x,h]`$ $`=`$ $`x`$
(3.14) $`[y,h]`$ $`=`$ $`y`$
###### Remark.

$`𝔤`$ is isomorphic to the orthosymplectic Lie superalgebra $`𝔬𝔰𝔭_{1,2}`$, although this fact is not used anywhere in the paper.

###### Proof of Propostion..

(3.3), (3.4) are trivial consequences of the definition of $`Q`$ and $`\mathrm{\Delta }`$, respectively.

(3.5): For a spinor $`\psi `$, we have

$`[x,y]\psi `$ $`=\gamma ^ax_a\gamma ^b_b\psi +\gamma ^b_b\gamma ^ax_a\psi `$
$`=\gamma ^a\gamma ^bx_a_b\psi +\gamma ^b\gamma ^a(_bx_a)\psi +\gamma ^b\gamma ^ax_a_b\psi `$
$`=(\gamma ^a\gamma ^b+\gamma ^b\gamma ^a)x_a_b\psi +\gamma ^b\gamma ^a(_bx_a)\psi `$
$`=2g^{ab}x_a_b\psi +\gamma ^b\gamma ^ag_{ba}\psi `$ by (3.1) and (2.3)
$`=2h\psi `$
(3.6): Follows immediately from $`Q=x^2`$.

(3.7):

$`[Q,y]\psi `$ $`=Q\gamma ^a_a\psi \gamma ^a_a(Q\psi )`$
$`=Q\gamma ^a_a\psi \gamma ^aQ_a\psi \gamma ^a(_aQ)\psi `$
$`=\gamma ^a_a(x^bx_b)\psi `$ by definition of $`Q`$
$`=2\gamma ^ax^b(_ax_b)\psi `$
$`=2\gamma ^ax^bg_{ab}\psi `$ by (2.3)
$`=2x\psi `$
(3.8):

$`[Q,h]\psi `$ $`=Qx^a_a\psi x^aQ_a\psi x^a(_aQ)\psi `$
$`=2x^ax^b(_ax_b)\psi `$
$`=2Q\psi `$ by (2.3)
(3.9):

$`[\mathrm{\Delta },x]\psi `$ $`=\mathrm{\Delta }(x\psi )x(\mathrm{\Delta }\psi )`$
$`=(\mathrm{\Delta }x)\psi +2(^ax)(_a\psi )+x(\mathrm{\Delta }\psi )x(\mathrm{\Delta }\psi )`$
$`=\gamma ^a(^b_bx_a)\psi +2\gamma ^a_a\psi `$ by (2.3)
$`=\gamma ^a(^bg_{ba})\psi +2y\psi `$ by (2.3)
$`=2y\psi `$ since $`^b`$ is Levi-Civita
(3.10): Follows from $`\mathrm{\Delta }=y^2`$.

(3.11): For this, note that the curvature endomorphism $`[_a,_b]`$ extends to an endomorphism of the spin bundle, which we denote by $`R_{ab}`$. It then follows from (2.4) that

(3.15)
$$x^aR_{ab}=0.$$

Differentiating this relation gives

$`0`$ $`=^bx^aR_{ab}\psi `$
$`=(^bx^a)R_{ab}\psi +x^a^bR_{ab}\psi `$
$`=x^a^bR_{ab}\psi `$ by skew-symmetry of $`R_{ab}`$.
Thus we have

(3.16)
$$x^a^bR_{ab}=0$$

Applying (3.15) and (3.16) respectively yields the following identity:

(3.17)
$$x^a_a^b_b\psi =x^a^b_b_a\psi $$

Now, we have

$`[\mathrm{\Delta },h]\psi `$ $`=_b^bx^a_a\psi x^a_a_b^b\psi `$
$`=_b(^bx^a)_a\psi +(^bx^a)_b_a\psi +x^a^b_b_a\psi x^a_a_b^b\psi `$
$`=_bg^{ba}_a\psi +g^{ba}_b_a\psi +x^a^b_b_a\psi x^a_a^b_b\psi `$ by (2.3)
$`=2\mathrm{\Delta }\psi +x^a^b_b_a\psi x^a_a^b_b\psi `$
$`=2\mathrm{\Delta }\psi `$ by (3.17)
(3.12):

$`[\mathrm{\Delta },Q]\psi `$ $`=(\mathrm{\Delta }Q)\psi +2(_aQ)(^a\psi )`$
$`=2(^bx^a)(_bx_a)\psi +x^a(^b_bx_a)\psi +4(x^c_ax_c)(^a\psi )`$
$`=(2(n+2)+4x_a^a)\psi `$ by (2.3)
$`=4h`$
(3.13):

$`[x,h]\psi `$ $`=\gamma ^ax_ax^b_b\psi x^b_b\gamma ^ax_a`$
$`=\gamma ^ax_ax^b_b\psi x^b\gamma ^a(_bx_a)\psi x^a\gamma ^ax_a_b\psi `$
$`=x^b\gamma ^a(_bx_a)`$
$`=x`$ by (2.3)
(3.14):

$`[y,h]`$ $`=\gamma ^a_ax^b_bx^b_b\gamma ^a_a`$
$`=\gamma ^a(_ax^b)_b+\gamma ^ax^b_a_bx^b\gamma ^a_b_a`$
$`=\gamma ^b_b+\gamma ^ax^bR_{ab}`$ by (2.3)
$`=\gamma ^b_b`$ by (3.16)
$`=y`$
The opposite algebra $`𝔤^{}`$ is defined to be the graded Lie algebra generated by the elements of $`𝔤`$ with the relation

$$[\alpha ,\beta ]_𝔤^{}=(1)^{pq}[\alpha ,\beta ]_𝔤,$$

where $`\alpha `$ and $`\beta `$ are homogeneous of $`_2`$-degree $`p`$ and $`q`$, respectively. We have the following corollary to Proposition 1, easily verified by inspection of the relations for $`𝔤`$:

###### 3.2 Corollary.

The operation interchanging $`x`$ with $`y`$, $`Q`$ with $`\mathrm{\Delta }`$, and $`h`$ with $`h`$ determines an isomorphism

$$𝔤𝔤^{}.$$

###### 3.3 Proposition.

Let $`q(t)`$ be a polynomial in one indeterminant and $`p`$ a nonnegative integer. Then the following identities hold in $`E(𝔤)`$:

(3.18) $`q(h)y^p`$ $`=y^pq(hp)`$
(3.19) $`y^pq(h)`$ $`=q(h+p)y^p`$
(3.20) $`q(h)x^p`$ $`=x^pq(h+p)`$
(3.21) $`x^pq(h)`$ $`=q(hp)x^p`$
###### Proof.

It suffices to show (3.18), since (3.19) is then immediate, and (3.20), (3.21) follow by Corollary 3.2. By linearity, it suffices to check the case where $`q(h)=h^r`$. Furthermore, it suffices to prove the result for $`r=1`$ since then

$$h^{r1}hy^p=h^{r1}y^p(hp),$$

and the result follows by induction. Now,

$`hy^p`$ $`=[h,y]y^{p1}+yhy^{p1}`$
$`=y^p+yhy^{p1}`$ by (3.14)
and the result now follows by induction on $`p`$. ∎

###### 3.4 Proposition.

Let $`p`$ be a positive integer. The following equations hold in $`E(𝔤)`$:

(3.22) $`[y^{2p},x]`$ $`=`$ $`2py^{2p1}`$
(3.23) $`[y^{2p+1},x]`$ $`=`$ $`2y^{2p}(hp)`$
(3.24) $`[y^{2p},x^2]`$ $`=`$ $`4py^{2p2}(hp+1)`$
(3.25) $`[y^{2p+1},x^2]`$ $`=`$ $`4py^{2p1}(hp)+2y^{2p}x`$
(3.26) $`[x^{2p},y]`$ $`=`$ $`2px^{2p1}`$
(3.27) $`[x^{2p+1},y]`$ $`=`$ $`2x^{2p}(h+p)`$
(3.28) $`[x^{2p},y^2]`$ $`=`$ $`4px^{2p2}(h+p1)`$
(3.29) $`[x^{2p+1},y^2]`$ $`=`$ $`2x^{2p}y4px^{2p1}(h+p)`$
###### Proof.

Note that it suffices to prove (3.22), (3.23), (3.24), and (3.25), for then the remaining identities follow by Corollary 3.2.

We first show (3.22). Write

$`[y^{2p},x]`$ $`={\displaystyle \underset{j=1}{\overset{2p}{}}}(1)^{j1}y^{2pj}[x,y]y^{j1}`$
$`=2{\displaystyle \underset{j=1}{\overset{2p}{}}}(1)^{j1}y^{2pj}hy^{j1}`$
$`=2{\displaystyle \underset{j=1}{\overset{2p}{}}}(1)^{j1}y^{2p1}(hj+1)`$ by (3.18)
$`=2y^{2p1}{\displaystyle \underset{j=1}{\overset{2p}{}}}(1)^j(j1)`$
$`=2py^{2p1}`$
Now, for (3.23),

$`[y^{2p+1},x]`$ $`={\displaystyle \underset{j=1}{\overset{2p+1}{}}}(1)^{j1}y^{2p+1j}[x,y]y^{j1}`$
$`=2{\displaystyle \underset{j=1}{\overset{2p+1}{}}}(1)^{j1}y^{2p}(hj+1)`$ by (3.18)
$`=2y^{2p}\left(h{\displaystyle \underset{j=1}{\overset{2p+1}{}}}(1)^{j1}(j1)\right)`$
$`=2y^{2p}(hp)`$
(3.24) is proven as follows

$`[y^{2p},x^2]`$ $`=[y^{2p},x]x+x[y^{2p},x]`$
$`=2p(y^{2p1}x+xy^{2p1})`$ by (3.22)
$`=2p[y^{2p1},x]`$
$`=4py^{2p2}(hp+1)`$ by (3.23)
Finally, for (3.25),

$`[y^{2p+1},x^2]`$ $`=[y^{2p+1},x]xx[y^{2p+1},x]`$
$`=2y^{2p}(hp)x2xy^{2p}(hp)`$ by (3.23)
$`=2y^{2p}x(hp+1)2xy^{2p}(hp)`$ by (3.20)
$`=2[y^{2p},x](hp)+2y^{2p}x`$
$`=4py^{2p1}(hp)+2y^{2p}x`$ by (3.22)
###### 3.5 Proposition.

Let $`p`$ be a positive integer. For an indeterminant $`t`$, let $`[t]^p`$ denote the following polynomial

$$[t]^p=t(t+1)\mathrm{}(t+p1).$$

Then the following equations hold in $`E(𝔤)`$:

(3.30) $`y^{2p}x^{2p}`$ $`=`$ $`2^{2p}p![h]^p+x^2Z_{2p}`$
(3.31) $`y^{2p+1}x^{2p+1}`$ $`=`$ $`2^{2p+1}p![h1]^{p+1}+2^{2p}p![h]^pyx+x^2Z_{2p+1}`$
for some polynomials $`Z_{2p},Z_{2p+1}`$ in $`x,y,h`$.

###### Proof.

We first prove (3.30). We have

$`y^{2p}x^{2p}`$ $`=[y^{2p},x^2]x^{2p2}+x^2y^{2p}x^{2p2}`$
$`=4py^{2p2}(hp+1)x^{2p2}+O(x^2)`$ by (3.24)
$`=4py^{2p2}x^{2p2}(h+p1)+O(x^2)`$ by (3.20)
and (3.30) follows by induction.

