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# Diffraction in left-handed materials and theory of Veselago lens

## Abstract

A theory of diffraction in the system consisting of the left-handed and the right-handed materials is proposed. The theory is based upon the Huygens’s principle and the Kirchhoff’s integral and it is valid if the wavelength is smaller than any relevant length of the system. The theory is applied to the calculation of the smearing of the foci of the Veselago lens due to the finite wavelength. We show that the Veselago lens is a unique optical instrument for the 3D imaging, but it is not a “superlens” as it has been claimed recently.

In his seminal work Veselago  has introduced the concept of the left-handed materials (LHM’s). In a simplest case the LHM’s are materials with simultaneously negative electric permittivity $`ϵ`$ and magnetic permeability $`\mu `$ in some frequency range. It is easy to show that in the LHM the vectors $`𝐤,𝐄,𝐇`$ form a left-handed set, while in the usual materials ($`ϵ>0`$, $`\mu >0`$) they form a right-handed set. If imaginary parts of $`ϵ`$ and $`\mu `$ are small, the electromagnetic waves (EMW’s) propagate in the LHM but they have some unusual properties. All these properties originate from the fact that in the isotropic LHM the Poynting vector $`𝐒=𝐄\times 𝐇`$ is anti-parallel to the wave vector $`𝐤`$.

Consider a propagation of the EMW from a point source located at the point $`z=a`$ through an infinite slab of the LHM with the thickness $`d`$ and a usual right-handed material (RHM) at $`z<0`$ and $`z>d`$ (Fig.1). It is obvious that $`S_z>0`$ everywhere at $`z>a`$ because the energy propagates from its source. The directions of vector $`𝐤`$ for different rays are shown by arrows. They should be chosen in such a way that at both interfaces tangential components of vector $`𝐤`$ for incident, reflected and refracted waves are the same. Another condition is that the component $`k_z`$ should be parallel to $`S_z`$ in the RHM and anti-parallel in the LHM. Then in the LHM $`k_z`$ is negative. It follows that the Snell’s law for the RHM-LHM interfaces has an anomalous form: $`\mathrm{sin}i/\mathrm{sin}r=n^{}/n`$, where $`i`$ and $`r`$ are the angles of incidence and refraction respectively, $`n^{}=\sqrt{|ϵ^{}||\mu ^{}|/ϵ_0\mu _0}`$ and $`n=\sqrt{ϵ\mu /ϵ_0\mu _0}`$ are positive refractive indexes for LHM and RHM respectively. The angles of reflection are equal to the angles of incidence. The refractive index in the LHM is often defined as negative, but we avoid this definition because in an infinite medium an EMW may propagate in any direction in both LHM and RHM and the only physical difference is that vector $`𝐤`$ is directed from the source of the wave in the RHM, while in the LHM it is directed toward the source.

The device shown at Fig.1(b) is a unique optical lens proposed by Veselago. In this lens $`ϵ=ϵ^{}`$ and $`\mu =\mu ^{}`$, then $`n^{}=n`$ and $`i=r`$. It is easy to show that at $`n=n^{}`$ the reflected wave is completely absent. Since all the rays going right from the source have $`i=r`$, all of them have foci at points $`z=a`$ and $`z=2da`$ as shown in Fig.1(b).

All the ideas above have been put forward by Veselago about $`35`$ years ago. Recently the method of fabricating of the LHM’s on the basis of metallic photonic crystals has been found and the San Diego group has reported the first observation of the anomalous transmission  and even the anomalous Snell’s law . Both observations have been interpreted as the result of negative $`ϵ`$ and $`\mu `$. The speculations about the nature of negative $`ϵ`$ and $`\mu `$ in photonic crystals are still controversial (compare ), but the very existence of the LHM seems to be demonstrated. Since the LHM’s become reality it is time to develop a deeper understanding of their electrodynamic properties in order to use the advantages of these materials.

One can see that the Veselago lens, shown at Fig.1(b), is an absolute instrument because it images stigmatically a three-dimensional domain $`dz0`$ and the optical length of any curve in the object space is equal to the optical length of its image. The only other absolute instrument we are aware of is the famous “fish-eye” of Maxwell . Note, that the definition of the absolute instrument assumes geometrical optics only. Since the LHM’s have been already obtained we think that the Veselago lens can be extremely important device for the 3D imaging.

Pendry  claims that the Veselago lens has a different unique property. Due to Pendry the resolution of this lens does not have a traditional wavelength limitation which follows from the uncertainty principle. Pendry has introduced a new term “superlenses” with the Veselago lens as a first representative of this class. Two comments appeared recently  where the work of Pendry was criticized.

In this paper we propose a general scalar theory of diffraction in the LHM which is based upon the Huygens’s principle and the Kirchhoff’s integral. As any diffraction approach our theory works under condition that the wavelength is much smaller than any relevant geometrical length in the problem. We apply this theory to the Veselago lens and calculate the smearing of the foci due to the finite wavelength. Thus, our result does not support the idea of “superlens”. The discrepancy between our result and previous ones is analyzed.

The first problem is to find the Green function for the Helmholtz equation for the LHM which describes propagation of a spherical wave from the point source. It is easy to show that it has a form $`\mathrm{exp}(ikR)/R`$, where $`k=\omega n/c`$ and $`R`$ is a distance from the source. At a small element of the sphere $`R=const`$ the spherical wave can be considered as a plane wave which is characterized by the Poynting vector $`𝐒`$ and wave vector $`𝐤`$ both with the radial component only. Since $`𝐒`$ is directed along the external normal to the surface element, the wave vector $`𝐤`$ in the LHM is directed along the internal normal. It is easy to see that our Green function obeys these properties.

Following the principles of the scalar theory of diffraction the field $`u`$ at the observation point $`P`$ can be written in a form of a surface integral

$$u_P=b_lu\frac{e^{ikR}}{R}𝑑f_n,$$
(1)
where $`R`$ is the length of the vector from the point $`P`$ to the surface element, $`df_n`$ is the projection of the surface element $`df`$ on the plane perpendicular to the direction of the ray coming from the source to $`df`$, $`b_l`$ is a constant for any LHM. To find $`b_l`$ one can consider a plane wave with the wave vector normal to the infinite plane of integration. Since this plane is fictional, the constant can be found from the condition that the Huygens’s principle in the form Eq.(1) reproduces the same plane wave. Doing the calculations similar to Ref. one gets $`b_l=k/2\pi i`$, so that for the LHM the constant $`b_l`$ has a different sign than the similar constant $`b_r`$ for the RHM.

The Huygens’s principle can be applied to any interface which has a curvature larger than the wavelength. It gives the correct direction of refracted waves but it does not give the amplitudes of both refracted and reflected waves. However, it can be successfully applied to the Veselago lens where reflected waves are absent.

Note, that there are some other methods to describe the diffraction which may be also used if the source of the rays is unknown. They are described and compared in details in Jackson’s textbook . One can show that all the methods give the same result at $`r=i`$.

Now we apply Eq.(1) to the Veselago lens. To find the field $`u`$ inside the slab we shall integrate in Eq.(1) over the plane $`z=0`$. The field $`u`$ in this plane is produced by a point source and has a form

$$u(x,y,0)=\frac{e^{ik\sqrt{a^2+x^2+y^2}}}{\sqrt{a^2+x^2+y^2}}.$$
(2)
The field inside the slab can be found using Eq.(1) with a constant $`b_{rl}`$ instead of $`b_l`$ because now we are integrating over the RHM-LHM interface rather than over the fictional surface in the LHM. In a similar way at the LHM-RHM interface one should use a constant $`b_{lr}`$. Using the method described in Ref. it is easy to show that $`b_{rl}=b_l`$ and $`b_{lr}=b_r`$. Thus one gets

$$u(x,y,z)=b_la\underset{\mathrm{}}{\overset{\mathrm{}}{}}\underset{\mathrm{}}{\overset{\mathrm{}}{}}\frac{e^{ik\sqrt{a^2+x_1^2+y_1^2}}}{a^2+x_1^2+y_1^2}\frac{e^{ik\sqrt{z^2+(x_1x)^2+(y_1y)^2}}}{\sqrt{z^2+(x_1x)^2+(y_1y)^2}}𝑑x_1𝑑y_1,$$
(3)
where the additional factor $`a/\sqrt{a^2+x_1^2+y_1^2}`$ is the cosine of the angle between the ray, coming from the source to the point $`\{x_1,y_1,0\}`$ and the unit vector in $`z`$ direction. One can see that the optical lengths for all rays (the sum of exponents in the integrand of Eq.(3)) from the point source to the focus, located at $`z=a`$, $`x=y=0`$, are zero and the value of the field at the focal point $`u(0,0,a)=ik`$, while the geometrical optics gives an infinite field in this point. To find $`u`$ in the vicinity of the focus one should expand the integrand in Eq.(3) near the point $`(0,0,a)`$ assuming $`xa`$, $`ya`$ and $`|\zeta |a`$, where $`\zeta =za`$. One gets

$$u(\rho ,\zeta )=k\left[\frac{i\mathrm{sin}(k\sqrt{\rho ^2+\zeta ^2})}{k\sqrt{\rho ^2+\zeta ^2}}\underset{0}{\overset{1}{}}J_0(k\rho \sqrt{1s^2})\mathrm{sin}(k\zeta s)𝑑s\right],$$
(4)
where $`\rho ^2=x^2+y^2`$. At $`\rho =0`$ one gets analytical expression

$$u(0,\zeta )=\frac{1\mathrm{cos}(k\zeta )+i\mathrm{sin}(k\zeta )}{\zeta }.$$
(5)
Another analytical expression can be obtained at $`\zeta =0`$

$$u(\rho ,0)=\frac{i\mathrm{sin}(k\rho )}{\rho }.$$
(6)
Figure 2 shows dimensionless function $`|u(\rho ,\zeta )|^2/k^2`$ as given by Eq.(4). One can see that the smearing of the focus is anisotropic. The half-width in $`z`$ direction is approximately one wavelength while in $`\rho `$ direction it is approximately twice as less. At small $`x,y,\zeta `$ the surfaces of a constant $`|u(x,y,\zeta )|^2`$ are ellipsoids of revolution along $`z`$ axis.

