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# Characterization of large price variations in financial markets

## 1 Introduction

The characterization of stock market moves and especially large drops, i.e., large negative moves in the price, are of profound importance to risk management. A drawdown is defined as a persistent decrease in the price over consecutive days. A drawdown is thus the cumulative loss from the last maximum to the next minimum of the price, specifically the daily close in the analysis presented here. Since the definition of “maximum” and “minimum” is not unique except in a strict mathematical sense a drawdown may be defined in slightly varying ways. The definition used in the present paper is as follows. A drawdown is defined as the relative decrease in the price from a local maximum to the next local minimum ignoring price increases in between the two of maximum (relative or absolute) size $`ϵ`$. We will refer to this definition of drawdowns as “$`ϵ`$-drawdowns”, where we will refer to $`ϵ`$ as the threshold.

Drawdowns embody a rather subtle dependence since they are constructed from runs of the same sign variations. Their distribution thus captures the way successive drops can influence each other and construct in this way a (quasi-)persistent process. This persistence is not measured by the distribution of returns because, by its very definition, it forgets about the relative positions of the returns as they unravel themselves as a function of time by only counting their frequency222Realising this allows one to construct synthetic price data with the same return distribution by a reshuffling of the returns. This is not detected either by the two-point correlation function, which measures an average linear dependence over the whole time series and as a consequence wash out features only occurring at special times.

Related to the characterisation of drawdowns in the financial markets is the concept of “outliers” . An outlier to some specific distribution may defined as a point which position deviates sufficiently from those of the bulk of the distribution, it “lies out”, as to arise suspicion that different processes are responsible for the generation of one hand the overall distribution and on the other hand the outlier. Actually, testing for “outliers” or more generally for a change of population in a distribution is a quite subtle problem. This subtle point is that the evidence for outliers and extreme events does not require and is not even synonymous in general with the existence of a break in the distribution of the drawdowns. An example of this comes from the distribution for the square of the velocity variations in shell models of turbulence. Naively, one would expect that the same physics apply in each shell layer (each scale) and, as a consequence, the distributions in each shell should be the same, up to a change of unit reflecting the different scale embodied by each layer. The remarkable conclusion of L’vov et al.  is that the distributions of velocity increment seem to be composed of two regions, a region of so-called “normal scaling” and a domain of extreme events, the “outliers”.

Other groups have recently presented supporting evidence that crash and rally days significantly differ in their statistical properties from the typical market days. Lillo and Mantegna investigated the return distributions of an ensemble of stocks simultaneously traded in the New York Stock Exchange (NYSE) during market days of extreme crash or rally in the period from January 1987 to December 1998 . Out of two hundred distributions of returns, one for each of two hundred trading days where the ensemble of returns is constructed over the whole set of stocks traded on the NYSE, anomalous large widths and fat tails are observed specifically on the day of the crash of Oct. 19 1987, as well as during a few other turbulent days. Specifically, they show that the overall shape of the distributions is modified in crash and rally days. Closer to our claim that markets develop precursory signatures of bubbles of long time scales, Mansilla  has also shown, using a measure of relative complexity, that time sequences corresponding to “critical” periods before large market corrections or crashes have more novel informations with respect to the whole price time series than those sequences corresponding to periods where nothing happened. The conclusion is that the intervals where no financial turbulence is observed, that is, where the markets works fine, the informational contents of the price time series is small. In contrast, there seems to be significant information in the price time series associated with bubbles.

In a series of papers, the authors  have shown that on the FX and major stock markets, crashes are often preceded by precursory characteristics quantified by a log-periodic power law, specifically

$$p\left(t\right)=A+B\left(t_ct\right)^z+C\left(t_ct\right)^z\mathrm{cos}\left(\omega \mathrm{ln}\left(t_ct\right)\varphi \right)$$
(1)
The results on the US stock markets have been confirmed by several independent groups

Eq. (1) has its origin in a Landau-expansion type of argument and the underlying Scaling Ansatz is simply

$$\frac{dF\left(x\right)}{d\mathrm{ln}x}=\alpha F\left(x\right)+zF^2\left(x\right)\mathrm{}$$
(2)
which to first order leads to eq. (1) with an arbitrary choice of periodic function. The concept that only relative changes are important has a solid foundation in finance, but a detailed and rigorous derivation or justification for the Ansatz (2) has not been achieved. Instead the predictions that comes from applying this Ansatz, specifically those related to $`t_c`$, $`z`$ and $`\omega `$, to the data has been compared using different markets and time periods. Specifically, we have found that

$$\omega 6.36\pm 1.56z0.33\pm 0.18$$

for over thirty crashes on the major financial markets, see figures 4 and 4. This and the analysis to be presented in the following leads to a consistent and coherent picture when combined with the outlier concept. A comment on figure 4 is necessary here. A fit with eq. (1) will often generate more than one solution. In general, the best fit in terms of the r.m.s. is also the most sensible solution in terms of estimating the physical variables $`z`$ and $`\omega `$ as well as the most probable time $`t_c`$ of the end of the bubble, see  for a more detailed discussion. However, for a few cases the two best fits are included in the statistics which explains the presence of the “second harmonics” around $`\omega 11.5`$.