For (3.31),

$`y^{2p+1}x^{2p+1}`$ $`=xy^{2p+1}x^{2p}+[y^{2p+1},x]x^{2p}`$
$`=xy^{2p+1}x^{2p}+2x^2y^{2p}x^{2p2}(h+p)`$
$`+2[y^{2p},x^2]x^{2p2}(h+p)`$ by (3.23), (3.20)
$`=xy^{2p+1}x^{2p}+8py^{2p2}x^{2p2}(h+p1)+O(x^2)`$ by (3.24), (3.20)
$`=xy2^{2p}p!(h)^p+`$
$`+8p2^{2p2}(p1)![h]^{p1}(h+p1)+O(x^2)`$ by (3.30)
$`=(1{\displaystyle \frac{1}{2}}[x,y]+{\displaystyle \frac{1}{2}}yx)2^{2p+1}p![h]^p+O(x^2)`$
$`=(1{\displaystyle \frac{1}{2}}h+{\displaystyle \frac{1}{2}}yx)2^{2p+1}p![h]^p+O(x^2)`$ by (3.5)
$`=2^{2p+1}p![h1]^{p+1}+2^{2p}p![h]^pyx+O(x^2)`$ by (3.19), (3.21)
as required. ∎

## 4. Structure of the spin bundle

###### 4.1 Proposition.

Let $`\psi \mathrm{\Gamma }(𝒮(\stackrel{~}{G}))`$. The following are equivalent

1. $`\psi `$ extends some spinor $`\mathrm{\Psi }\mathrm{\Gamma }(𝒮(G))`$.
2. $`(x\psi )|_G=0`$.
3. There is a $`\varphi \mathrm{\Gamma }(𝒮(\stackrel{~}{G}))`$ such that $`\psi =x\varphi `$.

First, there is a useful lemma, which is also of independent interest:

###### 4.2 Lemma.

Regard $`x`$ as a linear mapping $`𝒮(\stackrel{~}{G})|_G𝒮(\stackrel{~}{G})|_G`$. Then the kernel of $`x`$ is equal to the image of $`x`$.

###### Proof.

By (2.1), $`x^2=0`$. Hence $`\text{im }x\mathrm{ker}x`$. For the reverse inclusion, it suffices to prove that $`dim\mathrm{ker}x=dim\text{im }x`$.

Note that the Euler field $`x^a`$ is null on $`G`$ by (2.1). Therefore, after a dilation as necessary, the vector $`x^a`$ can be represented with respect to an orthonormal basis by

$$x^0=1,x^1=1,x^i=0\text{ for }i2.$$

Thus, $`x=\gamma _0+\gamma _1`$ where $`(\gamma _0)^2=1`$, $`(\gamma _1)^2=1`$. The condition $`x\psi =0`$ on $`G`$ is equivalent to

(4.1)
$$(\gamma _0+\gamma _1)\psi =0.$$

Multiplying (4.1) by $`\gamma _0`$ gives

(4.2)
$$(1+\gamma _0\gamma _1)\psi =0.$$

Let $`T=\gamma _0\gamma _1`$. Then

$$T^2=\gamma _0\gamma _1\gamma _0\gamma _1=(\gamma _0)^2(\gamma _1)^2=1.$$

Thus the only eigenvalues of $`T`$ are $`\pm 1`$. It suffices to prove that $`T`$ has an equal number of $`+1`$ and $`1`$ eigenvalues, for this then implies that $`dim\mathrm{ker}x=dim\text{im }x`$.

We have that

$`T`$ $`=\gamma _1\gamma _0`$
$`=\gamma _1\gamma _0\gamma _1\gamma _1`$
$`=\gamma _{1}^{}{}_{}{}^{1}T\gamma _1.`$
Hence $`T`$ is similar to its negative, and therefore has the same number of $`+1`$ and $`1`$ eigenvalues. ∎

###### Proof of Proposition..

$`12`$: Let $`\mathrm{\Psi }`$ be a spinor in $`\mathrm{\Gamma }(𝒮(G))`$, and let $`\psi `$ be an extension. Then $`(x\psi )|_G=x|_G\mathrm{\Psi }=0`$ by Observation 2.1.

$`21`$: It follows from (2.2) and the general theory of spinors that the fibre dimension of $`𝒮(\stackrel{~}{G})`$ is twice the fibre dimension of $`𝒮(G)`$. Hence, by Lemma 4.2, $`dim\mathrm{ker}x|_G=dim𝒮(G)_p`$. But, because of the proof of $`12`$, $`𝒮(G)\mathrm{ker}x`$; hence we must have $`\mathrm{ker}x=𝒮(G)`$.

$`23`$: Follows immediately from Lemma 4.2. ∎

###### 4.3 Definition.

A spinor $`\psi \mathrm{\Gamma }(𝒮(\stackrel{~}{G}))`$ is $`O(x^k)`$ if there exists $`\theta \mathrm{\Gamma }(𝒮(\stackrel{~}{G}))`$ such that

$$\psi =x^k\theta .$$

The fact that we have used $`\stackrel{~}{G}`$ here makes a subtle but important difference. (For instance, every section of $`𝒮(G)`$ is $`O(x)`$ according to our definition, by Proposition 4.1.) Along these lines, it is convenient to introduce some more notation.

###### 4.4 Definition.

Let $`p`$ be any integer, let $`q`$ be nonnegative integer with $`q>p`$, and let $`w`$. Define

$`𝔰(p,\mathrm{})[w]`$ $`=x^p𝒮(\stackrel{~}{G})[wp]`$ for $`p0`$,
$`𝔰(p,\mathrm{})[w]`$ $`=𝒮(\stackrel{~}{G})[w]`$ for $`p<0`$
and let

$$𝔰(p,q)[w]=𝔰(p,\mathrm{})[w]/s(q,\mathrm{})[w].$$

Thus, $`𝔰(p,q)`$ is spinors of the form $`x^p\psi `$ modulo $`O(x^q)`$. Note that $`𝒮(G)[w]`$ is identified with $`𝔰(1,2)[w]`$, and that $`𝒮(\stackrel{~}{G})[w]|_G`$ is identified with $`𝔰(0,2)[w]`$. Every arrow in the sequence

$$𝔰(0,q)[w]\stackrel{𝑥}{}𝔰(1,q+1)[w+1]\stackrel{𝑥}{}𝔰(2,q+2)[w+2]\stackrel{𝑥}{}\mathrm{}$$

is an isomorphism, although it is natural to maintain a distinction between the individual members of the above sequence, as they are different components of an algebraic system.

###### 4.5 Lemma.

For $`p,q`$ any nonnegative integers with $`q>p`$,

(4.3)
$$y:𝔰(p,q)[w]𝔰(p1,q1)[w1].$$

Furthermore, if $`p>0`$, $`q>p+1`$, and

$$w\{\frac{p}{2}\frac{n}{2},\frac{p}{2}\frac{n}{2}+1,\mathrm{},\frac{q}{2}\frac{n}{2}1\}$$

then $`y`$ is an isomorphism. In the exceptional case $`p>0`$ and $`q=p+1`$, there are two subcases:

(a) $`p=2k`$ is even. In this case, $`y`$ is always an isomorphism, and furthermore

(4.4)
$$\frac{1}{p}y=x^1:𝔰(p,p+1)[w]𝔰(p1,p)[w1]$$

(b) $`p=2k+1`$ odd. In this case, $`y`$ is an isomorphism provided that $`wk\frac{1}{2}n1`$, and

(4.5)
$$\frac{1}{2}(hk)^1y=x^1:𝔰(p,p+1)[w]𝔰(p1,p)[w1]$$

###### Proof.

Consider for instance

$`y(x^{2k}\psi _1+x^{2k+1}\psi _2)`$ $`=2kx^{2k1}\psi _1+x^{2k}y\psi _1+`$
$`+2x^{2k}(h+k)\psi _2x^{2k+1}\psi _2`$ $`\text{by (}\text{3.26}\text{) and (}\text{3.27}\text{)},`$
and (4.3) follows by applying such a calculation successively. To show that this is an isomorphism, suppose given an element of $`𝔰(2k1,q1)[w1]`$:

$$\varphi =x^{2k1}\varphi _1+x^{2k}\varphi _2+\mathrm{}$$

Given that $`x^{2k1}\varphi _1=2kx^{2k1}\psi _1`$ one knows $`\psi _1`$. If $`(h+k)\psi _20`$, then given $`\psi _1`$ and $`\varphi _2`$, one solves the following equation for $`\psi _2`$:

$$x^{2k2}\varphi _2=y\psi _1+2x^{2k}(h+k)\psi _2.$$

In the general case, one can always group terms according to their powers of $`x`$, and inductively solve a system of linear equations, assuming that everything is of the appropriate homogeneity.

Now for the exceptional case $`p>0`$ and $`q=p+1`$, suppose given

$$x^p\psi _1𝔰(p,p+1)[w].$$

If $`p=2k`$, then

$`yx^{2k}\psi `$ $`=2kx^{2k1}\psi +x^{2k}y\psi `$ by (3.26)
$`=2kx^{2k1}\psi +O(x^{2k})`$
which proves (4.4). If $`p=2k+1`$, then

$`yx^{2k+1}\psi `$ $`=2(hk)x^{2k}\psi +x^{2k}y\psi `$ by (3.27) and (3.21)
$`=2(hk)x^{2k}\psi +O(x^{2k+1})`$
which proves (4.5). ∎

## 5. Invariant powers of the Dirac operator: Even case

###### 5.1 Theorem.

Let $`\mathrm{\Psi }𝔰(1,2)[w]`$.

(a) If $`w+\frac{1}{2}n`$ is not a positive integer, then there exists a unique representative $`\psi `$ of $`\mathrm{\Psi }`$ in $`𝔰(1,\mathrm{})[w]`$ such that $`y^2\psi =0`$.

(b) If $`w=p\frac{1}{2}n`$ with $`p`$ a positive integer, then there exists a unique representative $`\psi `$ of $`\mathrm{\Psi }`$ in $`𝔰(1,2p)[w]`$ such that $`y^2\psi =0`$. The obstruction at order $`2p`$ is given by $`(x^{2p+2}y^2\psi )modO(x^2)`$ and is independent of the choice of representative $`\psi `$.

###### Proof.

Let $`\psi _0`$ be an arbitrary representative of $`\mathrm{\Psi }`$ in $`𝔰(1,\mathrm{})`$. Inductively set

$$\psi _p=\psi _{p1}+x^{2p}\varphi $$

for some $`\varphi 𝔰(0,\mathrm{})[w2p]`$, and solve the equation $`y^2\psi _p=O(x^{2p})`$. One has

$`y^2\psi _p`$ $`=y^2\psi _{p1}+y^2x^{2p}\varphi `$
$`=y^2\psi _{p1}+4px^{2p2}(h+p1)\varphi +x^{2p}y^2\varphi `$ by (3.28)
$`=y^2\psi _{p1}+4px^{2p2}(w+{\displaystyle \frac{1}{2}}np)\varphi +O(x^{2p}).`$
Thus the equation $`y^2\psi _p=O(x^{2p})`$ can be solved for $`\varphi `$ uniquely modulo $`O(x^2)`$ provided that $`wp\frac{1}{2}n`$. In case $`w=p\frac{1}{2}n`$, $`y^2\psi _p=y^2\psi _{p1}`$ modulo $`O(x^{2p})`$, so that $`x^{2p+2}y^2\psi _pmodO(x^2)`$ is independent of the choice of $`\varphi `$, and lies in $`𝔰(0,2)`$. ∎

More important for the present purposes is not the obstruction $`x^{2p+2}y^2\psi modO(x^2)`$, but rather $`x^{2p+3}y^2\psi modO(x^2)`$, since the latter is evidently in $`𝔰(1,2)`$. Furthermore $`x^{2p+3}y^2\psi modO(x^2)`$ gives the obstruction at the top degree in $`x`$. The mapping

$$L_{2p}:\mathrm{\Psi }x^{2p+3}y^2\psi modO(x^2)$$

defines a conformally invariant operator $`𝔰(1,2)[p\frac{1}{2}n]𝔰(1,2)[p\frac{1}{2}n+1]`$.