Now we find the field $`u`$ in the close vicinity of the second focus located at $`x=y=0`$, $`z=2da`$. The general expression for $`u`$ at $`z>d`$ differs from Eq.(3). One should apply the Huygens’s principle to both interfaces located at $`z=0`$ and $`z=d`$. The later one is the LHM-RHM interface and the constant $`b_r=k/2\pi i`$ should be used instead of $`b_l`$. One gets an additional integral over the plane $`z=d`$ so that expression for the field has a form

$$\begin{array}{c}u(x,y,z)=b_lb_rad\underset{\mathrm{}}{\overset{\mathrm{}}{}}\underset{\mathrm{}}{\overset{\mathrm{}}{}}𝑑x_1𝑑y_1\underset{\mathrm{}}{\overset{\mathrm{}}{}}\underset{\mathrm{}}{\overset{\mathrm{}}{}}𝑑x_2𝑑y_2\frac{e^{ik\sqrt{a^2+x_1^2+y_1^2}}}{a^2+x_1^2+y_1^2}\hfill \\ \hfill \frac{e^{ik\sqrt{d^2+(x_1x_2)^2+(y_1y_2)^2}}}{d^2+(x_1x_2)^2+(y_1y_2)^2}\frac{e^{ik\sqrt{(zd)^2+(x_2x)^2+(y_2y)^2}}}{\sqrt{(zd)^2+(x_2x)^2+(y_2y)^2}}.\end{array}$$
(7)
To calculate these integrals in the vicinity of the second focus using inequalities $`kd1`$, $`ka1`$ one should introduce new variables $`\{s,t\}`$ instead of variables $`\{x_2,y_2\}`$ by relations

$$x_2=(\frac{d}{a}1)x_1+s$$
(8)
$$y_2=(\frac{d}{a}1)y_1+t.$$
(9)
Equation (8) has the following meaning at $`s=t=0`$. For every point $`\{x_1,y_1\}`$ at the first interface they give a point $`\{x_2,y_2\}`$ at the second interface which is on the ray coming from $`\{x_1,y_1\}`$ and passing through the first focus. Thus the new variables $`\{s,t\}`$ describe deviation from the geometrical optics and they should be small. One can see from Eq.(7) that at $`s=t=0`$ optical lengths of all rays exiting from the point source at $`z=a`$ and coming to the second focus at $`z=2da`$ are equal to zero. Introducing the new variables and expanding the exponents in Eq.(7) one can get an expression for the field $`u`$ in the vicinity of the second focus. For $`\eta =z2d+a`$, $`|\eta |a`$ one gets

$$u(x,y,\eta )=u(x,y,\zeta )^{}|_{\zeta =\eta },$$
(10)
where the function $`u(x,y,\zeta )`$ is given by Eq.(3). In other words, the smearing of the $`|u(x,y,\eta )|^2`$ in the second focus is the same as the smearing in the first one.

Equation (10) can be also obtained in a more physical way. One can calculate field $`u`$ far from the foci expanding integrand in Eqs.(3,7) near the geometrical rays as it was described above. In this case the result is exactly the same as in the geometrical optics. Namely, in the region $`0<z<d`$

$$u(x,y,z)=\frac{e^{ik(RR_1)}}{RR_1},$$
(11)
where $`R=a\sqrt{1+(x^2+y^2)/(az)^2}`$, $`R_1=z\sqrt{1+(x^2+y^2)/(az)^2}`$. At $`z>d`$ one should substitute into Eq.(11) $`R=(zd)\sqrt{1+(x^2+y^2)/(2daz)^2}`$, $`R_1=(da)\sqrt{1+(x^2+y^2)/(2daz)^2}`$. The expression in Eq.(11) becomes infinite in both foci as it should be in the framework of the geometrical optics. However, it can be used to calculate field $`u`$ at the plane $`z=d`$

$$u(x,y,d)=\frac{e^{ik\sqrt{(da)^2+x^2+y^2}}}{\sqrt{(da)^2+x^2+y^2}}.$$
(12)
Note that the minus sign in Eq.(12) results from the passing of the rays through the first focus. This gives extra phase $`\pi `$.

Now we can forget about the region $`z<d`$ and apply the Huygens’s principle to the $`z=d`$ to find the field near the second focus. The field will be described by Eq.(1) with the positive exponent and $`b_r=k/2\pi i`$. Finally we get the result which is connected with Eq.(3) by Eq.(10).

Using Eq.(11) one can calculate the flux of energy through any plane perpendicular to $`z`$ axis for $`z>0`$. One can show that it is independent on $`z`$ and equal to $`2\pi `$ in our units. Note, that the flux of energy through the hemisphere around the point source at $`z=a`$ defined as $`|u|^2𝑑f_n`$ is equal 2$`\pi `$, since $`u=\mathrm{exp}(ikR)/R`$.

Now we compare our results with the analytical calculations of Pendry  and Ziolkowski and Heyman . Both papers claim that the Veselago lens in the ideal (lossless) regime is a “superlens”, which is able to provide a perfect focusing. In both papers the spherical wave outgoing from the source is represented as a superposition of plane waves, which are fictitious and do not correspond to the cylindrical symmetry of the problem. This superposition contains the “evanescent” waves (EW’s), for which $`k_x^2+k_y^2>\omega ^2/c^2`$. One can easily show that the Poynting vector of each EW has a non zero components in the $`x`$-$`y`$ plane but zero component in $`z`$ direction. It follows from the second observation that the contribution of the EW’s to the intensity near the foci of the Veselago lens should be exponentially small if $`a\omega /c1`$. Pendry has explained perfect focusing as a result of amplification of EW’s by the LHM.

One can see from Eq.(47a) of Ref. that the amplitude of a single EW increases exponentially in the LHM with increasing distance $`z`$ from the source. Since the LHM is a passive medium, we think, that these EW-solutions should be omitted as nonphysical. The mathematical inconsistency of these solutions can be seen from the fact that the integral (Eq.(38) of Ref.), that describes the superposition of the plane waves, diverges at large $`k_x^2+k_y^2`$ in the interval $`a<z<2da`$ at any value of $`x`$ and $`y`$. Note, that the contribution of propagating waves into this integral is finite and it coincides with our result near the foci.

The advantage of the diffraction theory is that it is a regular perturbation with respect to $`1/kd`$. We think that the EW’s never appear in this theory because their contribution is of the order of $`\mathrm{exp}(2kd)`$.

The computations, performed in Ref., do not show any focusing. We think that the main reason is that their $`a`$ and $`d`$ are of the order of the wavelength. Our calculations do not predict any focusing for such wavelength.

Finally, we have proposed the theory of diffraction in a system, consisting of the LHM and the RHM and have applied this theory to the calculation of the smearing of the foci of the Veselago lens. This smearing is of the order of the wavelength so, from this point of view, the Veselago lens does not differ from any other lens.

The work has been funded by the NSF grant DMR-0102964.


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# Polymer transport by laminar flows

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## Abstract

Polymer transport is investigated for two paradigmatic laminar flows having open and closed streamlines, respectively. For both types of flows we find transport depletion owing to the action of the polymers elastic degree of freedom. For flows with closed streamlines the leading mechanism for the observed transport reduction is the (dynamical) formation of barriers. For flows with open streamlines the reduction of transport is induced by the renormalization of the bare diffusion coefficient. Results have been obtained by means of Lagrangian simulations.

\]

The transport of particles advected by a given velocity field is a subject attracting increasing attention of physicists. Such issue has obvious applications in geophysics (e.g. pollutants dispersion) as well as in industrial processes (e.g. transport of a solute in porous media) . In addition, the investigation of the dynamics of particles leads, in a natural way, to highly non trivial behaviors as the anomalous dispersion and the Lagrangian chaos .

In this paper we investigate the transport of passive polymers in given velocity fields. The interest of this problem is in the spectacular effect of turbulent reduction by the dilute polymer addities (se so-called drag reduction ). Of course, the complete treatment of the drag reduction is very complex and must involve the back-reaction of the polymer concentration on the velocity field ruled by the Navier-Stokes equations .

A first crude, but non trivial, step is to consider the passive limit, i.e. the transport of polymers in a prescribed velocity field. This problem, in spite of its poor relation with the turbulent drag reduction, is not simple at all . It can be seen as a complication of the, already difficult, issue of the passive particle transport .

A widely used model for the polymer dynamics, due to Rouse , considers macromolecules as a series of $`N`$ beads linearly connected by harmonic springs. The evolution law is given by the Langevin equations:

$$\zeta \frac{d𝐑_n}{dt}=\frac{V}{𝐑_n}+𝐮(𝐑_n)+𝜼_nn=0,\mathrm{},N1$$
(1)
where $`V=K/2_{n=1}^{N1}(𝐑_n𝐑_{n1})^2`$, $`𝐑_n`$ is the position of the $`n`$-th bead, $`𝐮`$ is the incompressible velocity field, $`\zeta `$ is the friction coefficient, $`K=3k_BT/b^2`$ is the spring constant, $`b`$ is the average distance between the beads, $`k_B`$ is the Boltzmann constant, $`T`$ is the temperature and $`𝜼_n`$ represents the thermal noise mimicking the interaction of beads with the solvent.

The Rouse model (1) can be further simplified (this is the so-called dumbbell model) just taking $`N=2`$:

$$\zeta \frac{d𝐑_0}{dt}=K(𝐑_1𝐑_0)+𝐮(𝐑_0)+𝜼_0$$
(2)
$$\zeta \frac{d𝐑_1}{dt}=K(𝐑_0𝐑_1)+𝐮(𝐑_1)+𝜼_1.$$
(3)
We assume $`𝜼_i=\sqrt{2D_0}\stackrel{~}{𝜼}_i`$, with $`\stackrel{~}{𝜼}_i`$ normalized, zero-mean, independent white noise processes, and we set, without loss of generality, $`\zeta =1`$. For a given velocity field, $`D_0`$ and $`K`$ are thus the only relevant parameters controling the polymer dynamics.
In the following we shall concentrate our attention on the transport properties of the bead center of mass, the coordinates of which are denoted by $`𝐑(𝐑_0+𝐑_1)/2`$, $`𝐑(X,Y)`$. Note that in the limit of very large $`K`$ the evolution equation for $`𝐑`$ reduces to the usual equation for a fluid particle but with $`D_0/2`$ instead of $`D_0`$:

$$\frac{d𝐑}{dt}=𝐮(𝐑)+\sqrt{D_0}\stackrel{~}{𝜼}.$$
(4)
As in Eqs. (2) and (3), $`\stackrel{~}{𝜼}`$ is a normalized, zero-mean, white noise process.
Therefore, for the understanding of the role of the elastic degree of freedom, results on the diffusion process of the bead center of mass for finite values of $`K`$ have to be compared with those generated by the particle diffusion limit given by Eq. (4).