## 2 Statistics and identification of bubbles and drawdowns

Lately, an increasing amount of evidence that the largest negative market moves belongs to a different population than the smaller has accumulated . Specifically, it was found that the cumulative distributions of drawdowns on the worlds major financial markets, e.g., the U.S. stock markets, the Hong-Kong stock market, the currency exchange market (FX) and the Gold market are well parameterised by a stretched exponential

$$N(x)=Ae^{bx^z}$$
(3)
except for the $`1\%`$ (or less) largest drawdowns. In general, it was found that the exponent $`z0.80.9`$ , see figures 4 and 4 for two examples. It is worth noting that only the distributions for the DJIA, the US$/DM exchange rate and the Gold price exhibits clear outliers for the complement drawup distribution, whereas (all?) other markets shows a strong asymmetry between the tails of the drawdown and drawup distributions the latter having no outliers. The range of the exponent for the drawup distributions is also generally higher with $`z0.91.05`$ except for the FX and Gold markets .

In the previous analysis and identification outliers on the major financial markets  drawdowns (drawups) were simply defined as a continuous decrease (increase) in the closing value of the price. Hence, a drawdown (drawup) was terminated by any increase (decrease) in the price no matter how small. A rather natural question concerns the effect of thresholding on the distribution of drawdowns (drawups). There are two straightforward ways to define a thresholded drawdown (drawup): We may ignore increases (decreases) of a certain fixed magnitude (absolute or relative to the price) or we may ignore increases (decreases) over a fixed time horizon in both cases letting the drawdown (drawup) continue. We will refer this in general as coarse-grained drawdowns (drawups) due to the smoothing obtained by ignoring small-scale fluctuations. In the present paper only the former definition of coarse-grained drawdowns and drawups will be applied in the analysis, the latter being considered elsewhere .

Price coarse-grained drawdowns can be defined as follows. We identify a local maximum in the price and look for a continuation of the downward trend ignoring movements in the reverse direction smaller than $`ϵ`$. Here $`ϵ`$ is referred to as “the threshold”, absolute or relative. Specifically, when a movement in the reverse direction is identified, the drawdown is nevertheless continued if  the magnitude, absolute or relative, is less than the threshold. A very few drawdowns initiated by this algorithm end up as drawups and are discarded.

In figures 7 to 7 we see the cumulative $`ϵ`$-drawdown distributions of the DJIA, SP500 and Nasdaq. The thresholds used were a relative threshold of $`ϵ=0.01`$ for DJIA and Nasdaq and an absolute threshold of $`ϵ=0.02`$ for SP500, which illustrates the problem of an objective determination of what threshold to use. This problem will be addressed in more detail in a future publication elsewhere . We see that the fits with eq. (3) for all three index fully captures the distributions except for a few cases which can be referred to as outliers. The dates of these outliers are

* DJIA: 1914, 1987 and 1929
* SP500: 1987, 1962, 1998, 1987, 1974, 1946, 2000
* Nasdaq: 1987, 2000, 1980, 1998, 1998, 1973, 1978,1987,1974

Except for the crashes related to the outbreak of WWI in 1914, the Yom Kibbur (Arab-Israeli) war and subsequent OPEC oil embargo in 1973 and the resignation and quite controversial pardoning of president R. Nixon in 1974, quite remarkably all of these outliers have log-periodic power law precursors well-described by eq. (1) and all, except for the Nasdaq crashes of 1978 and 1980, have previously been published . The Nasdaq crashes of 1978 and 1980 was prior to this analysis unknown to us as the “pure”, i.e., no threshold, presented in  did not reveal its “outlier nature”.

The results presented here means that the joint evidence from the distributions of drawdowns in the DJIA, the SP500 and the Nasdaq identifies all crashes with log-periodic power law precursors found on the US stock market except the crash of 1937333Increasing the threshold for the DJIA does not improve this miss. Using a temporal coarse-graining as defined previously with a delay of $`>2`$ days attributes a drawdown of $`19\%`$ to the crash of 1937 but still places in (the far end of) the bulk of the distribution.. Using $`ϵ=0.02`$ for the Nasdaq reduces the number of obvious outliers to five, two related to the 1987 and 2000 crashes each and one to the 1998 crash. Using $`ϵ=0.02`$ for the DJIA changes nothing whereas this threshold will remove all outliers except the crash of 1987 as outliers and, excluding the historical events of 1914, 1973 and 1974, vice versa.