###### 5.2 Theorem.

Let $`p`$ be an integer, let $`w=p\frac{1}{2}n`$, let $`\mathrm{\Psi }𝔰(1,2)[w]`$, and let $`\psi 𝔰(1,\mathrm{})[w]`$ be any representative of $`\mathrm{\Psi }`$. Then $`y^{2p}\psi modO(x^2)𝔰(0,2)[w]`$ does not depend on the choice of representative. Thus

$$R_{2p}:\mathrm{\Psi }xy^{2p}\psi modO(x^2)$$

is a conformally invariant operator $`𝔰(1,2)[p\frac{1}{2}n]𝔰(1,2)[p\frac{1}{2}n+1]`$.

###### Proof.

It suffices by Proposition 4.1 to check that $`y^{2p}x^2\theta =0modO(x^2)`$ for all $`\theta 𝔰(0,\mathrm{})[w2]`$. Thus consider

$`y^{2p}x^2\theta `$ $`=[y^{2p},x^2]\theta +O(x^2)`$
$`=4py^{2p2}(hp+1)\theta +O(x^2)`$
$`=O(x^2)`$ since $`\theta 𝔰(0,\mathrm{})[w2]`$
###### 5.3 Theorem.

$`L_{2p}`$ is a nonzero multiple of $`R_{2p}`$.

###### Proof.

Let $`w=p\frac{1}{2}n`$, and $`\mathrm{\Psi }𝔰(1,2)[w]`$. Let $`\psi `$ be the representative of $`\mathrm{\Psi }`$ with $`y^2\psi =O(x^{2p2})`$. Then $`y^2\psi =x^{2p3}L_{2p}\mathrm{\Psi }`$. Now multiply both sides by $`y^{2p2}`$ to give

(5.1)
$$y^{2p}\psi =y^{2p2}x^{2p3}L_{2p}\mathrm{\Psi }.$$

Write $`L_{2p}\mathrm{\Psi }=x\beta `$ for some $`\beta 𝔰(0,1)[w2p]`$. Then (5.1) gives

$`y^{2p}\psi `$ $`=y^{2p2}x^{2p2}\beta `$
$`=2^{2p2}(p1)![h]^{p1}\beta +O(x^2)`$ by (3.30)
$`=(1)^{p1}2^{2p2}(p1)!^2\beta +O(x^2)`$ by homogeneity
Thus

$`xy^{2p}`$ $`=(1)^p2^{2p2}(p1)!^2x\beta +O(x^2)`$
$`=(1)^p2^{2p2}(p1)!^2L_{2p}\mathrm{\Psi }+O(x^2),`$
which is the required result. ∎

## 6. Invariant powers of the Dirac operator: Odd case

###### 6.1 Theorem.

Let $`\mathrm{\Psi }𝔰(1,2)[w]`$.

(a) If $`w+\frac{1}{2}n1`$ is not a positive integer, then there exists a unique representative $`\psi `$ of $`x^1\mathrm{\Psi }`$ in $`𝔰(0,\mathrm{})[w1]`$ such that $`y\psi =0`$.

(b) If $`w=p\frac{1}{2}n+1`$ with $`p`$ a positive integer, then $`x^1\mathrm{\Psi }`$ has a unique representative $`\psi 𝔰(0,2p+1)[w1]`$ which obeys $`y\psi =0`$. The obstruction to extension of $`\psi `$ at order $`O(x^{2p+1})`$ is given by $`(x^{2p+1}y\psi )modO(x^2)`$, which is independent of the choice of representative $`\psi `$ and therefore defines a conformally invariant operator on $`𝔰(1,2)[w]`$.

###### Proof.

Let $`\psi _0𝔰(0,\mathrm{})`$ be an arbitrary representative of $`x^1\mathrm{\Psi }`$. Inductively, write

$$\psi _k=\psi _{k1}+x^k\varphi $$

for some spinor $`\varphi 𝔰(0,\mathrm{})[wk1]`$, and suppose that $`y\psi _{k1}=O(x^{k1})`$. One may now solve for $`\varphi `$ such that $`y\psi _k=O(x^k)`$. There are two distinct cases:

Case 1. $`k=2p`$.

$`y\psi _{2p}`$ $`=y\psi _{2p1}+yx^{2p}\varphi `$
$`=y\psi _{2p1}[x^{2p},y]\varphi +O(x^{2p})`$
$`=y\psi _{2p1}2px^{2p1}\varphi +O(x^{2p})`$ by (3.26)
$`=x^{2p1}\beta 2px^{2p1}\varphi +O(x^{2p})`$ for some $`\beta `$
(where the last step uses the induction hypothesis). So setting $`\varphi =\frac{1}{2p}\beta `$ gives the desired result.

Case 2. $`k=2p+1`$.

$`y\psi _{2p+1}`$ $`=y\psi _{2p}+yx^{2p+1}\varphi `$
$`=y\psi _{2p}[x^{2p+1},y]\varphi +O(x^{2p+1})`$
$`=y\psi _{2p}2x^{2p}(h+p)\varphi +O(x^{2p+1})`$ by (3.27)
$`=x^{2p}\beta 2x^{2p}(w1+{\displaystyle \frac{n}{2}}p)\varphi +O(x^{2p+1})`$ by induction.
The equation $`y\psi _{2p+1}=O(x^{2p+1})`$ can be solved for $`\varphi `$ if and only if $`wp\frac{n}{2}+1`$. In case $`w=p\frac{n}{2}+1`$, $`y\psi _{2p}=y\psi _{2p+1}`$ modulo $`O(x^{2p+1})`$ independently of $`\varphi `$. Hence, $`x^{2p+1}y\psi _{2p+1}`$ is independent of $`\varphi `$ modulo $`O(x^2)`$. ∎

Thus, to summarize, in the notation of the preceding theorem, the mapping

$$\mathrm{\Psi }L_{2p+1}\mathrm{\Psi }\stackrel{def}{=}(x^{2p+1}y\psi _{2p+1})modO(x^2)$$

is a conformally invariant operator. Furthermore, $`L_{2p+1}`$ maps into $`𝔰(1,2)`$ since

$`xL_{2p+1}\mathrm{\Psi }modO(x^2)`$ $`=x^{2p+2}y\psi _{2p+1}modO(x^2)`$
$`=x^{2p+2}y\psi _{2p}modO(x^2)`$
$`=(x^{2p+2}O(x^{2p}))modO(x^2)`$
$`=0`$
Therefore,

$$L_{2p+1}:𝔰(1,2)[p\frac{n}{2}+1]𝔰(1,2)[p\frac{n}{2}].$$

For the next theorem, given $`\mathrm{\Psi }𝔰(1,2)[w]`$, one needs to be able to define a distinguished class of representatives in $`𝔰(1,3)[w]`$. This distinguished class is supplied by the following. Let $`\mathrm{\Psi }𝔰(1,2)[w]`$. Let $`\psi _0𝔰(0,2)[w1]`$ be the unique representative of $`x^1\mathrm{\Psi }`$ such that $`y\psi _0=0`$. Then $`x\psi _0𝔰(1,3)[w]`$ is a uniquely determined representative of $`\mathrm{\Psi }`$. Call this representative the preferred representative.

###### 6.2 Theorem.

Let $`\mathrm{\Psi }𝔰(1,2)[p\frac{1}{2}n+1]`$, let $`\overline{\psi }`$ be the preferred representative in $`𝔰(1,3)`$, and let $`\psi `$ be any representative of $`\overline{\psi }`$ in $`𝔰(1,\mathrm{})`$. Then $`y^{2p+1}\psi modO(x^2)`$ lies in $`𝔰(1,2)[p\frac{1}{2}n]`$ and is independent of the $`\psi `$ chosen to represent $`\overline{\psi }`$. Therefore it defines a conformally invariant operator

$$R_{2p+1}:𝔰(1,2)[p\frac{1}{2}n+1]𝔰(1,2)[p\frac{1}{2}n].$$

###### Proof.

To see that $`y^{2p+1}\psi modO(x^2)`$ does not depend on the extension $`\psi `$, it suffices to check that $`y^{2k+1}x^3\theta modO(x^2)=0`$ for all $`\theta 𝔰(0,\mathrm{})[p\frac{1}{2}n2]`$. Hence consider

$`y^{2p+1}x^3\theta `$ $`=[y^{2p+1},x^2]x\theta +x^2y^{2p+1}x\theta `$
$`=4py^{2p1}(hp)x\theta +2y^{2p}x^2\theta +x^2y^{2p+1}x\theta `$ by (3.25)
$`=4py^{2p1}x(hp+1)\theta +2[y^{2p},x^2]\theta +O(x^2)`$
$`=4py^{2p1}x(hp+1)\theta +8py^{2p2}(hp+1)\theta +O(x^2)`$ by (3.24)
$`=4p(y^{2p1}x+2y^{2p2})(hp+1)\theta +O(x^2)`$
$`=O(x^2)`$ by homogeneity
as required. So $`R_{2p+1}`$ is a well-defined operator, and it maps into $`𝔰(0,2)[p\frac{1}{2}n]`$.

Now we must check that $`R_{2p+1}\mathrm{\Psi }𝔰(1,2)`$, i.e., that $`xR_{2p+1}\mathrm{\Psi }=0`$.

$`xy^{2p+1}x\varphi `$ $`=x[y^{2p+1},x]\varphi +O(x^2)`$
$`=2pxy^{2p}(hp)\varphi +O(x^2)`$ by (3.23)
$`=O(x^2)`$ by homogeneity.
###### 6.3 Theorem.

$`L_{2p+1}`$ is a nonzero multiple of $`R_{2p+1}`$.

###### Proof.

Let $`\psi `$ be a representative of $`x^1\mathrm{\Psi }`$ in $`𝔰(0,2p+1)[w1]`$ such that $`y\psi =0`$. Then $`y\psi =x^{2p1}L_{2p+1}\mathrm{\Psi }+O(x^{2p+1})`$. Note also that

(6.1)
$$\psi modO(x^2)=\frac{1}{2}h^1y\varphi $$

for some $`\varphi 𝔰(1,3)[w]`$ by (4.5), $`\varphi `$ being a preferred representative of $`\mathrm{\Psi }`$. On the other hand

$$\frac{1}{2}h^1y\psi =Cy\psi $$

for some nonzero constant $`C`$, since $`\psi `$ is homogeneous. Multiplying both sides of (6.1) by $`y^{2p1}`$ gives

$`Cy^{2p+1}\varphi `$ $`=y^{2p}\psi `$
$`=y^{2p1}x^{2p1}L_{2p+1}\mathrm{\Psi }+O(x^2)`$
$`=2^{2p1}(p1)![h1]^pL_{2p+1}\mathrm{\Psi }+`$
$`+2^{2p2}(p1)![h]^{p1}yxL_{2p+1}\mathrm{\Psi }+O(x^2)`$ by (3.31)
$`\stackrel{def}{=}(\text{term 1})+(\text{term 2})+O(x^2)`$
Throughout the remainder of this calculation, terms which are $`O(x^2)`$ will be dropped without comment. For (term 1), note that $`hL_{2p+1}\mathrm{\Psi }=(p1)`$, and so $`[h1]^pL_{2p+1}\mathrm{\Psi }=(1)^pp!\mathrm{\Psi }`$. Thus