The model (1) has been investigated, e.g., in Ref.  for a layered random flow, and in Ref.  in the presence of a non-potential static random flow. Antithetic conclusions arose for the transport properties of polymers plugged in the two above flow classes. In Ref. , the layered random flow has been found to cause an enhanced transport with respect to the single particle diffusion problem. The opposite result (i.e., the occurrence of transport reduction) has been singled out in Ref. . For the flows considered in Ref.  the basic mechanism giving rise to transport reduction is played by the dynamically generated barriers, which are not present in the layered random flow .
The physical key role for the barrier to emerge is originated from the competition between flow-originated stretching, which acts on the polymers, and the elasticity of the polymeric structure itself. Due to the elastic degree of freedom, unlike particles, polymers have the possibility to select particular regions of the flow. Physically speaking, polymers prefer those regions where they can reduce their own elastic energy. This happens, e.g., in those regions where the velocity strain is large and negative.

The issue related to the possible existence of preferred regions in more realistic flows raised in Ref. . One of the main aim here is to show, by means of numerical simulations, some examples of flows for which transport of polymers is less effective than particles transport. The choice for the flows falls on two paradigmatic laminar velocity fields, the diffusive properties of which have been analyzed in great detail in the past for what concerns particle dispersion . To be specific, we shall focus on shear flows (where the streamlines are open) and cellular flows both stationary and time-dependent (where the streamlines are closed). As we shall see, although for different reasons, such classes of flow show transport depletion in the presence of polymers.

Let us start from the convective flows. We investigate here polymers diffusion in a simple model mimicking the Rayleigh–Bénard convection . Two-dimensional convection with rigid boundary conditions is described here by the following stream function:

$$\psi (x,y,t)=\psi _0\mathrm{sin}(x+B\mathrm{sin}\omega t)\mathrm{sin}y,$$
(5)
where the periodicity of the cell is $`2\pi `$, and the even oscillatory instability  is accounted for by the term $`B\mathrm{sin}\omega t`$, representing the lateral oscillation of the rolls. Velocity is obtained from (5) by the usual relations $`𝐮=(\psi /y,\psi /x)`$. The capability of the simple flow (5) to capture the essential features of the convection problem is discussed in Ref. .

The second flow we have considered is the two-dimensional Kolmogorov shear flow defined as:

$$𝐮=(u(y),\mathrm{\hspace{0.33em}0})$$
(6)
with $`u(y)=Usin(y)`$.

Equations (2) and (3) have been integrated with $`𝐮`$ obtained from the flows (5) and (6) using a second-order Runge-Kutta scheme. In what follows, averages are extended over different realizations and are performed by following $`10^5`$ couple of particles.
In order to investigate the rate of transport, a measure of the eddy diffusivity, $`D[X(t)X(0)]^2/(2t)`$, for large times, $`t`$, has been made, $`X`$ being the x-component of the bead center of mass.

Let us start the discussion of our results from the cellular flows. The behavior of the diffusion coefficient, $`D`$, vs the spring constant $`K`$ are reported in Fig. 1 for $`\omega =0`$ and three different values of the molecular diffusivity. Dashed lines correspond to the particle limit analytically obtained in Ref.  (formulae (22) and (24) with $`d=\pi `$ and $`\beta =1`$) in the limit of small $`D_0`$.

In Fig. 2, the behavior of the average spring elongation, $`l|𝐑_1𝐑_0|^2^{1/2}`$ is shown as a function of $`K`$, again for different values of $`D_0`$. Dashed lines correspond to the limit of small $`l`$, where it is easily checked that the spring elongations behaves as $`(2D_0/K)^{1/2}`$.

From these figures, a reduction of transport always occurs for spring elongations smaller than the cell size (i.e. $`l<\pi `$). This is the physically interesting case. The case $`l\pi `$ corresponds to a minimum in the transport. For small values of $`D_0`$ (smaller than the smallest one shown in Fig. 1), there exist a narrow band of values of $`K`$ corresponding to $`l\pi `$ where particles remain trapped in adjacent cells. The diffusion process stops in this case. Note that this is a pure effect played by the elastic degree of freedom: for the single-particle diffusion in incompressible flows, it is possible to show that the (eddy) diffusion coefficient is always larger than the (bare) coefficient $`D_0`$.
Transport depletion is here caused by the aforementioned dynamically generated barriers. This can be easily checked in Fig. 4 where the probability density function (pdf) for the bead center of mass to be in the subinterval $`[0,\pi ]\times [\pi /4,3/4\pi ]`$ of the elementary cell is shown for different values of the spring constant $`K`$ (integration along $`y`$ has been performed). From this figure it appears as polymers prefer those regions close to the center of the cell where they can reduce their own elastic energy. In such regions, the contribution of the molecular diffusivity to escape from a cell to another is unimportant. On the contrary, the regions close to the cell boundaries, where the role of molecular diffusivity in the (eddy) diffusion process is fundamental, are refused by polymers. The result is the slowing down of the diffusing polymers. Note that the effect of barriers reduces as the spring constant increases. For $`K=0.75`$, that corresponds to a spring elongation of $`l=0.40`$, the probability density is almost uniform within the cell.

Behaviors similar to those shown in Figs. (1), (2) and (3) have been found also for $`\omega 0`$. As in Ref. , we have restricted our attention only on the case $`B=0.5`$.

As one can see in Fig. 3, also in the shear case the diffusion coefficient, $`D`$, for finite values of $`K`$ is smaller than that in the limit case of infinite $`K`$ (see Eq. (4)).

Unlike what happens in the considered cellular flows, this effect is not due to the presence of barriers and can be understood by means of simple arguments. To show that, introducing $`\delta yY_1Y_0`$ we immediately have from Eqs. (2), (3) and (6):

$$\frac{d\delta y}{dt}=2K\delta y+\sqrt{4D_0}\stackrel{~}{\eta }_1$$
(7)
$`{\displaystyle \frac{dX}{dt}}={\displaystyle \frac{1}{2}}\left(u(Y\delta y/2)+u(Y+\delta y/2)\right)+\sqrt{D_0}\stackrel{~}{\eta }_2`$ (8)
$`u(Y)+{\displaystyle \frac{d^2u}{dY^2}}{\displaystyle \frac{(\delta y)^2}{8}}+\sqrt{D_0}\stackrel{~}{\eta }_2.`$ (9)
Note that in our case $`\frac{d^2u}{dy^2}=u`$ and, moreover, $`\delta y`$ performs an Ornestein-Ulenbeck process, i.e. a Gaussian process with $`\delta y=0`$, $`(\delta y)^2=D_0/K`$ and a characteristic relaxation time $`\tau =1/(2K)`$. Therefore, from Eq. (9) one sees that the center of mass feels a renormalized velocity field $`u(Y)u(Y)(1(\delta y)^2/8)`$ and a renormalized fluctuation part, i.e. with a larger $`D_0`$. Now, because of the Taylor formula, $`D=D_0/2+U^2/[2(D_0/2)]`$, (note that $`D_0D_0/2`$ in the particle limit defined by Eq. (4) it is easy to see that $`D`$ has negative correction for finite values of $`K`$.
For a generic time independent shear flow we expect the same qualitative behavior. This fact can be grasped noting that for $`u(y)=_ku_kexp(iky)+c.c.`$, $`u_k`$ being the Fourier transform of $`u(y)`$ and $`c.c.`$ stands for the complex conjugate, the center of mass experiences a normalized velocity field $`_ku_k(1k^2(\delta y)^2/8)`$. Exploiting the Zeldovich formula , $`D_k|u_k|^2/(D_0k^2)`$, in all the realistic cases having rapidly vanishing values of $`|u_k|^2`$ in the limit $`k\mathrm{}`$, the above argument reported for the Kolmogorov flow still holds.

It is worth observing that, for time dependent shear flows, the increasing fluctuating part could give rise to transport enhancement via the interference mechanism identified in Ref. . Indeed, in the presence of anticorrelated regions of the velocity field (i.e., where the velocity autocorrelation function is negative), the enhanced molecular diffusivity can be advantageous to escape from the anticorrelated regions which slow down the diffusing particle. An enhancement in the diffusion coefficient might occur in this case.

In conclusion, two different mechanisms leading to transport reduction have been identified for two paradigmatic flows with closed and open streamlines, respectively. For stationary flows with closed streamlines transport reduction is due to the emergence of dynamically generated barriers. For stationary flows with open streamlines the mechanism giving rise to the observed reduction of transport is triggered by a renormalized (enhanced) molecular diffusivity. In virtue of such enhanced molecular diffusivity, the bead center of mass forget its past evolution faster than in the case of particles, a fact that reduces the eddy diffusivity.
It is an open question whether, in the presence of time-dependent shear flows, the same renormalization of the bare molecular diffusivity might give rise to transport enhancement via the interference mechanism identified in Ref. .

Acknowledgements
Helpful discussions and suggestions by R. Festa are acknowledged. This work has been partially supported by the INFM project GEPAIGG01 (A.M.). M.D.L. and A.V. acknowledge support from the INFM Center for Statistical Mechanics and Complexity (SMC). Simulations were performed at CINECA (INFM Parallel Computing Initiative).


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# Microspectroscopy and Imaging in the THz Range Using Coherent CW Radiation

## I Introduction

During recent years there have been many efforts to understand in detail how cells function. To cope this complex problem, it is necessary to examine the components of the system, like DNA, bio-molecules, proteins, cell-membrans. Due to the large entities and the high density of electronic, vibrational and rotational states in these bio-molecules, spectroscopic investigations in the millimeter, submillimeter, and far-infrared spectral range (often called THz range) seem to be an appropriate method for this task. However, the dimensions of the samples under study are rather small, often well below Abbe’s diffraction limit, implying that in the millimeter to far-infrared spectral range it is not possible to perform measurements by standard optical methods. In addition to the scientific point of view, the THz range of frequency attracts considerable attention because of possible applications, in particular with the aim of THz imaging. While a number of groups try to peruse time domain technique utilizing short laser pulses in order to generate a broad spectrum terahertz radiation, we improved the well developed technique in the frequency domain. Since most biological and medical investigations will required measurements of molecules in aqueous solution and water is highly absorbing in the THz range, we have developed a reflection setup in addition to simple transmission arrangements.