Naturally, the optimal threshold (according to some specific definition) used in the outlier identification process is related to that particular index volatility. However, the volatility is again nothing but a measure of the two-point correlations present in the index, which we have proven to be a insufficient measure when dealing with extreme market events. Hence, the thresholding procedure proposed and used here is a preliminary step toward more sophisticated amplification tools designed to better capture higher order correlations responsible for the extreme market events .

## 3 Conclusion

The analysis presented here have strengthen the evidence for outliers in the financial markets and that the concept can be used as a objective and quantitative definition of a market crash. Furthermore, we have shown that the existence of outliers in the drawdown distribution is primarily related to the existence of log-periodic power law bubbles prior to the occurrence of these outliers or crashes. In fact, of the 19 large drawdowns identified as outliers only 3 did not have prior log-periodic power law bubble and these 3 outliers could be linked to a specific major historical event. In complement, only 1 (1937) previously identified log-periodic power law bubble was not identified as an outlier.

Further work is needed to clarify the role of different coarse-graining methods as well as to arrive at an objective choice for $`ϵ`$. Last, any microscopic market model of log-periodic power law bubbles followed by large crashes should be address the question of why is the mean for $`\omega =2\pi /\mathrm{ln}\lambda `$ so close to $`2\pi `$ giving a value for the discrete scaling factor $`\lambda e`$.

Cited papers by the authors are available from http://www.nbi.dk/~johansen/pub.html.


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# Modeling power corrections to the Bjorken sum rule for the neutrino structure function 𝐹₁

## Abstract

Direct measurements of the the structure functions $`F_1^{\nu p}`$ and $`F_1^{\nu n}`$ at a neutrino factory would allow for an accurate extraction of $`\alpha _s`$ from the $`Q^2`$–dependence of the Bjorken sum rule, complementing that based on the Gross–Llewellyn-Smith sum rule for $`F_3`$. We estimate the power ($`1/Q^2`$–) corrections to the Bjorken sum rule in the instanton vacuum model. For the reduced matrix element of the flavor–nonsinglet twist–4 operator $`\overline{u}g\stackrel{~}{G}_{\mu \nu }\gamma _\nu \gamma _5u(ud)`$ we obtain a value of $`0.18\mathrm{GeV}^2`$, in good agreement with the QCD sum rule calculations of Braun and Kolesnichenko. Our result allows to reduce the theoretical error in the determination of $`\alpha _s`$.

The precise determination of the strong coupling $`\alpha _s`$ remains a prime objective of particle physics. One way to measure $`\alpha _s`$ is through the $`Q^2`$–dependence of the Gross–Llewellyn-Smith (GLS) sum rule for the isoscalar neutrino structure function $`F_3^{\nu p}+F_3^{\nu n}`$ . With the perturbative corrections known exactly up to order $`\alpha _s^3`$ , scheme and scale ambiguities can be minimized , and $`\alpha _s`$ was extracted from QCD fits to data combined from various experiments (CCFR, CERN, IHEP) . A closely related sum rule is the Bjorken sum rule for the isovector structure function $`F_1`$

$$_0^1𝑑x\left[F_1^{\nu n}(x,Q^2)F_1^{\nu p}(x,Q^2)\right]=\mathrm{\hspace{0.33em}\hspace{0.33em}1}\frac{2}{3}\frac{\alpha _s(Q^2)}{\pi }+\mathrm{}.$$
(1)
The perturbative corrections have also been computed up to order $`\alpha _s^3`$  (the $`\alpha _s^4`$ contribution was estimated in Refs.). This sum rule has so far not been tested experimentally. While $`F_1`$ is theoretically related to $`F_2`$ by the Callan–Gross relation, only recently have experiments begun to extract $`F_1^\nu (x,Q^2)`$ directly from the cross section. Measurements have been reported by the CHORUS experiment at CERN  and the CCFR–NuTeV Collaboration at Fermilab ; however, the results cover only a limited range in $`x`$. High–statistics experiments at a neutrino factory would allow to separate the various components of the cross section, including $`F_1(x,Q^2)`$. This would offer the possibility of using the Bjorken sum rule (1) for an independent accurate extraction of $`\alpha _s`$, complementing that from the GLS sum rule .