(6.2)
$$(\text{term 1})=(1)^{p1}2^{2p2}(p1)!p!L_{2p+1}\mathrm{\Psi }$$

For (term 2), let $`A=2^{2p2}(p1)![h]^{p1}`$ and $`B=2AhL_{2p+1}\mathrm{\Psi }`$. Then

$`(\text{term 2})`$ $`=AyxL_{2p+1}\mathrm{\Psi }`$
$`=BAxyL_{2p+1}\mathrm{\Psi }`$
$`=BAxyx^{2p+1}y\psi `$
$`=BAx^{2p+2}y^2\psi +2Ax^{2p+1}(hp)y\psi `$ by (3.27)
$`=BAx^{2p+2}y^2\psi +2Ax^{2p+1}y(hp1)\psi `$
$`=BAx^{2p+2}y^2\psi `$ by homogeneity
The factor $`x^{2p+2}y^2\psi `$ can be rewritten as follows. Let $`\beta `$ be a spinor such that $`x\beta =L_{2p+1}\mathrm{\Psi }`$. Then

$`x^{2p+2}y^2\psi `$ $`=x^{2p+2}yx^{2p}\beta `$
$`=x^2y\beta 2px\beta `$ by (3.26)
$`=2pL_{2p+1}\mathrm{\Psi }`$
Thus

(term 2) $`=B+2pAL_{2p+1}\mathrm{\Psi }`$
$`=(2^{2p1}(p1)!h[h]^{p1}+2^{2p1}p![h]^{p1})L_{2p+1}\mathrm{\Psi }`$
$`=2^{2p1}\left((1)^{p1}(p1)!+(1)^pp!+(1)^{p1}p!\right)p!L_{2p+1}\mathrm{\Psi }`$
$`=(1)^{p1}2^{2p1}(p1)!p!L_{2p+1}\mathrm{\Psi }`$
Hence $`\text{(term 1)}+\text{(term 2)}`$ is a nonzero multiple of $`L_{2p+1}\mathrm{\Psi }`$, as required. ∎


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# A quantitative model of trading and price formation in financial markets

(January 29, 2002)

## Abstract

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is the standard measure of financial risk, and the spread and price impact functions, which are the main determinants of transaction cost. Guided by dimensional analysis, simulation, and mean field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.

There have recently been efforts to apply physics methods to problems in economics Mantegna00 ; Bouchaud00 . This effort has yielded interesting empirical analyses and conceptual models. However, with the exception of refinements to option pricing theory, so far it has had little success in producing theories that make falsifiable predictions about markets. In this paper we develop a mechanistic model of a standard method for trade matching in order to make quantitative predictions about the most basic properties of markets. This model differs from standard models in economics in that we make no assumptions about agent rationality. The model makes falsifiable predictions based on parameters that can all be measured in real data, and preliminary results indicate that it has substantial explanatory power Daniels02

The random walk model was originally introduced by Bachelier to describe prices, five years before Einstein used it to model Brownian motion Bachelier00 . Although this is one of the most widely used models of prices in financial economics, there is still no understanding of its most basic property, namely, its diffusion rate. We present a theory for how the diffusion rate of prices depends on the flow of orders into the market, deriving scaling relations based on dimensional analysis, mean field theory, and simulation. We also make predictions of other basic market properties, such as the gap between the best prices for buying and selling, the density of stored demand vs. price, and the impact of trading on prices.

Most modern financial markets operate continuously. The mismatch between buyers and sellers that typically exists at any given instant is solved via an order-based market with two basic kinds of orders. Impatient traders submit market orders, which are requests to buy or sell a given number of shares immediately at the best available price. More patient traders submit limit orders, which also state a limit price, corresponding to the worst allowable price for the transaction. Limit orders often fail to result in an immediate transaction, and are stored in a queue called the limit order book. Buy limit orders are called bids, and sell limit orders are called offers or asks. We will label the logarithm of the best (lowest) offering price $`a(t)`$ and the best (highest) bid price $`b(t)`$. There is typically a non-zero price gap between them, called the spread $`s(t)=a(t)b(t)`$.

As market orders arrive they are matched against limit orders of the opposite sign in order of price and arrival time. Because orders are placed for varying numbers of shares, matching is not necessarily one-to-one. For example, suppose the best offer is for 200 shares at $60 and the the next best is for 300 shares at $60.25; a buy market order for 250 shares buys 200 shares at $60 and 50 shares at $60.25, moving the best offer $`a(t)`$ from $60 to $60.25. A high density per price of limit orders results in high liquidity for market orders, i.e., it implies a small price movement when a market order of a given size is placed.

We analyze the queueing properties of such order-matching algorithms with the simple random order placement model shown in Fig. 1.

All the order flows are modeled as Poisson processes. We assume that market orders in chunks of $`\sigma `$ shares arrive at a rate of $`\mu `$ shares per unit time, with an equal probability for buy orders and sell orders. Similarly, limit orders in chunks of $`\sigma `$ shares arrive at a rate of $`\alpha `$ shares per unit price and per unit time. Offers are placed with uniform probability at integer multiples of a tick size $`dp`$ in the range $`b(t)<p<\mathrm{}`$, and similarly for bids on $`\mathrm{}<p<a(t)`$. $`p`$ represents the logarithm of the price, and $`dp`$ is a logarithmic price interval 111In real markets the price interval $`dp`$ is linear rather than logarithmic; as long as $`pdp`$ this is a good assumption.. (To avoid repetition the word price will henceforth refer to the logarithm of price.) When a market order arrives it causes a transaction. Under the assumption of constant order size, a buy market order removes an offer at price $`a(t)`$, and a sell market order removes a bid at price $`b(t)`$. Alternatively, limit orders can be removed spontaneously by being canceled or by expiring. We model this by letting any order be removed randomly with constant probability $`\delta `$ per unit time.

This order placement process is designed to permit an analytic solution. The model builds on previous work modeling the continuous double auction Domowitz94 ; Bollerslev94 ; Eliezer98 ; Maslov00 ; Iori01 ; Challet01 ; Slanina01 . While the assumption of limit order placement over an infinite interval is clearly unrealistic Bouchaud02 ; Zovko02 , it provides a tractable boundary condition for modeling the behavior of the limit order book in the region of interest, near the midpoint price $`m(t)=(a(t)+b(t))/2`$. It is also justified because limit orders placed far from the midpoint usually expire or are canceled before they are executed. For our analytic model we use a constant order size $`\sigma `$. In simulations we also use variable order size, e.g. half-normal distributions with standard deviation $`\sqrt{2/\pi }\sigma `$, which gives similar results.

For simplicity in our model we do not directly allow limit orders that cross the best price. For example, a buy order of size $`x+y`$ may have a limit price that is higher than the best ask, so that $`x`$ shares immediately result in a trade, and $`y`$ shares remain on the book. Such an order is indistinguishable from a market order for $`x`$ shares immediately followed by a non-crossing limit order for $`y`$ shares. By definition our model implicitly allows such events, though it neglects the resulting correlation in order placement.

Dimensional analysis simplifies this problem and provides rough estimates of its scaling properties. The three fundamental dimensions are shares, price, and time. There are five parameters: three order flow rates and two discreteness parameters. The order flow rates are $`\mu `$, the market order arrival rate, with dimensions of shares per time; $`\alpha `$, the limit order arrival rate per unit price, with dimensions of shares per price per time; and $`\delta `$, the rate of limit order decays, with dimensions of 1/time. The two discreteness parameters are the price tick size $`dp`$, with dimensions of price, and the order size $`\sigma `$, with dimensions of shares. Because there are five parameters and three dimensions, and because the dimensionality of the parameters is sufficiently rich, all the properties of the limit-order book can be described by functions of two independent parameters.

We perform the dimensional reduction by taking advantage of the fact that the effect of the order flow rates is primary to that of the discreteness parameters. This leads us to construct nondimensional units based on the order flow parameters alone, and take nondimensionalized versions of the discreteness parameters as the independent parameters whose effects remain to be understood. There are three order flow rates and three fundamental dimensions. Temporarily ignoring the discreteness parameters, there are unique combinations of the order flow rates with units of shares, price, and time. These define a characteristic number of shares $`N_c=\mu /2\delta `$, a characteristic price interval $`p_c=\mu /2\alpha `$, and a characteristic timescale $`t_c=1/\delta `$. (The factors of two are a matter of convenience; they occur because we have defined the market order rate for either a buy or a sell order to be $`\mu /2`$.) These characteristic values can be used to define nondimensional coordinates $`\widehat{p}=p/p_c`$ for price, $`\widehat{N}=N/N_c`$ for shares, and $`\widehat{t}=t/t_c`$ for time.

A nondimensional scale parameter based on order size is constructed by dividing the typical order size $`\sigma `$ (which is measured in shares) by the characteristic number of shares $`N_c`$, i.e. $`ϵ\sigma /N_c=2\delta \sigma /\mu `$. $`ϵ`$ characterizes the granularity of the orders stored in the limit order book. A nondimensional scale parameter based on tick size is constructed by dividing by the characteristic price, i.e. $`dp/p_c=2\alpha dp/\mu `$. The theoretical analysis and the simulations show that there is a sensible continuum limit as the tick size $`dp0`$, in the sense that there is non-zero price diffusion and a finite spread. Furthermore, the dependence on tick size is usually weak, and for many purposes the limit $`dp0`$ approximates the case of finite tick size fairly well.

Space constraints do not permit us to review the theoretical development of the model in this Letter; it is presented in detail in Ref. Smith02 . We write an approximate master equation for the number of shares at each price level $`p`$ at time $`t`$, and then find a self-consistent mean field theory steady-state solution. We also develop an independent interval approximation, borrowing methods from the study of reaction-diffusion equations Majumdar00 . We find that the theory fits the simulation results accurately for large values of $`ϵ`$. For small values of $`ϵ`$ the theory continues to capture the mean spread very well. The predictions of other properties remain qualitatively correct, but are no longer quantitatively accurate. The results we quote here are all from simulations; to see the development of the theory and comparisons to simulation, see ref. Smith02 .

In the following we explore the predictions of the model for the basic properties of markets. As already noted, neglecting the effects of the discreteness parameters, gives three dimensional quantities and three parameters, which we call the continuum approximation. For the continuum approximation dimensional analysis alone yields simple estimates for the most relevant economic properties of the models. We have refined these estimates by simulation and mean field theory, which take the effects of $`ϵ`$ and $`dp/p_c`$ into account. The results are summarized in Table 1, and described in more detail below.

The bid-ask spread is the difference between the best price for buying and selling. It is an important determinant of transaction costs, as it is the price that one pays to buy a share and then immediately sell it. The spread has dimensions of price and therefore scales under the continuum approximation as $`\mu /\alpha `$. Simulations and theory show that the spread varies as $`(\mu /\alpha )f(ϵ,dp/p_c)`$, where $`f`$ is a fairly flat function with $`f(ϵ,dp/p_c)1/2`$ across much of the range of interest (see ref. Smith02 ).

Another interesting quantity is the average depth profile $`n(p)=n(p,t)`$, which is the density of shares per price interval. The average depth profile is relatively small near the midpoint and increases to an aysymptotic value far from the midpoint, as shown in Fig. 2.

The approach to an asymptotic value is a consequence of our assumption of uniform order placement over an infinite range, and is not realistic. It should be viewed as a convenient boundary condition for understanding the depth near $`\widehat{p}=0`$, where transactions occur. From dimensional analysis the asymptotic depth, which has units of shares/price is $`\alpha /\delta `$. This result is exact.

An important property of the depth profile is its slope near the origin, which determines the price response to the placement of a small market order. From continuum dimensional analysis the slope of the average depth profile scales as $`\lambda \alpha ^2/\mu \delta `$. This is altered by effects due to the granularity of orders. For large $`ϵ`$ the depth profile is a concave function with nonzero values at $`\widehat{p}=0`$, whereas for small $`ϵ`$, $`n(0)0`$ and $`n(\widehat{p})`$ is convex near $`\widehat{p}=0`$.