The frequency range between microwaves and infrared has proven to be particularly challenging to experimentalists since it falls right between the range of guided waves (coaxial and microwave technique) and optical techniques (free space propagation). Microwave oscillators are in general not tunable over a larger range of frequency and/or deliver only a very small output power; hence they basically cannot be employed above 100 GHz. Coming from optical methods, standard infrared spectroscopy using Fourier transform interferometer has to cope with two problems by trying to go to lower frequencies: (i) the output power of the thermal radiation sources vanishes for $`\omega 0`$ following Planck’s law of black body radiation; (ii) the spot size to which the light can be focused for measurements is diffraction limited to approximately the wavelength. Here we present a new approach to overcome this limitations by utilizing monochromatic but tunable backward wave oscillators as powerful radiation sources and a near-field microscope in order to perform microspectrometry in the THz range.

## II Coherent Source Spectrometer

The use of backward wave oscillators as radiation sources for spectroscopic measurement in the frequency range from 1 cm-1 to 50 cm-1 ($`f=30`$ GHz to 1.5 THz; $`\lambda =0.2`$ mm to 10 mm) was developed in the group of G. Kozlov during the last twenty years . With a cw output power of 1 to 200 mW reliable optical experiments can be performed with a very short data acquisition time. The radiation can be tuned in frequency with an accuracy and stability of $`10^6`$ allowing to map very narrow absorption lines. The radiation is detected either by a Golay cell or by a silicon bolometer, which is cooled down to 1.2 K. The spectrometer has a dynamical range of up to $`10^7`$. Experiments can be performed either in reflection or transmission, where a Mach-Zehnder interferometer (Fig. 1) also allows to probe the change in phase and thus to evaluate the real and imaginary part of the electrodynamic response without performing a Kramers-Kronig analysis . Since a quasi-optical arrangement is limited by diffraction and standing-wave problems, samples smaller than approximately three times the wavelength cannot be investigated.

## III Near-Field Setup

We have developed a THz near-field microscope which allows us to perform reflection measurement on spot sizes down to $`\lambda /100`$. As displayed in Fig. 2, the setup consists of a near-field unit mounted rotatable by 90 degrees (1); one axis is used for a quasi-optical spectrometer (2), and the second by a confocal microscope (3) for distance control.

The spectroscopic investigations are done with a coherent source spectrometer similar to the one discribed above in Sec. II just arranged for reflection measurements. The cw beam generated by backward wave oscillators is mechanically chopped and focussed on the pinhole by teflon leses. Within a few seconds it can be electronically tuned over the full range of the oscillator. The reflected beam is guided to the bolometer by a wire-grid beam splitter.

The core part of the near-field spectrometer is a small pinhole(1) which is drilled in a copper foil (thickness 1 to 10 $`\mu `$m) with diameter as small as 1 $`\mu `$m and which generates the evanescent submillimeter wave the sample is probed with (Fig. 3). Behind the pinhole sits the sample (1d) which can be translated relative to the pinhole by three linear piezo-motors (1c). These motors are based on stick and slip motion with a step size of 40 to 400 nm. There is a fourth motor for moving the sample and pinhole together, which is required for the distance control via the confocal microscope. The distance between pinhole and sample is modulated up to $`\pm `$70 $`\mu `$m with high frequencies (about 1 kHz) by an additional piezo-electric bender (1b) in order to using look-in technique for data acquisition. The near-field unit is installed on an rotatable frame for performing THz measurements on the one side and the distance control on the other side.

An accurate distance control is necessary because of the strong dependence of the signal on the distance between pinhole and sample. It is performed by a image-processing confocal microscope \[Fig. 2, (3)\], which was developed by Tiziani et al. . Therefore the light of an infrared LED (3a) is focused on the sample via a rotating microlens array (3d). The reflected light is measured by a CCD camera (3h). Because of the low depth of focus, which is produced by the microlens array, the reflection has a maximum if the sample sits exactly in the focus of the last lens (3f). By moving pinhole and sample relatively to this lens a three dimensional quantitativ image originates, from which the distance between pinhole and sample can be measured with a precision of 100 nm within an adequate time.

Fig. 4 demonstrates the resolution of the near-field spectrometer. The pinhole was scanned over an interface between a microwave absorbing film and a silver film, both deposited on a glass substrate. The increase of reflectivity within a width of 200 $`\mu `$m, which corresponds to the diameter of the pinhole, can clearly be seen. With an used frequency of 180 GHz ($`\lambda =1.7`$ mm) the near-field ratio $`\lambda /d`$ is about 10. Additional mathematical treatment (deconvolution) can be used to improve the spatial resolution considerably. Details of the experimental setup will be discussed in .

## IV Spectroscopic Measurements

Due to the strong dependence of the oscillators’ output power on the frequency and due to the frequency-dependent absorption of the components of the optical spectrometer (lenses, grids, …), measurements of absolute value of the reflectivity require to perform a reference measurement on an ideal reflecting sample (e.g. a silver mirror). If only spectroscopic features have to be identified, difference spectra are sufficient which were taken of two materials, at two different sample positions, or two states different in other respect.

Employing this near-field reflection spectrometer, we have performed investigations on a variety of biological and medical samples. As an example Fig. 5a exhibits the reflectivity of the meat part of Black Forest Ham relative to the fat part in the frequency range from 5.5 cm-1 to 8.5 cm-1. The circular pinhole used was 200 $`\mu `$m in diameter in a 10 $`\mu `$m thick copper foil. The distance between pinhole and sample was 3.0 $`\mu `$m. To rule out inhomogeneities of the sample we performed three measurements on different the meat part as well as on the fat part and averaged them. The reproducibility of the main features and the homogeneity of the sample are demonstrated by dividing data sets taken at different positions, ideally leading to a 100% line (dotted line). The spectroscopic distinction between meat and fat become obvious when the ratio of the spectra is plotted (solid line).

Similar experiments have been performed on chicken bone which has a much lower water content and thus a smaller reflection coefficient. Fig. 5b shows the ratio of the the reflected power of the bone and of the cartilage. Again the spatial resolution is less than 200 $`\mu `$m.

## V Spectroscopic Imaging

In both spectra we find unexpectedly sharp and strong features; in certain ranges the reflected power is 5 times as high in cartilage compared to the chicken bone, for instance. This indicates strong absorption lines which may serve as a spectroscopic signature of the material. While at presence we cannot reliably assign the lines, we already want to note the possibility of using these large differences for imaging. Differential images may be a very sensitive tool to probe the spatial distribution of certain molecules with a resolution in the micrometer range. For this purpose only two distinct frequencies have to be measured which is easily possible by our spectrometer and which reduces the measurements time by orders of magnitude. This technique allows to selectively map out the composition of samples.

## VI Conclusion

We have developed a new microspectrometer to perform spectroscopic experiments in the THz range with a large frequency resolution of 107. The use of near-field technique enables us to obtain a spatial resolution down to several micrometers. With a reflection setup we can investigate biological samples in aqueous solution. The instrument also provides spectro-images which show the spatial distribution of biological molecules with a high spatial resolution. This novel technique has an enormous potential for a variety of biological and medical applications.

## Acknowledgements

This study has been carried out with financial support from the Commission of the European Communities, specific RTD program ‘Quality of Life and Management of Living Resources’, QLK4-CT-2000-00129 “Tera-Hertz Radiation In Biological Research, Investigation on Diagnostics and Study on Potential Genotoxic Effects”. It does not necessarily reflects its view and in no way anticipates the Commission s future policy in this area.

## References


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# The extent of strangeness equilibration in quark-gluon plasma

## 1 Introduction

Strangeness enhancement is one of the robust signatures of quark - hadron phase transition during the ultra relativistic heavy ion collisions . In heavy ion collisions strangeness is produced abundantly through the partonic interactions if the temperature $`T200`$ MeV, the mass threshold of this semi-heavy flavour. The extent of its equilibration would however depend upon the initial conditions and the life time of the hot deconfined phase. It has recently been shown that the chemical equilibration of the light flavours and the gluons slows down due to the radial expansion . It should then be expected that the extent of strangeness equilibration can also be affected if the radial expansion of the plasma is included. An early work in this direction used the initial conditions obtained from the HIJING model and considered only a longitudinal expansion . In the present work, we closely follow this treatment with the initial conditions obtained from Self Screened Parton Cascade (SSPC) model  and extend it to include transverse expansion  as well. In the next section we briefly describe the hydrodynamic and chemical evolution of the plasma in a (1+1) dimensional longitudinal expansion and a (3+1) dimensional transverse expansion. A brief summary is given in Sec. 3.

## 2 Hydrodynamic Expansion and Chemical Equilibration

### 2.1 Basic equations

We start with the assumption that the system achieves a kinetic equilibrium by the time $`\tau _i`$ and the chemical equilibration is assumed to proceed via gluon multiplication process ($`ggggg`$) and quark production process ($`ggq\overline{q}`$). The expansion of the system is now controlled by the equation for conservation of energy and momentum of an ideal fluid:

$$_\mu T^{\mu \nu }=0,T^{\mu \nu }=(\epsilon +P)u^\mu u^\nu +Pg^{\mu \nu },$$
(1)
where $`\epsilon `$ is the energy density and $`P`$ is the pressure measured in the rest frame of the fluid . The four-velocity vector $`u^\mu `$ of the fluid satisfies the constraint $`u^2=1`$. We assume that the distribution functions for partons can be scaled through equilibrium distributions as

$$f_j(E_j,\lambda _j)=\lambda _j\stackrel{~}{f}_j(E_j),$$
(2)
where $`\stackrel{~}{f}_j(E_j)=(e^{\beta E_j}1)^1`$ is the BE (FD) distribution for gluons (quarks), and $`\lambda _j`$ ($`j=g,u,d,s`$) are the nonequilibrium fugacities, $`E_j=\sqrt{p_j^2+m_j^2}`$, and $`m_j`$ is the mass of the parton. We solve the hydrodynamic equations (1) with the assumption that the system undergoes a boost invariant longitudinal expansion along the $`z`$-axis and a cylindrically symmetric transverse expansion . It is then sufficient to solve the problem for $`z=0`$.

The master equations governing the chemical equilibration for the dominant chemical reactions are

$`_\mu (n_gu^\mu )`$ $`=`$ $`(R_{23}R_{32}){\displaystyle \underset{i}{}}\left(R_{gi}R_{ig}\right),`$
$`_\mu (n_iu^\mu )`$ $`=`$ $`_\mu (n_{\overline{i}}u^\mu )=R_{gi}R_{ig},`$ (3)
in an obvious notation. The gain and loss term for the gluon fusion ($`ggi\overline{i}`$) and gluon multiplication ($`ggggg`$) processes can be written as

$`R_{gi}R_{ig}`$ $`=`$ $`R_2^in_g\left(1{\displaystyle \frac{\lambda _i^2}{\lambda _g^2}}\right).`$ (4)
$`R_{23}R_{32}`$ $`=`$ $`R_3n_g\left(1\lambda _g\right).`$ (5)
Using these rate equations, Eq.(3) can now be simplified for (3+1) and (1+1) dimension accordingly . For solving the eqs.(1) and (3) numerically, we use the initial conditions obtained from SSPC model . In calculating the thermally averaged and velocity weighted rates, $`R_2^i`$ and $`R_3`$, we have also considered the temperature dependent coupling constant, however, for details of the calculation see Ref. .

### 2.2 Results and Discussions

In figure 1 we show our results for the longitudinal expansion for RHIC and LHC energies. We do note that the plasma is not fully chemically equilibrated at either RHIC or LHC energies. As the additional parton production consumes energy, the temperature of the partonic plasma is found to be reduced considerably faster than the ideal Bjorken’s scaling ($`T=T_0(\tau _0/\tau )^{1/3}`$, $`T_0`$ and $`\tau _0`$, respectively, are initial temperature and time of the parton gas) represented by the dashed line. We further note that the extent of equilibration for the strange quarks in comparison to that for the light quarks ($`\lambda _s/\lambda _{u,d}`$) rises rapidly and once the temperature falls below about $`300`$ MeV ($`2m_s`$ ) it gets more or less frozen by this time.

In figure 2, we present our results for the radial variation of $`\lambda _s/\lambda _{u,d}`$ for RHIC and LHC energies, respectively, for various times along the constant energy density contours with $`\tau =N\tau _0`$. Here $`N`$ is defined  through $`\epsilon (r,\tau )=\epsilon (r=0,\tau _0)/N^{4/3}`$. We see that the extent of strangeness equilibration attains its highest value near $`r=0`$ and rises rapidly first and only slowly later in time, though the individual variation of differnet $`\lambda `$’s are somewhat interesting . Here also the plasma is not fully equilibrated as before.

The radial variation of the final fugacities with the initial energy density for RHIC and LHC energies are displayed in figure 3. It is interesting to note that once the energy density is beyond about 20–40 GeV, the final fugacities for all the partons increase almost linearly with the square of the energy density  as obtained at the CERN SPS  energies.

## 3 Summary

We have studied the evolution and production of strangeness from an equilibrating and transversely expanding quark gluon plasma. Initial conditions are obtained from SSPC model. We find that most of the strange quarks are produced when the temperature is still more than about 300 MeV ($`2m_s`$) and are not fully equilibrated. We also find approximately that the number of strange quarks produced (extent of strangeness equilibration) rises linearly with the square of the initial energy density within our approach. This may help us to obtain the scaling of the initial energy density with the number of participants.


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# The nuclei of radio galaxies in the UV: the signature of different emission processesBased on observations obtained at the Space Telescope Science Institute, which is operated by the Association of Universities for Research in Astronomy, Incorporated, under NASA contract NAS 5-26555.

## 1 Introduction

In the framework of the unification models for radio-loud active galactic nuclei, radio galaxies are believed to be the misoriented counterparts of quasars and blazars (Barthel 1989; for a review, see Urry & Padovani 1995). Although observationally this scheme is mainly supported by the comparison of the extended components of these classes of AGN, a direct study of their nuclear properties is a crucial tool both to confirm such a framework, and to infer fundamental information about the innermost structure of these sources.

In quasars and blazars, the nuclear components dominate the observed radiation. Their origin is generally believed to reside in thermal emission from the accretion disk and non-thermal emission from the relativistic jet, respectively. In the case of blazars, the jet is observed almost along its axis and its emission is strongly enhanced by relativistic beaming Antonucci & Ulvestad (1985). In radio galaxies, all of these components should still be present, although the presence of obscuring structures in the inner few pc, which is strictly required by the unification models at least in the case of the most powerful sources (FR II), might hamper their direct observation. Moreover, the inner jet emission should be strongly de-amplified in radio galaxies, due to the much larger angle of the line–of–sight to jet direction.

The detection of faint nuclear optical components (central compact cores, CCC, or “nuclei”) in 3CR radio galaxies, which are still unresolved even in HST images (Chiaberge et al., 1999, hereafter Paper I) allow us to directly investigate the properties of the optical emission from the active nucleus in this class of sources.

The picture which emerges from these studies is that nearby radio galaxies’ nuclei have two main flavors. A large fraction of FR II appear to be consistent with the currently accepted scheme: they either show strong optical nuclei associated with narrow and broad emission lines, or absorbed nuclei (either not detected or seen through scattered light) in objects with only narrow emission lines (Chiaberge et al., 2002, 2000, hereafter Paper II). On the other hand, most FR I have unobscured synchrotron-dominated optical nuclei, low-efficiency radiating accretion disks (e.g. Advection Dominated Accretion Flows, ADAF, Rees at al. 1982, Narayan & Yi 1995) and lack substantial emission lines regions. Surprisingly, a significant fraction of FR II in which broad lines are not detected, show faint optical nuclei with optical–radio properties undistinguishable from those of FR I. The nature of these sources is still unclear, although their consistency with the FR I nuclei suggests that at least some of them might be unobscured synchrotron nuclei as well. These results have found support in the recent observations by Whysong & Antonucci (2001) of a strong $`10\mu `$ nuclear thermal component in Cygnus A (3C 405, an FR II), which is not observed in M 87 (3C 274, an optically unobscured FR I; see also Perlman et al. 2001).

In light of these results, a classification of radio galaxies based on their nuclear properties seems to be more closely related to the physical process occurring in the central regions of the sources rather than in the old FR I/FR II morphological dichotomy. This appears to be (at least qualitatively) consistent with the dual–population scheme proposed recently Jackson & Wall (1999), which unifies the different sources mainly on the basis of their spectral properties.

However, due to the lack of complete spectral information on the nuclei, several questions are still waiting for a definitive answer: are FR I and FR II nuclei intrinsically different? What is the role of obscuration in FR I? What is the role of the different “flavors” of radio galaxies in the AGN paradigm?

In this paper, we test the nature of radio galaxy nuclei, using HST/STIS UV observations. High resolution UV data are crucial in order to test the new picture of the radio galaxy dichotomy. In view of the relatively low intensity of the underlying stellar emission from the host galaxy the detection of CCC in UV images is straightforward. Due to the reasonably large difference in frequency between UV and optical data, we can derive the spectral shape in this critical region, where different spectral properties are expected for different origins of the observed nuclear components. Furthermore, UV emission is very sensitive to obscuration by dust, therefore the presence of an even moderate amount of absorption along the line of sight to the nuclei will clearly affect their observed spectral properties.

The paper is organized as follows: in Section 2 we describe the sample and the HST observations; in Section 3 we outline our method for the detection and photometry of the nuclei in the UV images, and compare it to what has been done in the optical. In Section 4 we show our results and we combine them with the available radio and optical nuclear data, while in Section 5 we discuss the implications of our results for the nuclear structure and the origin of the emission. In Section 6 we present a summary of our findings and we draw conclusions.

## 2 The sample and the HST observations

We analyze a sample of nearby ($`z<0.1`$) FR I and FR II radio galaxies belonging to the 3CR catalog, for which both optical and UV HST observations are available. The sample comprises 28 radio galaxies, 13 of them morphologically classified as FR I and 15 as FR II. Of the 15 FR II, 7 are HEG (high excitation galaxies), 5 are LEG (low excitation galaxies; Hine & Longair 1979, Jackson & Rawlings 1997) and 3 are broad–line radio galaxies (BLRG). The list of the sources is shown in Table 1.

All objects, except for 3C 78, 3C 264 and M 871113C 78 and 3C 264 have been observed with STIS as part of program 8233, while M 87 have been observed as part of program 8140, P.I. J. Biretta, have been observed with the HST as part of the STIS UV snapshot survey of 3CR radio sources (Allen et al. 2002). We have excluded from the sample 3C 231 (M 82) which is a starburst galaxy. STIS observations have been made with the NUV–MAMA detector and filters with peak sensitivity at $`2300`$ Å. In particular, most of the images were obtained with the F25SRF2 long pass filter, which excludes strong contamination from the Ly$`\alpha `$ emission line within the redshift range of our sources. The brightest objects have been observed with the narrower band F25CN182 filter, in order to avoid saturation. M 87, and 3C 78 have also been observed by STIS NUV–MAMA, using the F25QTZ filter (whose characteristics are similar to F25SRF2) while 3C 264 has been observed using the F25CN182 filter.

The log of optical and UV observations is presented in Table 2 where it can be seen that for 4 sources (M 87, 3C 78, 3C 264 and 3C 317) the observations occurred simultaneously (or near-simultaneously). Given that all sources in the sample are likely to be intrinsically variable, the time lapse between observations of the other 24 sources might be significant and we discuss this point further in section 5.3.

The sample is not statistically complete, because a few sources were not observed during the SNAPSHOT campaign. However, all the different spectral and morphological types present in 3CR radio galaxies with $`z<0.1`$ are well represented.

## 3 Detection and photometry of UV CCC

As shown in detail by Allen et al. (2002) the morphology of radio galaxies as observed in the UV band can be significantly different from what is seen in the optical images. This certainly holds in the nuclear region, where dust features dramatically absorb the underlying emission in the UV and clumps of (likely) star formation are present. Also, in that band the stellar emission from the host galaxy is substantially reduced with respect to optical (R-band) frequencies, typically by a factor of $`15`$, in an $`F_\lambda `$ representation.

Most of the UV images have very low level of stellar emission. Therefore, while the search for optical CCC has been based on the analysis of the surface brightness profiles of the central regions of the galaxies (Papers I & II), here we search directly for the UV counterparts of the optical CCC. In addition, we also search for unresolved UV CCC in galaxies which do not have optical CCC, but find none. All of the UV CCC sources have FWHM $`0.05^{\prime \prime }0.07^{\prime \prime }`$, indicating that they are unresolved by HST.