In addition to the spread, the price response for executing a market order is also a key factor determining transaction costs. It can be characterized by a price impact function $`\mathrm{\Delta }p=\varphi (\omega ,\tau ,t)`$, where $`\mathrm{\Delta }p`$ is the price shift at time $`t+\tau `$ caused by a market order $`\omega `$ at time $`t`$. Price impact causes market friction, since selling tends to drive the price up and buying tends to drive it down, so executing a circuit causes a loss. (This loss, from changing the order distribution, is in addition to the intrinsic loss created by a nonzero spread.) The price impact is closely related to the demand function, providing a natural starting point for theories of statistical or dynamical properties of markets Farmer98 ; Bouchaud98 . A naive argument predicts that the price impact $`\varphi (\omega )`$ should increase at least linearly: Fractional price changes should not depend on the scale of price. Suppose buying a single share raises the price by a factor $`k>1`$. If $`k`$ is constant, buying $`\omega `$ shares in succession should raise it by $`k^\omega `$. Thus, if buying $`\omega `$ shares all at once affects the price at least as much as buying them one at a time, the ratio of prices before and after impact should increase at least exponentially. Taking logarithms implies that the price impact as we have defined it above should increase at least linearly. In contrast, from empirical studies $`\varphi (\omega )`$ for buy orders grows more slowly than linearly Hausman92 ; Farmer96 ; Torre97 ; Kempf98 ; Plerou01 . A recent more accurate study by Lillo et al. demonstrates that for the New York Stock Exchange $`\varphi `$ is strongly concave, and that in general a simple power law of the form $`\varphi (\omega )\omega ^\beta `$ is not a good approximation Lillo02 .

Our model gives average instantaneous price impact functions $`\mathrm{\Delta }p=\varphi (\omega ,0,t)`$ as shown in Fig. 3.

The price impact approaches a linear function for large $`ϵ`$, but for smaller values of $`ϵ`$ it is strongly concave, particularly near the midpoint. Plotting this on log-log scale, this function does not follow a pure power law. For example, for $`ϵ=0.002`$, the exponent is $`\beta 0.5`$ for small orders, and $`\beta 0.2`$ for larger orders. This is in agreement with the results of Lillo et al. Lillo02 . The instantaneous price impact $`\varphi (\omega ,0,t)`$ can be understood in terms of the depth profile $`n(p,t)`$, as explained in ref. Smith02 .

The price diffusion rate is a property of central interest. In finance, it is typically characterized in terms of the standard deviation of prices at a particular timescale, which is referred to as volatility. Volatility is a measure of the uncertainty of price movements and is the standard way to characterize risk. In Fig. 4 we plot simulation results for the

variance of the change in the midpoint price at timescale $`\tau `$, i.e. the variance of $`m(t+\tau )m(t)`$. The slope is the diffusion rate, which at any fixed timescale is proportional to the square of the volatility. It appears that there are at least two timescales involved, with a faster diffusion rate for short timescales and a slower diffusion rate for long timescales. Such correlated diffusion is not predicted by mean-field analysis. Simulation results show that the diffusion rate is correctly described by the product of the estimate from continuum dimensional analysis $`\mu ^2\delta /\alpha ^2`$, and a $`\tau `$-dependent power of the nondimensional granularity parameter $`ϵ=2\delta \sigma /\mu `$, as summarized in table 1. We cannot currently explain why this power is $`1/2`$ for short term diffusion and $`1/2`$ for long-term diffusion.

This model contains numerous simplifying assumptions. Nevertheless, it is the very simplicity of this model that allows us to make unambiguous predictions about the most basic properties of real markets. Our prediction for the price impact function agrees with the best empirical measurements and suggests that concavity is a robust feature deriving from institutional structure, rather than rationality Lillo02 . Preliminary analysis of data from the London Stock Exchange using the nondimensional coordinates defined here shows an even better collapse of the price impact function, suggesting the existence of universal supply and demand functions. Futhermore, the results indicate that scaling relationships along the lines that we predict have remarkable explanatory value for both the spread and the price diffusion rate Daniels02 . Even though we do not expect the predictions of this model to be exact in every detail, they provide a simple benchmark that can guide future improvements. Our model illustrates how the need to store supply and demand gives rise to interesting temporal properties of prices and liquidity even under assumptions of perfectly random order flow, and demonstrates the importance of making realistic models of market mechanisms.

###### Acknowledgements.

We would like to thank the McKinsey Corporation, Credit Suisse First Boston, Bob Maxfield, and Bill Miller for supporting this research. G. I. thanks the Santa Fe Institute for kind hospitality. We thank Supriya Krishnamurthy for useful discussions.


text:
# The CORALS Survey II: Clues to Galaxy Clustering Around QSOs from 𝑧_abs∼𝑧ₑₘ Damped Lyman Alpha Systems.The work presented here is based, in part, on data obtained with the ESO facilities on La Silla (EFOSC/3.6-m) and Paranal (FORS1/UT1), programs 66.A-0037 and 267.A-5686.

## 1 Introduction

The formation of quasars is believed to represent an integral stage in the process of galaxy formation and evolution. The high incidence of galaxy-QSO companions and apparent mergers supports the view that quasar activity is fuelled by continued accretion of material onto the central black hole from the intercluster medium or nearby galaxies (see the review by Barnes & Hernquist 1992). Many of the outstanding questions in theories of the role of AGN in galaxy evolution involve the link between radio power and the properties of the QSO environment. The long-standing view is that both the morphology of the host galaxy (e.g. Hamilton, Casertano & Turnshek 2001), and the richness of the surrounding environment (Yee & Green 1987; Hall & Green 1998; Hall, Green & Cohen 1998; Hutchings et al. 1999; Teplitz, McLean & Malkan 1999; Cimatti et al. 2000) are different between radio-quiet QSOs (RQQs) and radio-loud QSOs (RLQs). Specifically, Yee & Green (1987) pointed out that the former are rarely found in clusters, while about 35% of RLQs show an excess of faint galaxies in their vicinity, consistent with the presence of a cluster of galaxies at the QSO redshift (see also Sanchez & Gonzalez-Serrano 1999). Radio galaxies, which are intimately connected with RLQs in unification models, also appear to reside in cluster environments at high redshift (Pentericci et al. 2000). However, the dichotomy between radio-loud and radio-quiet properties is now being questioned by studies which have found that almost all QSO hosts are elliptical galaxies, regardless of radio-loudness (McLure et al. 1999; Dunlop et al. 2002), and that the environments of RLQs are statistically indistinguishable from those of RQQs, at least at $`z\stackrel{<}{}1`$ (Hutchings, Crampton & Johnson 1995; McLure & Dunlop 2001; Wold et al. 2001; Finn, Impey & Hooper 2001). At higher redshifts, there is evidence that galaxy density maybe higher around RLQs, although a milder overdensity is seen towards RQQs (see review by Hutchings 2001). This ongoing discussion is made even more relevant by (a) our lack of understanding of the mechanism responsible for the radio power of RLQs and (b) the recent paradigm shift away from the long held belief that the distribution of radio luminosities is bimodal (Kellermann et al 1989; White et al. 2000; Brinkmann et al. 2000; Lacy et al. 2001). It is of primary importance to establish the extent to which radio power depends on the QSO environment, since this relationship clearly holds important clues to the physics of AGN and the role of quasars in galaxy formation.

In this paper we explore the possibility of using quasar absorption lines as an unbiased probe of the high redshift QSO environment. This is a potentially powerful technique since studies of galaxy clustering around QSOs can be extended to much higher redshifts, although the obvious disadvantage is the uni-dimensional information content. Therefore, a large number of QSOs needs to be studied in order for the statistical trends of $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ absorbers to provide meaningful results. In this respect, the results presented here for the 66 QSOs of the Complete Optical and Radio Absorption Line System survey (CORALS, Ellison et al. 2002) should be regarded as preliminary, although they underline the potential of this approach, so far relatively unexploited.

There is already some evidence that the posited correlation between galaxy concentration and radio-loudness may extend to QSO absorption line systems, based on an excess of associated C IV systems (Foltz et al. 1986; Anderson et al. 1987; Foltz et al. 1988) in RLQ spectra out to 3000 km s-1 from the QSO redshift. However, the origin of these absorbers is unclear. The excess seems to be restricted to steep-spectrum RLQs, and may thus be related to some orientation effect (Barthel et al. 1997; Richards et al. 1999; Richards 2001). On the other hand, Richards et al. (2001) find no correlation of this excess with other orientation measures such as core-to-lobe ratio. Nevertheless, the suspicion remains that these unusually strong and highly ionised systems are probably intrinsic to the QSO and may not be providing us with specific clues about the surrounding galaxy environment (Baker et al 2001). A more fruitful line of investigation is to focus on $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ absorbers which are analogous to galaxy-scale absorbers at intervening redshifts, namely the Damped Lyman Alpha systems (DLAs).

In the last 15 years, several surveys have mined the sky for DLAs, with the objective of understanding more about the high redshift galaxy population that these absorption systems are thought to represent (Wolfe et al. 1986; Lanzetta et al. 1991, 1995; Wolfe et al. 1995; Storrie-Lombardi & Wolfe 2000; Péroux et al. 2001). Almost without exception, these surveys have adopted the early strategy and definitions of Wolfe et al. (1986) who included in their sample only DLAs with $`N`$(H I) $`2\times 10^{20}`$ atoms cm-2 that lie at absorption redshifts corresponding to $`\mathrm{\Delta }v>`$ 3000 km s-1 from the QSO emission redshift. The reason for imposing this velocity cut is primarily due to the unknown nature of these proximate DLAs (PDLAs), which may conceivably be caused by QSO ejecta or by absorption in the host galaxy itself. In addition, since one of the main objectives of DLA surveys has been to compile a census of H I in the universe, proximate systems have been excluded due to the possible effect of the QSO’s ionizing radiation on the absorber. For example, the intense local radiation field of the QSO is already well known to affect the distribution of the lower column density Lyman $`\alpha `$ forest clouds (e.g. Murdoch et al. 1986). A similar phenomenon has also been noted to affect the extended Lyman $`\alpha `$ haloes of low redshift galaxies (Pascarelle et al. 2001). Therefore, in the quest to gain an insight into the ‘normal and representative’ galaxy population at high redshift, PDLAs at $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ have been almost universally discarded from the statistics of previous surveys.

Møller, Warren & Fynbo (1998), motivated by observations of Lyman $`\alpha `$ emission in associated DLAs, have explored the possible nature of these systems. They concluded that PDLAs are unlikely to be due to QSO ejecta, based on their lower metallicities, lack of strong high ionization lines and simpler line profiles compared to intrinsic BAL features (see Barlow et al. 1997 for a summary of intrinsic absorber signatures). Although recent models for the structure of AGN (e.g. Elvis 2000) include relatively high column density, wind-ejected clouds, the consequent UV absorbers are quite different from PDLAs both in terms of $`N`$(H I) and ejection velocity (e.g. Monier et al. 2001). For example, narrow intrinsic C IV systems, identified by means of time variability or partial coverage have relatively low H I column densities (e.g. Petitjean, Rauch & Carswell 1994; Hamann, Barlow, & Junkkarinen 1997). It is also unlikely that PDLAs are generally due to the QSO host galaxy, again because of the significant velocity differences involved. It therefore seems highly plausible that PDLAs are either members of the same family as, or at least strongly resemble, the population of intervening absorbers. If this interpretation holds true, then investigating the hitherto unexploited sample of PDLAs may yield further insights into the connection between AGN activity and galaxy formation.