Of the 13 FR I galaxies in our sample, 10 (or 77% of the sample) have a UV nucleus. In the optical, 12 (92%) have a CCC. Whenever a galaxy has a nucleus in the UV, it also has a nucleus in the optical. Of all the FR Is in the sample, only 3C 305 does not have a CCC either in the optical or in the UV. Interestingly, the two sources which lack the UV CCC but do have it in the optical (namely 3C 270 and 3C 296) have prominent nuclear dusty disks observed almost edge on Capetti & Celotti (1999); Martel et al. (2000). These disks are clearly visible in both the optical and the UV images.

Of the 15 FR II galaxies of our sample, only 5 sources have a nucleus in the UV. All of them also have a CCC in the optical. In particular, a CCC is present in all of the 3 BLRG, and only in $`1/5`$ and $`1/7`$ of the HEG and LEG, respectively. The BLRG have the brightest nuclei of the sample. HST data are available for 3C 285 both in the R and V bands. A faint CCC is present in the R band image, but this component is not detected in the V band. In this case, obscuration might be provided by a prominent large scale dust lane, similar to that observed in Centaurus A. In this latter object, the IR-bright nucleus vanishes in HST images for wavelengths shorter than $`5000`$ Å Marconi et al. (2000).

We have performed aperture photometry of all the nuclei using the IRAF RADPROF task, setting the background level at a distance of $`0.17`$ arcsec (7 pixels in the STIS/MAMA images) from the center. Counts were converted to fluxes adopting the HST internal calibration222The PHOTFLAM parameter in the image header (inverse sensitivity) is defined assuming a flat spectral distribution in $`F_\lambda `$ (in units of erg cm-2 s-1 Å-1). As we will show in the following, most of the nuclei have significatively sloped spectral indices. We have therefore recalculated the effective observing wavelength and the value of the inverse sensitivity with an iterative process for all of the sources, using the SYNPHOT package. Only in the case of 3C 449, the source with the steepest observed spectrum, this significatively affects the effective observing wavelength and the estimate of the flux., which is accurate to 5%. However, except for those sources in which the CCC is clearly the only observed component in the UV, the dominant source of error is the presence of some extended emission from the host galaxy and/or absorption features which might strongly affect the background determination. This results in a typical error of $`10\%`$, therefore comparable to that in the optical.

For 3C 270 we derive a rough upper limit to the nuclear flux, as the presence of a dusty disk and emission features in both the optical and UV images allows us to identify the position of the nucleus, although it is not visible in the UV. For the remaining objects no reliable upper limits can be derived. Also note that the LEG 3C 35 has a UV central component which is not a point source.

## 4 Results

The results of the photometry of the CCC are summarized in Table 3. For completeness, we also include the optical fluxes, as taken from Paper I and II. Since in the UV band dust absorption plays an important role in drastically reducing the observed flux, we have de-reddened the fluxes taking into account the galactic absorption and adopting the Cardelli et al. (1988) extinction law (Table 4). In the following sections and figures we will use the de-reddened fluxes, although galactic extinction does not significantly affect the results in any of the sources333The maximum value of the color excess due to galactic absorption is $`E(BV)=0.167`$ in the case of 3C 449. This value of $`E(BV)`$ affects the UV and optical fluxes by factors of only 3 and 1.4, respectively..

To study the relationship between the optical and UV CCC for the 15 sources of Table 4, we plot their UV flux and luminosity versus their optical values. The same behavior is observed in both the flux and luminosity regimes: we see that the UV CCC span a range of $`5`$ dex in flux and $`6`$ dex in luminosity, whereas the optical CCC span smaller ranges (about 1 dex in both flux and luminosity).

Given the large difference in frequency between the optical (R-band) and UV observations, we could derive the broadband spectral indices \[optical–UV\] with considerable greater accuracy than previously possible (Paper I). The values of $`\alpha _{\mathrm{o},\mathrm{UV}}`$, where $`\alpha `$ is defined as $`F_\nu \nu ^\alpha `$, are reported in Table 4. Typical errors for $`\alpha `$ are of the order of $`\pm 0.1`$. For reference, in Fig 1 and 2 we have overplotted dashed lines corresponding to different optical-UV spectral indices $`\alpha _{\mathrm{o},\mathrm{UV}}`$=1,2,4,6 (top to bottom). We find that the UV and optical luminosities of the brightest sources sources are almost identical. However, the lower optical luminosity sources have much weaker UV emission (by a factor of $`100`$).

In Fig. 3 we plot the optical-UV spectral index vs. the ratio between the optical CCC and the radio core flux. The quasi-linearity of the FR I radio-optical correlation implies a quasi-constant ratio of the optical to radio flux (corresponding to $`\mathrm{log}(F_o/F_r)3.6`$), therefore objects on the left side of this plot are on the FR I correlation, while for higher values of $`\mathrm{log}(F_o/F_r)`$ an optical excess is present. The shaded area corresponds to the rms of the correlation (see figure caption for details). Unfortunately, no radio core measurements are available in the literature for 3C 198, therefore its position is this plane is undetermined. Sources clearly separate in this plane. Broad-lined FR II have similar (and rather flat) $`\alpha _{\mathrm{o},\mathrm{UV}}`$. The synchrotron–dominated FR I have lower values of $`F_o/F_r`$ by a factor of ($`10100`$), they lie in the region of the correlation between the radio and optical cores, but span a large range in $`\alpha _{\mathrm{o},\mathrm{UV}}`$. Interestingly, the only LEG FR II with a detected CCC (3C 388) lies in the region typical of FR I. For comparison, we have also plotted radio-loud QSO444The radio-loud QSO with $`z<0.3`$ from the Elvis et al. (1994) sample are: 3C 206 ($`z=0.197`$), 3C 323.1 ($`z=0.264`$), MC2 1635+119 ($`z=0.146`$), PHL 1657($`z=0.2`$) PG 0007+106 ($`z=0.089`$), B2 1028+313 ($`z=0.178`$), 3c 273 ($`z=0.158`$) and 4C 34.47 ($`z=0.206`$). with $`z<0.3`$ from the sample of Elvis et al. (1994). Since these sources are at a higher redshift than our 3C galaxies, we have used the I-band magnitudes and the UV fluxes measured at 3000 Å (as taken from Elvis et al. 1994) to mimic the rest–frame $`\alpha _{\mathrm{o},\mathrm{UV}}`$. BLRG in our sample and the QSO occupy the same region of the plane, except for 3C 273. In the following we will discuss the implications of the different position of the sources in this plane, strongly supporting a different origin of the nuclear emission in the various classes of radio galaxies.

## 5 Discussion

UV data are a fundamental tool to study the effects of obscuration in the central regions of these galaxies, as this spectral band is very sensitive to the presence of dusty structures. Also, different emission processes for the nuclei imply different values of the optical–UV spectral slopes. By combining the UV data with the already available radio and optical data, we can address some important questions such as:

$``$ are FR I and FR II intrinsically different?

$``$ what do the UV observations tell us about their physical nature?

$``$ what is the role of these sources in the AGN paradigm?

$``$ what is the role of obscuration in FR I?

Qualitatively, FR II nuclei are brighter and have flatter spectral slopes than FR I. Such a behavior can be accounted for by two basic scenarios: (i) an intrinsic spectral difference, reflecting different physical properties, and (ii) an external reason, namely a different amount of absorption in the various sources. Obviously, it is also possible that a combination of these two factors contributes to define the observed properties. Whatever the nature of the CCC, an increasing column density naturally both steepens the spectral slope and lowers the amount of observed photons. However, the physical processes responsible for the emission cannot be constrained on the basis of only the optical and UV fluxes and luminosities.

In the following sections we will further discuss the nature of the CCC by taking advantage of the already known behavior of the different sources in the radio-optical plane.

### 5.1 Disk dominated vs. synchrotron dominated sources?

It is widely believed that in radio–loud AGN two main emitting components play a role in defining the optical-UV spectral properties of the nuclear continuum: the thermal emission from the accretion disk and the non-thermal synchrotron radiation from the relativistic jet. In addition, we must consider the role of absorption, which might significatively alter the observed spectra. Theoretical models for thermal disk emission (in the case of a standard Shakura–Sunyaev, optically thick and geometrically thin disk) predict that such a component should peak in the UV band, at wavelengths shorter than 1000 Å, therefore hard UV spectral slopes ($`\alpha _{UV}0.3`$) are expected. Flat spectral components with $`\alpha _{\mathrm{o},\mathrm{UV}}<1`$ are indeed commonly observed in both radio–quiet and radio loud QSO (see e.g. Elvis et al. 1994).

On the other hand, the spectral slope of synchrotron dominated sources is poorly constrained, as it depends on physical parameters (mainly on the electron distribution, the magnetic field and the beaming factor) which cannot be easily determined “a priori”. However, we can try to estimate it by analogy with other synchrotron emitting sources for which the SED is well known. In the framework of the AGN unification schemes, radio galaxies are believed to constitute the so-called parent population of blazars, therefore the comparison with the observed properties of these sources might be helpful. Blazars are objects in which the jet is believed to be observed almost “on-axis”. Their observed SED (in a $`\mathrm{log}\nu \mathrm{log}(\nu F_\nu )`$ representation) is composed of two broad peaks: the lower energy peak is commonly interpreted as due to synchrotron emission, while the high energy peak is ascribed to inverse Compton emission. The frequency of the peaks can vary substantially from one source to another: the lower energy peak can be located between the IR and the X-ray band, while the higher energy peak is generally in the gamma-ray band. Fossati et al. (1998) have shown that the position of the synchrotron peak, which is well constrained by the observations, is related to the bolometric luminosity of the source. The lower the power of the object, the higher the synchrotron peak frequency $`\nu _{\mathrm{peak}}`$.

Clearly, the relative position of the peak and the observing frequencies strongly affects the observed UV–optical spectral index. For objects in which $`\nu _{\mathrm{peak}}`$ is significatively lower than the observing range, steep ($`\alpha 13`$) spectral indices are measured, while flatter spectra ($`\alpha 0.51`$) are observed if $`\nu _{\mathrm{peak}}`$ is placed at higher frequencies.

Relativistic effects must also be taken into consideration in order to estimate the putative position of the synchrotron peak for our nuclei. Since the emission from the jet is strongly affected by beaming, the peak frequency shifts towards lower values and (most importantly) towards lower luminosities as the angle between the jet axis and the line of sight increases. However, as a result of beaming, it is possible that in highly misoriented objects such as most radio galaxies, the radiation emitted by a slower component of the jet (e.g. a layer) might dominate the observed nuclear emission, while the (faster) component which dominates blazar emission might not be observed Chiaberge et al. 2000b . Unfortunately, the spectral properties of this component are still very poorly known.

The position of the objects in the plane formed by the optical–UV spectral index vs the logarithm of the ratio between optical CCC flux to radio core flux, which is shown in Fig. 3 and has been described in Sect. 4, can be interpreted as related to the different nature of their nuclear emission. Objects in our sample which show an optical excess with respect to the radio-optical correlation are BLRG FR II and have flatter spectral indices ($`\alpha _{\mathrm{o},\mathrm{UV}}0.61.2`$). These sources occupy the same region of the plane as radio-loud quasars of comparable redshift, from the Elvis et al. (1994) sample, which are plotted as stars. The SED of the QSOs is well known and it clearly shows the presence of a “blue bump”, which is commonly interpreted as the most prominent signature of thermal emission from the accretion disk. The only quasar with a lower value of $`\mathrm{log}(F_o/F_r)`$ is 3C 273, which is classified as a blazar. The contribution from the relativistic jet emission (which generally shows strong variations) in this spectral region can indeed alter substantially the observed spectrum in this source Ghisellini et al. (1998). In fact, it lies close to the region of the FR I correlation, indicating that thermal disk emission is low in the optical band, but shows a flat $`\alpha _{\mathrm{o},\mathrm{UV}}<1`$, implying the presence of a strong component at higher energies, similarly to what is observed in the other QSO.

We conclude that our BLRG are compatible with being thermal–disk dominated objects. Their distance from the shaded region is possibly determined by the relative contribution of the disk and jet emission, which might also be related to the source orientation.

As pointed out above, FR I show a different behavior. They have similar values of $`F_o/F_r`$, since they lie on the radio-optical correlation, while they span a large range in $`\alpha _{\mathrm{o},\mathrm{UV}}`$, from $`1`$ to the extreme case of 3C 449, for which $`\alpha _{\mathrm{o},\mathrm{UV}}=7`$. However, taking into account the above considerations, we can conclude that slopes significatively flatter or steeper than unity are not expected for our sources. Steep spectral slopes in synchrotron spectral components can be observed only for a relatively small range of frequencies, which is confined to be well above the low energy peak, but still before the rising of the inverse–Compton component. Therefore, intrinsic values of $`\alpha _{\mathrm{o},\mathrm{UV}}`$ larger than $`3`$ appear to be inplausible for synchrotron emitting sources. In the following section we show that a moderate amount of absorption can account for the observed behavior.

### 5.2 Evidence for a moderate amount of obscuration in FR I

The apparent inconsistency between the synchrotron scenario and the presence of such steep spectral slopes, can be solved if a modest amount of absorption is present, since it might naturally contribute to steepen the observed spectrum. In order to test whether the range of spectral indices and their relative amounts of radio, optical, and UV emission is compatible with being due to absorption, we have plotted in Fig. 4 the ratio of radio to UV emission, versus the ratio between optical and UV emission. The dashed line is the “absorption trail”, which has been calculated by taking into account the effects of an increasing amount of absorption on the observed optical and UV fluxes.

All FR I (except for 3C 449) are well aligned to such a line. The FR II 3C 388 lies on the absorption trail as well. If we assume an intrinsic slope of 1 for all of these sources, the range of observed $`\alpha _{\mathrm{o},\mathrm{UV}}`$ corresponds to a very small amount of absorption. A maximum $`A_V`$ of $`6`$ is obtained in the extreme case of 3C 449, while all other sources are between 0.15 and 3 (the median being $`A_V=1.3`$). Although this is a clear evidence of nuclear absorption in FR I sources, these observations show that the properties of the absorbing material are not compatible with a standard geometrically thick torus structure. In fact, the position of the sources along the absorption trail in Fig.4 is strictly connected with orientation. On the one hand, the sources which appear to be the less absorbed (namely 3C 264, 3C 66B, 3C 78 and 3C 274, lying on the bottom-left of the plane, close to the BLRG), are all objects in which optical jets are seen. The presence of such features has been interpreted as due to their relatively small viewing angle Sparks et al. (2000) which, as a result of relativistic beaming, contributes to enhance the jet radiation. On the other hand, dusty disks observed almost edge-on are seen among the most absorbed sources (e.g. 3C 449, 3C 465; Capetti & Celotti 1999, Martel et al. 2000). In the most extreme cases (3C 270, 3C 296) the nuclear source is clearly visible in the optical, but it is not present in the UV. Such trend with orientation implies that the absorbing material cannot be distributed either as a spherical structure (all sources should be affected by absorption) nor as a thin disk where the absorbing material is well confined. In the latter case, in fact, no trend with orientation should be seen: sources should be either absorbed or not absorbed without any intermediate case. However, the most striking difference between these structures and the classic AGN “tori” resides in the lower optical depth of the FR I absorbers, which allow us to observe the CCC even in the UV in all FR I, except for the most extreme cases of 3C 270 and 3C 296.

In light of these results, we can confirm the claim that FR I nuclei are generally unabsorbed. The moderate amount of absorption observed in these objects cannot be ascribed to the presence of a “classic” torus–like structure which is typical of other AGN, and might be instead accounted for either by extended (kpc–scale) dust lanes (e.g. in the case of 3C 29, in which the signature of a dust lane is clearly visible in the HST images, Sparks et al. 2000), or by the ($`100`$ pc–scale) dusty disks. In the latter case, the absorbing column density must vary smoothly for different viewing angles.

As already noted above, one FR II (3C 388, which is classified as a LEG) lies in the region typical of FR I. This appears to confirm what has been already found in Paper II: 3C 388 belongs to a third class of FR II sources whose optical nuclei are indistinguishable from those of FR I (we have called such class “FR I–like”). The fact that this object is both on the radio-optical correlation and does not show any UV excess, typical of thermal disk emission, further constrains its origin as due to non-thermal synchrotron radiation, as it is for FR I nuclei. This also rules out the possibility that its CCC emission is produced by a compact scattering region, reflecting the presence of a hidden quasar in its nucleus, since quite flat values of $`\alpha _{\mathrm{o},\mathrm{UV}}`$ should be observed in that case. The synchrotron origin of its nuclear emission, together with the lack of strong emission lines in its spectrum, lead us to identify 3C 388 with a “parent source” for BL Lac objects, in agreement with the “dual population scheme” Jackson & Wall (1999).

### 5.3 Variability

Spectral variability is a common characteristic of both synchrotron and disk–dominated sources. In particular, highly beamed non–thermal sources such as BL Lac objects show dramatic variations on all timescales (from minutes to years). Since the relativistic beaming factor is expected to be significantly lower in radio galaxies, such behavior is expected to be present, although on longer timescales. Clearly, this might strongly affect the determination of the spectral slope. Therefore, it is important to use, where available, simultaneous observations.

Only three sources in our sample (3C 78, 3C 264, 3C 317) have simultaneous (within few hours) optical–UV data, while for 3C 274 the time lag between optical and UV observations is only $`6`$ days. In addition to the FOC, 3C 317 has also been observed as part of the STIS UV SNAPSHOT program5553C 317 was observed by STIS NUV-MAMA, with the F25SRF2 filter, on 1999 July 27.. Interestingly, we have found that the flux of the CCC in the STIS observation is $`5.1\times 10^{17}`$ erg cm-2 s-1 Å-1, a factor of $`10`$ brighter than in the FOC observation of 1994. Such high variability factor indeed strongly supports the non–thermal synchrotron scenario. Variability has been also detected in the optical band in 3C 274, although with much lower intensity Tsvetanov et al. (1998).

The determination of the spectral slopes of objects for which no simultaneous data are available might be significantly affected by variability. However, we are confident that the general behavior of the CCC is correctly represented by our estimates. For the BLRG this is mainly supported by the fact that all of them show similar spectral indices. For the FR I, both their position in the plane of Fig. 4 and the close connection between steep $`\alpha _{\mathrm{o},\mathrm{UV}}`$ and the presence of obscuring structures are strong clues that obscuration and not variability is indeed the main physical reason for the observed steep slopes.

We conclude that the general behavior is well represented by the picture outlined above, although we cannot definitively rule out the possible presence of variability in individual sources.

## 6 Summary and conclusions

We have analyzed images of 28 nearby 3C radio galaxies for which both optical and UV HST images are available. We have found that all objects which show an UV CCC, also show it in the optical. Only two galaxies (of the FR I type) which have a CCC do not have its UV counterpart. These missing nuclei seem to be associated with the presence of extended ($`100`$ pc–scale) dusty disks which are seen almost edge–on in these galaxies, and might absorb the nuclear emission in the UV band. However, as the nuclei are clearly seen in the optical, the amount of absorption must be small, and not comparable to the much higher column densities characterizing absorbing “tori” in other classes of AGN. The high detection rate of unresolved nuclei in the UV among FR I sources further indicates that their nuclei are generally seen directly and absorbing tori are not a common characteristic among such low power radio galaxies.

Of the FR II, three are classified as broad–lined radio galaxies and show the brightest nuclei. The only non–broad lined FR II which shows a (fainter) CCC is 3C 388, which is classified as a LEG.

We have shown that by combining the UV data with the already available optical and radio information we can further investigate the origin of these nuclei. In a plane formed by the optical–UV spectral index versus the optical excess with respect to the radio core emission, CCC occupy different regions. This can be well explained if their position in such plane is strictly connected to the emission process. In particular, the bright nuclei of broad–lined FR II are explained with thermal emission from the accretion disk, while the other CCC (all FR I and one FR II, 3C 388) are compatible with being originated by synchrotron radiation from the jet. The strong variability found in the case of 3C 317 is a further clue of its synchrotron jet origin.

A major result of this work is that only a moderate amount of absorption, whose magnitude appears to be linked to the orientation of the source, is needed to account for the wide range of $`\alpha _{o,UV}`$ spanned by FR I nuclei. Extinction can be higher than $`A_V12`$ only in highly misoriented galaxies which clearly show extended dusty structures. This indeed constitutes the first direct evidence of nuclear absorption in FR I radio galaxies. Although supported by the presence of only one object, it appears that 3C 388 belongs to a class of FR II with FR I–like nuclei, in agreement with previous findings. In the framework of the unification models, these objects might well represent the parent population of BL Lacs with an FR II radio morphology and power Kollgaard et al. (1996); Cassaro et al. (1999).