Based on a radio-selected sample of QSOs, CORALS (Ellison et al. 2002) is one of the most recent DLA surveys aimed at determining the extent of any dust bias affecting the statistics of DLAs drawn from optically-selected, magnitude limited QSO samples. In this paper, we present the PDLAs found by the CORALS survey (§2) and compare their rate of incidence with that of intervening absorbers at $`\mathrm{\Delta }v>3000`$ km s-1 in the same sample of QSOs (§3). We also compare the frequency of PDLAs between RLQs and RQQs. Our main result is that we find a possible excess of PDLAs towards RLQs (currently only confirmed at slightly below the $`2\sigma `$ level), and that since all of the systems that we identify lie in front of optically bright QSOs it appears that PDLAs contain only a modest amount of dust. These findings, which are still tentative because of the small size of present samples, are briefly discussed in §4.

## 2 Identified PDLAs in CORALS

Full details of the CORALS sample definition, observations and all spectra can be found in Ellison et al. (2002). In brief, a sample of 66 $`z_{\mathrm{em}}`$ $`2.2`$ radio-loud QSOs was selected from the flat-spectrum ($`\alpha >0.4`$) sources in PKSCat90, the catalogue compendium from the Parkes surveys. A full list of flux densities, source positions and spectral indices is given Jackson et al. (2002). For this radio-selected sample, an optical spectrum was obtained for each QSO in order to search for DLAs with $`1.8<`$ $`z_{\mathrm{abs}}`$ $`<`$ $`z_{\mathrm{em}}`$. Out of a total of 22 confirmed DLAs, three were at redshifts corresponding to velocities $`\mathrm{\Delta }v3000`$ km s-1 (the original limit adopted by Wolfe et al. 1986). We note that although the Lyman $`\alpha `$ line used here to determine $`z_{\mathrm{em}}`$ may be systematically blue-shifted with respect to other emission lines, implying that the actual velocity offset of the PDLAs maybe be up to $``$ 4500 km s-1 from $`z_{\mathrm{em}}`$. However, this does not affect our analysis because the 3000 km s-1 limit traditionally adopted to distinguish intervening systems is measured relative to Ly$`\alpha `$, not H$`\alpha `$ or any highly ionized lines. The three PDLAs are in the sightlines towards B1354$``$107b, B0405$``$331 and B0528$``$250. The third of these systems has been known for a long time – Morton et al. (1980) measured $`z_{\mathrm{abs}}=2.811`$ and $`N`$(H I) = $`1.6\times 10^{21}`$ cm-2 – and was therefore not re-observed as part of the CORALS survey. In Figure 1 we present the original low resolution spectra of the other 2 QSOs found to exhibit PDLAs, obtained to confirm the QSO identification and redshift. The large wavelength coverage out to beyond C IV allows us to confirm that these are not BAL QSOs and that the PDLAs are therefore unlikely to be high velocity ejected material. Higher resolution (FWHM $``$ 3 Å) spectra have been obtained of these targets with the AAT, see Ellison et al. (2002) for spectra and details of observation and data reduction. Figure 2 shows close-ups of the damped Lyman $`\alpha `$ lines together with adopted fits to the line profiles.

We will now briefly describe the properties of these two new systems.

#### B1354$``$107b

Two DLAs are detected in the sightline towards this QSO, the higher redshift absorber ‘b’ having a redshift of $`z_{\mathrm{abs}}=2.966`$. The velocity difference between the absorber and the emission redshifts ($`z_{\mathrm{em}}=3.006`$) is therefore $``$ 3000 km s-1, just on the limit of our definition of a PDLA given the uncertainty of $`z_{\mathrm{em}}`$ and $`z_{\mathrm{abs}}`$. The Lyman limit at $`\lambda _0`$ = 912Å associated with this system is clearly visible at $`\lambda _{obs}3650`$ Å in our AAT spectrum (see Ellison et al. 2002). The H I fit to this absorber is complicated by the onset of Lyman $`\alpha `$ emission in the absorber’s red wing. No information about the column density can therefore be gleaned from this part of the line profile. There is some additional, blended absorption in the blue, so the fit is mainly constrained by the base of the trough, see Figure 2.

#### B0405$``$331

This DLA has an absorption redshift $`z_{\mathrm{abs}}2.57`$ which is the same as the QSO redshift of $`z_{\mathrm{em}}`$ = 2.570. The absorption trough of this system is superimposed on the Lyman $`\alpha `$ emission from the quasar itself, rendering an accurate continuum fit very difficult. Figure 2 (middle panel) shows that a good fit to the damped Lyman $`\alpha `$ line is obtained with a $`N`$(H I) = $`2\times 10^{20}`$ cm-2 at $`z_{\mathrm{abs}}=2.572`$.111Although this is nominally higher than the emission redshift, the difference is only 168 km s-1, well within the uncertainty in the QSO systemic redshift and within the velocity dispersion of a galaxy cluster of which the QSO host galaxy may be a member. However, we find that an absorber at $`z_{\mathrm{abs}}=2.570`$ and with $`N`$(H I) = 4$`\times 10^{20}`$ cm-2 would also produce a good fit to the base and the blue slope of the absorption profile, although there is a small but significant residual flux feature visible in the wing of the trough (bottom panel of Figure 2). Several associated metal lines are present in our spectrum, particularly C II $`\lambda `$1334, Si II $`\lambda `$1260 and Si II $`\lambda `$1190 with redshifts of $`z_{\mathrm{abs}}=2.569`$, 2.569 and 2.570 respectively. Lyman $`\beta `$ is also covered by these observations and is found at a redshift of 2.570. These lines therefore more closely match the lower redshift, higher column density solution shown in the bottom panel of Figure 2. This would then leave a small residual flux in the base of the DLA absorption which we interpret as Lyman $`\alpha `$ emission associated with the absorbing galaxy. Its velocity offest from the centre of the absorption trough is $`\mathrm{\Delta }v=300`$ km s-1, very similar to that between the DLA and Lyman $`\alpha `$ emitter in Q0151+048A (Møller, Warren & Fynbo 1998; Fynbo, Møller & Warren 1999).

There is no obvious CCD defect or cosmic ray event at the position of the residual flux feature on the 2D spectrum. This is clearly a system which should be followed up with narrow band imaging as it would add to the handful of known DLAs which have associated Lyman $`\alpha `$ emission. It is interesting to note that there is some evidence that PDLAs are more likely to exhibit strong Lyman $`\alpha `$ emission than $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ ‘intervening’ DLAs (Møller, Warren & Fynbo 1998). Although the presence of Lyman $`\alpha `$ emission may in some cases be caused by photo-ionization (e.g. Fynbo, Møller & Warren 1999; Warren et al. 2001), there is also evidence that star formation may be involved in other cases (e.g. Møller & Warren 1996; Ellison et al. 2001).

## 3 Results

### 3.1 The Number Density of PDLAs in the Radio-Loud CORALS Sample

The statistics of our survey are collected in Table 1. The number of damped absorbers found per unit redshift can be expressed as the DLA number density, $`n(z)`$, quoted for a specific mean absorption redshift. This is simply the total number of DLAs identified in a given sample, divided by the total intervening redshift interval covered. The redshift interval, $`\mathrm{\Delta }z`$, is given by

$$\mathrm{\Delta }z=\underset{i=1}{\overset{n}{}}(z_i^{max}z_i^{min})$$
(1)
where the summation is over the $`n`$ QSOs in a given sample. In the case of PDLAs, we only include the redshift interval from the emission redshift extending out to 3000 km s-1,

$$\mathrm{\Delta }z_{3000}=\underset{i=1}{\overset{n}{}}(z_i^{em}z_i^{3000})$$
(2)
where $`z_i^{3000}`$ is the redshift corresponding to a relative velocity of 3000 km s-1.

For the CORALS survey, we find $`n(z)=1.2_{0.7}^{+1.2}`$ at a mean $`z=2.78`$ (using $`1\sigma `$ confidence limits appropriate to the Poissonian small number statistics formulation by Gehrels 1986). This value is $`4_{2.4}^{+4}`$ times larger than value $`n(z)=0.31_{0.08}^{+0.09}`$ at $`z=2.37`$ determined for the intervening DLAs in the CORALS sample by Ellison et al. (2002). We find a similar apparent excess compared to the density of intervening DLAs determined from optical samples. Adopting $`n(z)=0.055(1+z)^{1.11}`$, as deduced by Storrie-Lombardi & Wolfe (2000), we would have expected only $`n(z)=0.24`$ at $`z=2.78`$. However, we are dealing with very small number statistics here. Since the redshift path $`\mathrm{\Delta }z`$ which can be probed for PDLAs in a given QSO sight-line is very small, a much larger sample is required to establish conclusively if PDLAs are indeed more common towards RLQs.

In an effort to improve the statistics, we also consider the recent radio-selected FIRST Bright Quasar Survey (FBQS; White et al. 2000). Specifically, we selected the 41 QSOs with $`z_{\mathrm{em}}2.2`$ in this independent sample (excluding BALs). Due to the different selection criteria and survey sensitivities of the FBQS compared to CORALS, we further exclude the 11 FBQS QSOs that do not conform to the accepted definition of radio-loud, i.e. with a radio-loudness parameter $`\mathrm{log}R^{}1.0`$ (Stocke et al. 1992). Combining the remaining 30 FBQS targets (with 1 PDLA) with CORALS, we cover a total interval $`\mathrm{\Delta }z_{3000}=3.58`$ and deduce $`1.1_{0.5}^{+0.9}`$. Thus, although the errors are still large, these statistics indicate that there may be an excess of absorbers close to the systemic redshift of radio-loud QSOs. If the postulate that PDLAs are not directly associated with the QSO is true (Møller, Warren & Fynbo 1998), then this excess may be analogous to the excess of galaxies observed in the fields of RLQs (Yamada et al. 1997; Hall & Green 1998; Hall, Green & Cohen 1998; Clements 2000). Indeed, the excess of DLAs close to the QSO compared with intervening systems is consistent with the typical over-densities of galaxies found around RLQs by Sanchez & Gonzalez-Serrano (1999) and of Lyman $`\alpha `$ emitters around radio galaxies (Kurk et al. 2001).

### 3.2 Comparison of the Number Density of DLAs between RLQs and RQQs

If PDLAs are associated with galaxies clustering around QSOs, then comparing the properties of these absorbers in radio- versus optically-selected QSO sample will provide further evidence as to whether RLQs preferentially flag rich cluster environments at high redshift. However, this is not a simple undertaking for the following reason. Most of the early DLA surveys initially obtained low resolution (typically 10 Å) spectra of all the QSOs in a given sample. From this, a list of candidate DLAs with rest frame equivalent width $`W_0`$ 5 Å was compiled and subsequently followed up at higher resolution to confirm the DLA nature and measure the column density $`N`$(H I). However, in most cases PDLAs were not included in the follow-up spectroscopy. Ellison (2000) investigated how the probability that an absorption system is damped varies as a function of $`W_0`$ and found that $``$ 90% of DLA candidates with $`W_0>10`$ Å were eventually confirmed to have $`N`$(H I) $`2\times 10^{20}`$ cm-2. Therefore, it is in principle possible to use these statistical likelihoods to infer the number of PDLAs in the previous major surveys. However, since PDLAs have been universally excluded from these surveys, even the equivalent widths have generally not been tabulated in the literature. Given this unsatisfactory state of affairs, here we restrict ourselves to comparing our estimate of $`n(z)`$ of PDLAs in CORALS with analogous statistics from the recent survey by Péroux et al. (2001).

From the Péroux et al. (2001) sample of 66 QSOs, we exclude all targets which exhibit BAL features (10) or are confirmed to be radio-loud (7) based on observations from NVSS and SUMSS measurements. From the remaining 49 QSOs, only 1 PDLA is found ($`z_{abs}=4.26`$ towards PSS J0034+1639). The total redshift interval covered is $`\mathrm{\Delta }z_{3000}=2.56`$ (Péroux, private communication), yielding a mean $`n(z)=0.39`$ at $`z=4.26`$, in good agreement with Storrie-Lombardi & Wolfe’s (2000) derived $`n(z)`$ = 0.35 for intervening DLAs at this redshift. Note that despite the difference in mean absorption redshifts between the RLQ and RQQ samples, cluster evolution is unlikely to explain the disparate $`n(z)`$ due to the small time ($``$ 0.5 Gyr) between these two epochs. 222We note that out of the 49 QSOs considered in these statistics, 4 have no radio data available. Since only approximately 10% of QSOs are radio-loud, we make the assumption that none of these 4 targets is radio-loud. Even in the extreme and unlikely case that ALL of these 4 QSOs turned out to be radio-loud, $`\mathrm{\Delta }z`$ would be reduced by less than 10% to 2.35, i.e. $`n(z)=0.42`$, a negligible change. It therefore appears that the tentatively identified overdensity of DLAs near to the QSO is confined to RLQs.

### 3.3 Dust Extinction in PDLAs

Studies of optical (Outram et al. 2001) and IR (Hewett, private communication) colours of large, optically-selected QSO samples find that the effect of dust reddening in $`intervening`$ absorbers is small. Conversely, Carilli et al. (1998) found that a high fraction of ‘red’ QSOs have associated $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ 21 cm absorption, indicating that dust reddening may play a significant effect in proximate absorbers. Consequently, we may expect that optically-selected, magnitude-limited QSO samples may be biased against the detection of PDLAs. It is therefore somewhat surprising that all of the PDLAs of the CORALS sample are found towards relatively bright QSOs ($`B<20`$). Taken at face value, this implies that any dust extinction which may be present does not bias the statistics significantly, although it must be remembered that we are dealing with very small number statistics. Since Ellison et al. (2002) find that up to twice as many intervening DLAs are present towards faint QSOs, it will be interesting to see whether observing more QSOs reveals a similar effect for proximate DLAs. This would establish whether PDLAs are relatively dust-poor or dust-rich.

## 4 Conclusions and Discussion

The main aim of this paper has been to assess whether PDLAs can provide an insight into the the clustering of galaxies around QSOs at high redshifts.

The main conclusions of this work may be summarised as follows.

1. Despite the small number statistics of this work (4 DLAs in the combined CORALS + FBQS sample), we find evidence that our radio-selected sample of QSO exhibits an excess (by a factor of 4) of PDLAs at $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ compared to intervening redshifts. This implies an excess of material (presumably galaxies) near the QSO at levels consistent with faint galaxy excesses around RLQs (e.g. Sanchez & Gonzalez-Serrano 1999). At present this result is only significant at the $`2\sigma `$ level, due to the limited statistics. However, it is certainly suggestive and emphasises the potential use of proximate DLAs as probes of the environment of QSOs.
2. Similarly, the number density of PDLAs towards RLQs is $`>4`$ times higher than that of PDLAs towards RQQs. In fact, we find that $`n(z)`$ of PDLAs towards RQQs is indistinguishable from that of intervening DLAs. This result is consistent with the premise that RLQs preferentially mark cluster environments.
3. Since all of the PDLAs in the CORALS sample are found towards optically bright QSOs ($`B<20`$) there appears to be no strong extinction effect from dust. Although previous studies find that dust in $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ systems may redden the background QSO (Carilli et al 1998), it appears that the amount of dust that is present is modest and not sufficient to exclude a significant number of quasars from optical surveys.
4. We identify a new PDLA in the line of sight towards B0405$``$331 which may exhibit Lyman $`\alpha `$ emission, based on residual flux seen at the base of the saturated absorption trough.

Lacy et al. (2001) have recently proposed a unified scheme for radio-loud and radio-quiet QSOs by showing that the radio luminosity of QSOs scales with the black hole mass and the accretion rate onto the black hole. Although the data support the broad increase in radio luminosity with black hole mass, it is unclear whether accretion rate is the physical driver of this relation (Dunlop et al. 2002). We have presented in this paper evidence suggesting that radio-loud QSOs are found preferentially in richer environments than radio-quiet QSOs. At first sight, such a connection between the pc scale of the central engine and the Mpc scale of galaxy clusters may seem surprising. However, it may simply be another manifestation of the relationship uncovered by Magorrian et al. (1998) between black hole mass and bulge mass, if the most massive galaxies are also more likely to be found in rich clusters.

With the current limited statistics for PDLAs it is difficult to extend the analysis of the DLA environment around QSOs. As the number of identified $`z_{\mathrm{abs}}z_{\mathrm{em}}`$ systems increases (several candidates should be present in existing surveys) it will be possible to compare the 1-D QSO-DLA correlation function with the galaxy-QSO correlation function in clusters (Martínez et al. 1999). Such a comparison will provide further clues to the nature of PDLAs, and in turn contribute greatly to the investigation of QSO cluster environments. Of course, we must bear in mind that the 3000 km s-1 cut-off adopted as the definition for associated DLAs is somewhat arbitrary. This point may be especially important since one of the CORALS PDLAs is right on the 3000 km s-1 cut-off. With improved statistics, it will be very interesting to investigate $`n(z)`$ as a function of relative velocity from the QSO.

###### Acknowledgements.

We are grateful to Céline Péroux for communicating the statistics of PDLAs from the survey of Péroux et al (2001) and to Dick Hunstead for checking the SUMSS fields of some of these QSOs for their radio properties. Thanks also are due to Marcin Sawicki and Gabriela Mallen-Ornelas for continued stimulating discussions.


text:
# Glueballs, strings and topology in SU(N) gauge theory

## 1 INTRODUCTION

How SU($`N`$) gauge theories approach their $`N=\mathrm{}`$ limit and what that limit is, are interesting questions , in themselves, whose answers would, in addition, represent a significant step towards addressing the same question in the context of QCD. Accurate lattice calculations in 2+1 dimensions  show that in that case the approach is remarkably precocious in that even $`N=2`$ is close to $`N=\mathrm{}`$. Such calculations have to be very accurate because for each value of $`N`$ one has to perform a continuum extrapolation of various mass ratios and then these are compared and extrapolated to $`N=\mathrm{}`$. Earlier D=3+1 calculations  were much too rough for this purpose even if their message was optimistic. Recently, however, this situation has been rapidly improving and here I want to describe some of the things that one has already learned.

Analyses of Feynman diagrams to all orders imply , that the SU($`N`$) theory will have a smooth limit if we keep fixed the ’t Hooft coupling

$$\lambda g^2N.$$
(1)
We would like a non-perturbative confirmation of this expectation. Again, we would like a confirmation of the assumption that the large-$`N`$ theory remains confining, since much of the phenomenological argument that QCD might be close to $`N=\mathrm{}`$ relies on this being so . Since quarks are in the fundamental representation, the leading correction to $`N=\mathrm{}`$ is expected to be $`O(1/N)`$. In the pure gauge theory it is expected to be $`O(1/N^2)`$. (Again an expectation that one would wish to test non-perturbatively.) Thus if QCD is close to $`N=\mathrm{}`$ one would expect the SU(3) gauge theory to be close to SU($`\mathrm{}`$) as well. We can test this by calculating dimensionless ratios of physical masses as a function of $`N`$. There are also arguments and speculations (e.g. ) that topological fluctuations are very different at large $`N`$ and at small $`N`$; this too we would like to test in lattice simulations.

The calculations  on glueballs, topology and $`k`$-strings which I will describe have been performed in collaboration with Biagio Lucini. The strategy is simple: we calculate the relevant (continuum) properties of SU(2), SU(3), SU(4) and SU(5) theories and directly compare them. Since $`N=5`$ is large in the sense that the leading correction $`1/N^2=1/251`$, it is not surprising that such a calculation turns out to suffice for our purposes. These calculations were intended as exploratory. A much larger calculation is now underway and this will provide much more information on the mass spectrum and its dependence on the number of colours.

## 2 FROM LATTICE TO PHYSICS

Our lattice calculations are entirely standard . The Euclidean space-time lattice is hypercubic with periodic boundary conditions.The degrees of freedom are SU($`N`$) matrices residing on the links of the lattice. In the partition function the fields are weighted with $`\mathrm{exp}\{S\}`$ where $`S`$ is the standard plaquette action

$$S=\beta \underset{p}{}\left(1\frac{1}{N}ReTrU_p\right),$$
(2)
in which $`U_p`$ is the ordered product of the matrices on the boundary of the plaquette $`p`$. For smooth fields this action reduces to the usual continuum action with $`\beta =2N/g^2`$. For rough fields on a lattice of spacing $`a`$ we can define a running lattice coupling $`g_L(a)`$ which reduces in the continuum limit to a coupling $`g(a)`$ in our favourite scheme:

$$\beta \frac{2N}{g_L^2(a)}\stackrel{a0}{}\frac{2N}{g^2(a)}$$
(3)
Thus by varying the inverse lattice coupling $`\beta `$ we can vary the lattice spacing $`a`$.

To calculate a mass we construct some operator $`\varphi (t)`$ with the quantum numbers of the state (typically this will be a linear combination of the products of link matrices around some closed loops) and then use the standard decomposition of the Euclidean correlator in terms of energy eigenstates

$$C(t)=\varphi ^{}(t)\varphi (0)=\underset{n}{}|\mathrm{\Omega }|\varphi |n|^2\mathrm{exp}\{E_nt\}$$
(4)
where $`|n`$ are the energy eigenstates, with $`E_n`$ the corresponding energies, and $`|\mathrm{\Omega }`$ is the vacuum state. We evaluate the corresponding Feynman Path Integrals using standard Monte Carlo techniques. On the lattice $`t=na`$ and so we obtain the energies from eqn(4) as $`aE_n`$ i.e. in units of the lattice spacing. In practice one needs to use several carefully chosen operators, and a variational calculation . Since our volume is finite we must make sure that finite volume corrections are negligible. For the calculations I describe here such checks have been made.

Having calculated some masses $`am_i`$ at a fixed value of $`a`$ (i.e. at a fixed value of $`\beta `$) we can remove lattice units by taking ratios: $`am_i/am_j=m_i/m_j`$. This ratio differs from the desired continuum value by lattice corrections. For our action the functional form of the leading correction is known to be $`O(a^2)`$. Thus for small enough $`a`$ we can extrapolate our calculated mass values

$$\frac{m_i(a)}{m_j(a)}=\frac{m_i(0)}{m_j(0)}+ca^2m_k^2(a)$$
(5)
where using different $`m_k`$ will make differences at $`O(a^4)`$ (as does the $`a`$-dependence of $`m_k(a)`$). We shall later show some explicit examples of such extrapolations.

Having calculated such mass ratios in various continuum SU($`N`$) gauge theories, we can attempt to extrapolate to $`N=\mathrm{}`$ using the fact that the leading correction is expected to be $`O(1/N^2)`$:

$$\frac{m_i}{m_j}|_N=\frac{m_i}{m_j}|_{\mathrm{}}+\frac{c_{ij}}{N^2}.$$
(6)
If such fits are good for $`NN_0`$ then we may regard SU($`N_0`$) as being close to SU($`\mathrm{}`$).