FR II in which no nuclear source is seen are expected in the frame of the unification models, and we have found 11 FR II with no UV CCC which might be the obscured counterparts of BLRG. However, in order to firmly establish their role a detailed comparison of other properties of these sources (e.g. emission lines, X-ray spectra, extended power and morphology) with those of the unabsorbed FR II has to be carried out. If they indeed harbor an obscured quasar nucleus, these galaxies should also show strong IR nuclear components, as it has been found (at 10 $`\mu `$m) for 3C 405 Whysong & Antonucci (2001). Unfortunately, the incompleteness of the sample prevents us from drawing any conclusion on the geometry and covering factor of the obscuring material based on the relative number counts of obscured an unobscured objects.

These results provide further support for the idea that the nuclear structure of FR I is different from other AGN, in which signatures of the presence of nuclear optically thick dusty tori are often found. In these low power radio galaxies, the absorbing material cannot be distributed either as a spherical structure nor as a thin disk in which the absorbing material is well confined. The extended dusty disks often observed in such galaxies can well account for their observed properties. Having assessed the nature of the nuclear emission, the study of the possible connection between the extended dusty structures, the feeding mechanism of the central black hole and the nature of the accretion process in the different classes of radio galaxies is a promising future perspective for this work.

This work has been partially supported by the STScI (DDRF) grant D0001.82258. This research has made use of the NASA/IPAC Extragalactic Database (NED) which is operated by the Jet Propulsion Laboratory, California Institute of Technology, under contract with the National Aeronautics and Space Administration. The authors wish to thank the anonymous referee for useful comments and suggestions that improved the paper.


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# References

Simple Simulational Model for

Stocks Markets

JUAN R. SANCHEZ 111Email: jsanchez@fi.mdp.edu.ar

Departamento de Física, Facultad de Ingeniería

Universidad Nacional de Mar del Plata

Av. J.B. Justo 4302, 7600 Mar del Plata, Argentina

## Abstract

A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how the behavior of the noisy and fundamentalists traders can be taken into account simultaneously in the time evolution of each stock price. The simulated time series is analysed in different ways order to compare parameters with those of real markets.

Recently, several computational models trying to represent the behavior of actual stocks markets have been presented.  ¿From these results it seems to be a well established fact that, in order to obtain a good representation of the time evolution of actual markets, two type of traders agents must be included. On one side there are the so called noisy traders which are supposed to follow the local (in space and time) trend of the market. The noisy traders, also called followers, place their buy or sell orders on a given stock following the behavior of other (related) stocks. This kind of attitude seems to be an almost evident practice for someone trying to operate within a market. But, on the other hand, there are also fundamentalists traders which are considered to be responsible of the market turn offs. These kind of traders are supposed to know something more about the market and then are able to develop some kind of more sophisticated strategy to operate. They can take actions to buy or sell according to other indicators; the markets fundamentals. These indicators could depend on other type of information which usually may come from outside of the system. In previous models the two types of agents are represented in a variety of ways.  For instance, in reference 2 the influence of the fundamentalists is modeled by including a term that takes into account the tendency in the price changes. This effect stabilizes the prices. On the other hand, in reference 3 the two type of traders are included as separate entities. Then, it is realistic to think that both type of behaviors are acting at the same time and influence the way in which a specific stock price change. ¿From the point of view of simulations, another common characteristic of many of the models just presented seems to be the use of Ising like variables that represent the buy or sell attitude of market agents.

Taking into account all the above mentioned characteristics, a somewhat different modeling approach is presented here. In principle, the model is based in previously reported models of opinion evolution in a closed community.  But, instead of using Ising spins, here the community is modeled by a vector of stock prices $`𝐱`$ having $`N`$ integer valued “Potts” components $`x_i`$, each one representing the price of a market asset (in arbitrary units). Then, associated with each $`x_i`$ is a direction of movement value $`v_i`$. The components $`v_i`$ form a vector $`𝐯`$. This components are of Ising type, i.e., they can take two values $`v_i=+1`$ and $`v_i=1`$. The vectors $`𝐱`$ and $`𝐯`$ evolve in time according to the following dynamical rules. A randomly chosen component $`x_i`$ is updated according to the equation

$$x_i(t+\mathrm{\Delta }t)=x_i(t)+v_k(t);$$
(1)
while for the corresponding $`v_i`$ components the following equation is valid

$$v_i(t+\mathrm{\Delta }t)=\{\begin{array}{cc}\hfill v_k(t)& \mathrm{if}|x_i(t)|<X_{th}\hfill \\ & \\ \hfill v_i(t)& \mathrm{if}|x_i(t)|>X_{th}.\hfill \end{array}$$
(2)
The value of $`v_k`$ is obtained by choosing at random among the direction values of each one of the neighbors, i.e., $`v_k=v_{i1}`$ or $`v_k=v_{i+1}`$ with equal probability. In principle, the algorithm described by the equations 1 and 2 takes into account the influence of the noisy traders which follow the trend of related stocks in order to buy ($`v_i=+1`$) or to sell ($`v_i=1`$) an specific asset. However, it is not reasonable to think that the prices $`𝐱`$ could take arbitrary positive or negative values. There is no actual market following a given trend for ever. Then in order to take into account the influence of the fundamentalists traders, a threshold $`X_{th}`$ is established for the absolute value of each $`x_i`$. As it can be seen in equation 2, if at any time $`|x_i|>X_{th}`$ the corresponding direction of movement $`v_i`$ is reversed, $`v_iv_i`$. This reversal procedure simulates the influence of the fundamentalists traders which, when the absolute value of a stock reaches a value $`X_{th}`$, consider that the price is low enough so is time to buy or it is high enough and then is time to sell. In equations 1 and 2, $`\mathrm{\Delta }t`$ is proportional to $`N^1`$ so the simulation time is incremented by one when all the stocks have, on average, the chance to evolve once.

In order to analyze the behavior of the model, two representative indexes of the market, the mean value time series

$$x_M(t)=\frac{1}{N}\underset{i=1}{\overset{N}{}}x_i(t)$$
(3)
and the corresponding returns or change of price, defined here as

$$r(t)=x_M(t)x_M(t1)$$
(4)
are investigated by Monte Carlo simulations. $`N=1024`$ and $`X_{th}=30`$ where used as typical parameters and $`T20000`$ Monte Carlo steps (MCS) where used in order to obtain most of the reported results. To avoid the existence of initial correlations the simulations are started with the components of the vector $`𝐱`$ distributed randomly between $`10`$ and $`10`$ and with the vector $`𝐯`$ in a complete antiferromagnetic state.

A typical path of the simulated price series $`x_M(t)`$ is shown in Fig. 1. The sequence shows the well known noisy shape. The market turn offs have been indicated in the figure. This turn offs have a self-organized character, since they result from the time evolution of the model and their occurrence cannot be explicitly predicted from the dynamic equations. Previous analysis of actual markets time series suggest that the probability distribution of daily returns are not of Gaussian type, but they are fat-tailed This characteristic can be noticed if the probability distribution function (PDF) of the returns is plotted on the scale of the cumulative Gaussian distribution function. Normal distributions appear as straight lines in such representation while the fat-tail of other type of distributions result in a departure of the straight line. For the model presented here, the PDF of the price returns is plotted in Fig. 2 and the tails are clearly visible .

According to previous results, it is known that actual markets time series cannot be modeled by series of independent and identically distributed realizations of random variables with a given distribution (fat-tailed or not). This is a consequence of the existence of non-stationarity in the process that generate the series. It has been shown that a direct method exists in order to detect the non-stationarity, it is the calculation of the autocorrelation function

$$\mathrm{𝐚𝐜𝐟}(r,t^{})=\frac{_{t=t^{}+1}^T(r_t\overline{r})(r_{tt^{}}\overline{r})}{_{t=t^{}+1}^T(r_t\overline{r})^2},$$
(5)
of the absolute value of the returns $`|r(t)|`$. For Brownian motion the $`\mathrm{𝐚𝐜𝐟}(r,t^{})`$ of $`r(t)`$, $`r^2(t)`$ and $`|r(t)|`$ fluctuates around zero for $`t^{}>1`$. In Fig. 3 the $`\mathrm{𝐚𝐜𝐟}(r,t^{})`$ for the $`r(t)`$ time series generated by the model is plotted up to $`t^{}=50`$. The horizontal lines represent the $`0.95`$ confidence interval of a Brownian random walk. Clearly, it is shown that the simulated series has a certain degree of non-stationarity very similar of those just reported for actual markets time series.

Another parameter that can reflect the deviation of a time series from the Gaussian distribution is the excess kurtosis, defined as

$$\kappa =\frac{\mu _4}{\sigma ^4}3$$
(6)
where $`\mu _4`$ is the fourth central moment and $`\sigma `$ is the standard deviation of the series under study. $`\kappa `$ is defined to be zero for a normal distribution, but ranges between $`2`$ and $`50`$ for daily returns of actual stock markets data have been reported.  An average value of $`\overline{\kappa }=2.69`$ was obtained when the kurtosis is calculated on the absolute values of the returns. The value $`\overline{\kappa }`$ was obtained by averaging over $`100`$ independent runs of $`T=10000`$ MCS.

Finally, the simulated series was analyzed using the Hurst R/S method.  The R/S analyses begins with dividing the time series in segments of equal length and normalizing the data in each segment by subtracting the sample mean. Then, the rescaled range (range/standard deviation) is log-log plotted against the segment size. By linear regression of the plot the Hurst exponent $`H`$ is obtained. The values of the exponent reflect some characteristics of the series: for $`H>0.5`$ the series is said to be persistent, if $`H=0.5`$ the series represent a normal distributed random walk, while for $`H<0.5`$ the series is considered to have anti-persistent characteristics. The R/S analysis for the price and returns series is presented in Fig. 4. The straight lines through the points indicates that the Hurst exponent is $`H_x=0.885\pm 0.01`$ for the $`x_M(t)`$ series and $`H_r=0.569\pm 0.01`$ for the $`r(t)`$ series. Since the values are greater than $`0.5`$ both series show a persistent character which results from the existence of long term correlations in both distributions. In particular, the value of $`H_r`$ is very close to the value of the Hurst exponent calculated on the returns of the USD/DEM exchange rate.

Although several other analysis could be made, the above presented results show that the simulated time series obtained from the operation of the dynamic rules 1 and 2 can be considered as a good approximation of the behavior of actual stock markets. Also, the discrete nature of the price variables follow closely the same characteristic of actual stocks prices. Further refinement could be made on the model in order to reproduce more closely some particular characteristic of a given market.

This work was partially supported by a research grant from Universidad Nacional de Mar del Plata (Mar del Plata, Argentina).