## 3 GLUEBALLS

In this exploratory calculation we focus on what are expected (from previous calculations in SU(2) and SU(3) ) to be the lightest states: the lightest $`J^{PC}=0^{++}`$ and $`2^{++}`$ glueballs. We also calculate the mass of the first excited scalar glueball, which we shall refer to as the $`0^{++}`$. In addition to these glueball masses we calculate the string tension, $`a^2\sigma `$, of the flux tube between static sources in the fundamental representation (see the next Section.). This last is our most accurately calculated quantity and so we use it to form the dimensionless mass ratios $`m/\sqrt{\sigma }`$ which we extrapolate to the continuum limit using eqn(5). In Fig.1 I show you how this works for the lightest scalar glueball for $`N=2,3,4,5`$.

While the mass of the scalar glueball is the most accurately calculated, because it is the lightest, it is also the one with (by far) the largest lattice corrections. Despite this it is already clear from Fig.1 that for small $`a`$ there is very little $`N`$-dependence for $`N3`$. To be quantitative we perform continuum extrapolations using eqn(5), as shown in Fig.1. The results are shown in Fig.2

where we also show the extrapolations to $`N=\mathrm{}`$ using eqn(6).

We see from Fig.2 that, as far as the lightest glueballs are concerned, all SU($`N`$) theories can be described by a modest leading $`O(1/N^2)`$ correction to the SU($`\mathrm{}`$) limit.

We also see from these plots that the ratio of the glueball masses to the (square root of) the string tension has a finite non-zero limit as $`N\mathrm{}`$. This tells us that the confining string tension remains finite and non-zero as $`N\mathrm{}`$. (Caution: numerical calculations only test confinement to some finite distance – which in the case of our higher-$`N`$ calculations is not yet very large.)

## 4 ’T HOOFT COUPLING

The analysis of diagrams  suggests that the way to achieve a smooth limit as $`N\mathrm{}`$ is by keeping the ’t Hooft coupling, $`\lambda g^2N`$, constant. Since the coupling runs, we should say that what we keep fixed is the running ’t Hooft coupling, as defined on some scale $`l`$ that is fixed in units of some quantity that partakes of the smooth large-$`N`$ limit, such as the string tension. To do this we use eqn(3) which tells is that a suitable defintion of a running ’t Hooft coupling is

$$\lambda _I(a)=g_I^2(a)N=\frac{2N^2}{\beta ReTrU_p/N}$$
(7)
The extra factor involving the plaquette is a mean-field (or tadpole) improved version of $`\beta `$ and the naive $`\lambda (a)`$ we would derive from it . It is necessary  because the naive lattice coupling is known to be very poor in the sense of having very large higher order corrections.

We extract $`\lambda _I(a)`$ for each of our various lattice calculations at various $`N`$ and $`a`$ . Our diagrammatic expectation is that if we plot $`a\sqrt{\sigma }`$ against $`\lambda _I(a)`$ then, for large enough $`N`$, the calculated values should fall on a universal curve. In Fig.3 we plot all our calculated values of $`a\sqrt{\sigma }`$, against the value of $`\lambda _I(a)`$. We observe that, within corrections which are small except at the largest value of $`a`$, we do indeed see a universal curve, and so the diagrammatic expectation is supported by our non-perturbative calculations .

## 5 STRINGS

In a confining SU($`N`$) gauge theory, the potential between two static charges in the fundamental representation is expected to grow linearly at large separations as $`V(r)=\sigma r`$ where $`\sigma `$ is the fundamental string tension. If we have charges in other representations then, in SU(3), they can be screened to either the fundamental or the trivial representation by gluons from the vacuum. So the fundamental string is the only stable one (assuming it to have the lowest tension). In SU($`N4`$) there are other stable strings. It is convenient to label a charge by the integer $`k`$ if its wave function transforms by a factor of $`z^k`$ under a global gauge transformation $`z`$ belonging to the centre $`Z_N`$ of the group. Because gluons transform trivially under the centre, they cannot screen a charge of $`k`$ into a charge of $`k^{}`$ if $`z^kz^k^{}`$. Thus there should be a different stable string for each such $`k`$, with string tension $`\sigma _k`$. (Conjugate strings will have the same tensions.) Of course, it might be that we just have $`k`$ fundamental strings joining such sources, in which case one will find $`\sigma _k=k\sigma `$ and we have no new string. As we shall see, this is not the case: we find new tightly bound $`k`$-strings. The first $`k=2`$ string appears in SU(4) and the first $`k=3`$ one in SU(6). The values of $`\sigma _k`$ are interesting because they carry information about confinement. Also because there are specific conjectures about their values from M(-theory)QCD , from arguments about Casimir scaling , and from certain models, such as the bag model . Moreover such strings may have striking implications  for the glueball mass spectrum as a function of $`N`$.

The simplest way to calculate $`\sigma _k`$ is by calculating the mass of a $`k`$-string that winds around a spatial torus. In a confining theory it cannot break and will have a length $`l=aL`$ (on an $`L^3`$ spatial lattice). For long enough strings, the mass of such a loop is given by

$$m_k(l)\stackrel{l\mathrm{}}{}\sigma _kl\frac{\pi (D2)}{6}\frac{c_s}{l}.$$
(8)
where the $`O(1/l)`$ correction is the Casimir energy of a periodic string and $`c_s`$ is proportional to the central charge. This correction is universal  since it depends only upon the massless modes in the effective string theory and does not depend upon the detailed and complicated dynamics of the flux tube on scales comparable to its width. The central charge is given  by the number of massless bosonic and fermionic modes that propagate along the string. In practice it is usually assumed that $`c_s=1`$, corresponding to the simplest possible (Nambu-Goto) bosonic string theory. However, these modes are not related to the fundamental degrees of freedom of our SU($`N`$) gauge theory in any transparent way and the presence of fermionic modes is certainly not excluded. Direct numerical evidence is hard to get since we are interested in small corrections to long, massive strings. In Fig.4 we show the effective value of $`c_s`$ that one obtains  by fitting the masses of two strings of different lengths (as indicated) to eqn(8) in SU(2) and for a lattice spacing $`a0.16/\sqrt{\sigma }0.07fm`$. This provides some evidence for the simple bosonic string correction for lengths $`l1.2fm`$.

Assuming, then, eqn(8) with $`c_s=1`$ we obtain from our calculated loop masses the string tensions shown in Fig.5,

from which we obtain

$$\underset{a0}{lim}\frac{\sigma _{k=\mathit{2}}}{\sigma }=\{\begin{array}{cc}1.357\pm 0.029\hfill & \mathrm{SU}(4)\hfill \\ 1.583\pm 0.074\hfill & \mathrm{SU}(5)\hfill \end{array}.$$
(9)
Clearly the $`k=2`$ string is tightly bound, and the string tension is incompatible, for example, with the naive bag model. What we find is that it falls between the MQCD and Casimir scaling predictions and, at the two sigma level, is consistent with both. We remark that a very recent higher statistics calculation  favours MQCD over Casimir scaling.

## 6 TOPOLOGY

Gauge fields in four (suitably compactified) Euclidean dimensions possess non-trivial topological properties characterised by an integer topological charge $`Q`$. Topological fluctuations break the (approximate) $`U_A(1)`$ symmetry of QCD, thus leading  to the non-Goldstone character of the $`\eta ^{}`$. One can argue that if $`N=3`$ is close to $`N=\mathrm{}`$ one can relate  the mass of the $`\eta ^{}`$ to the topological susceptibility

$$\chi _t\frac{Q^2}{V},$$
(10)
of the gauge theory without quarks. ($`V`$ is the space-time volume.) This suggests a value $`\chi _t(180MeV)^4`$, which is indeed close to what one finds in pure gauge theories . All this fits together if we can show that the $`N=3`$ values of the pure gauge susceptibility and of $`Nm_\eta ^{}^2`$ are close to their $`N=\mathrm{}`$ values. While we cannot say much about the latter, we can and shall address the former.

We calculate $`Q`$ for our lattice fields by standard cooling methods which for this purpose are reliable . These calculations are performed simultaneously with the glueball calculations discussed earlier and the values of $`\chi _t^{1/4}/\sqrt{\sigma }`$ are extrapolated to the continuum limit with an $`a^2\sigma `$ correction, following eqn(5). The resulting continuum values are plotted against $`1/N^2`$ in Fig.6

We observe that, just as for the glueball masses, the $`N`$-dependence is well described by a modest $`O(1/N^2)`$ correction and the topological susceptibility, expressed in physical units, does not differ greatly when we go from $`N=3`$ to $`N=\mathrm{}`$.

These conclusions are somewhat weaker here than for the glueballa because of the rapidly growing errors as $`N`$ increases. The reason for this turns out to be interesting and easy to see . As $`N`$ grows isolated instantons become increasingly unlikely. This is because of the factor in the instanton density

$$D(\rho )d\rho \frac{d\rho }{\rho }\frac{1}{\rho ^4}\left\{\frac{b^2}{\lambda ^2(\rho )}e^{\frac{8\pi ^2}{\lambda (\rho )}}\right\}^N.$$
(11)
where $`\lambda `$ is the ’t Hooft coupling that we keep fixed as $`N\mathrm{}`$. In the real vacuum this argument holds for instantons with $`\rho 1`$ ‘fermi’ and so these instantons are exponentially suppressed as $`N`$ increases. Now the Monte Carlo changes $`Q`$ by an instanton shrinking through small values of $`\rho `$ down to $`\rho a`$ where it can vanish through the lattice. (Or the reverse process.) However eqn(11) tells us that the probability of a very small instanton goes rapidly to zero as $`N`$ grows. Thus the lattice fields rapidly become constrained to lie in given topological sectors and for this quantity the Monte Carlo rapidly ceases to be ergodic as $`N`$ grows, and the stattistical errors on $`Q^2`$ grow rapidly – as observed.

We can attempt to calculate $`D(\rho )`$ and so see this effect directly. To do so we examine the topological charge density on the cooled fields and associate an instanton to each peak in this density using the semiclassical formula

$$Q_{peak}=\frac{6}{\pi ^2\rho ^4}.$$
(12)
This procedure is clearly of ambiguous validity for broad instantons, but is unambiguous for the high narrow peaks that correspond to the smaller instantons of interest to us here. In Fig.7 we display the result of such a calculation, comparing the instanton densities in SU(2), SU(3) and SU(4) on lattices with (almost) equal volumes and lattice spacings when expressed in units of the string tension. We clearly see a drastic suppression of small instantons with increasing $`N`$.

## 7 CONCLUSIONS

We saw above that, as far as the lightest glueballs, string tensions and topological susceptibility are concerned, all SU($`N`$) theories can be described by a modest leading $`O(1/N^2)`$ correction to the SU($`\mathrm{}`$) limit. In this sense we can say that not only is $`N=3`$ close to $`N=\mathrm{}`$ but so is $`N=2`$.

The large amount of interesting physics delivered by these modest (workstation) calculations, provides a strong motivation for going further. Currently we  are starting much larger calculations on anisotropic lattices, which will enable us to obtain accurate mass estimates for a much larger range of glueball states and very accurate string tension ratios. Simultaneously we  are using overlap fermions  to determine the relationship between topology and chiral symmetry breaking as a function of $`N`$; and to say something about instantons and topology at large $`N`$. A more ambitious project, which would require the use of one of the larger $`1`$ teraflop resources that are becoming available to many groups, would be to calculate the quenched hadron spectrum at large $`N`$ – which is interesting since it approaches the correct spectrum of SU($`N`$) QCD as we take $`N\mathrm{}`$ at fixed non-zero quark mass. And then, eventually, to dynamical quarks at large $`N`$ and the $`\eta ^{}`$

## Acknowledgements

I am very grateful to the organizers for inviting me to participate in this interesting (and enjoyable) workshop, and to my fellow participants for many useful comments and discussions.