An important issue in the determination of $`\alpha _s`$ from QCD fits to both the GLS and the Bjorken sum rule are power ($`1/Q^2`$–) corrections. Ideally, one would determine the size of these corrections phenomenologically, from the fit to the data. However, correlations of $`\alpha _s`$ with the coefficient of the $`1/Q^2`$ correction increase with the order of the perturbative expansion, as a result of which the accuracy of the extracted $`\alpha _s`$ does not improve with increasing order . A more promising approach is to rely on “advance knowledge” of the size of the power correction from theoretical estimates. Aside from the known target mass corrections the $`1/Q^2`$ corrections to the GLS and Bjorken sum rules are due to non-perturbative quark–gluon correlations in the nucleon. The coefficients of the $`1/Q^2`$–corrections are given by $`(8/9)O_{\mathrm{S}(\mathrm{NS})}`$, respectively, where $`O`$ is the reduced proton matrix elements of the twist–4 operator

$$O_\alpha =\overline{q}g\stackrel{~}{G}_{\alpha \beta }\gamma _\beta \gamma _5q,p|O_\alpha |p=\mathrm{\hspace{0.33em}\hspace{0.33em}2}p_\alpha O,$$
(2)
and S and NS denote the flavor–singlet and nonsinglet combinations $`\overline{u}\mathrm{}u\pm \overline{d}\mathrm{}d`$. Here $`\stackrel{~}{G}_{\alpha \beta }ϵ_{\alpha \beta \gamma \delta }G_{\gamma \delta }/2`$ is the dual gluon field strength tensor.

The matrix elements (2) were estimated by Braun and Kolesnichenko using QCD sum rules , see Table 1. An alternative approach is based on the picture of the QCD vacuum as a “medium” of instantons — topological fluctuations of the gauge fields. This picture explains the dynamical breaking of chiral symmetry in QCD and a host of phenomenological data on hadronic correlation functions , and is supported by lattice simulations. Our estimate of higher–twist matrix elements is based on the analytic approach to the instanton vacuum by Diakonov and Petrov . The average size of the instantons in the vacuum is $`\overline{\rho }0.3\mathrm{fm}`$, while their average distance is $`\overline{R}1\mathrm{fm}`$. The fact that the instanton medium is dilute, $`\overline{\rho }/\overline{R}1/31`$, is of crucial importance for this picture. It allows for a systematic classification of non-perturbative effects generated by instantons. In leading order of $`\overline{\rho }/\overline{R}`$ quark–gluon correlations as measured by the operator (2) are induced by single instantons, see Fig. 1. By coupling to the instanton the quark–gluon QCD operator (2) (normalized at the scale $`\mu \overline{\rho }^1=600\mathrm{MeV}`$) turns into a chirality–flipping “effective quark operator”, whose matrix element is to be evaluated in the low–energy effective theory derived from the instanton vacuum, characterized by a dynamical mass of the quarks and the appearance of Goldstone boson modes, the pions (for details see Refs.). This effective theory has extensively been tested and shown to reproduce the “chiral phenomenology” of strong interactions at low energies. In particular, it describes the nucleon as a “soliton” of the pion field in the large–$`N_c`$ limit .

The flavor–singlet nucleon matrix element was estimated in the instanton vacuum model in Ref. , see Table 1. Here we report about an estimate of the flavor–nonsinglet matrix element, which determines the $`1/Q^2`$ corrections to the Bjorken sum rule. The “effective quark operator” obtained from the single–instanton contribution of Fig. 1 has the quantum numbers of the isovector vector current of the effective low–energy theory, and the twist–4 nucleon matrix element is proportional to the nucleon vector charge, with a coefficient of the order of the square of the inverse instanton size, $`\overline{\rho }^2`$ (details will be given elsewhere). We find a numerical value of $`O_{\mathrm{NS}}=0.5\overline{\rho }^2=0.18\mathrm{GeV}^2`$. The instanton vacuum results for both the flavor–singlet and nonsinglet matrix elements are in good agreement with the QCD sum rule predictions of Ref., which is very encouraging, given the general difficulties with modeling higher–twist matrix elements. The accuracy of the QCD sum rule results was estimated at about $`\pm 30\%`$ . The theoretical error of the instanton predictions is difficult to quantify; we expect it to be not larger than $`\pm 50\%`$.

A recent simulation of the $`Q^2`$–dependence of the Bjorken sum rule incorporating twist–4 corrections as estimated from QCD sum rules  found the theoretical error of the extracted $`\alpha _s`$ to be dominated by the uncertainty of the twist–4 matrix element . Our result indicates that one can be more confident about the magnitude of this matrix element. This makes the idea of an accurate measurement of this sum rule at a neutrino factory even more attractive . Note also that analyses of power corrections to $`x(F_3^{\nu N}+F_3^{\overline{\nu }N})`$ within the infrared renormalon model, based on the IHEP and CCFR data , suggest a large negative twist–4 contribution to the GLS sum rule , which would be consistent with the theoretical estimates of $`O_\mathrm{S}`$ quoted in Table 1. Finally, the instanton vacuum can be used to model also power corrections to polarized electron/muon structure functions . First results of a comparison of the instanton predictions with the higher–twist contribution to $`g_1`$ extracted from QCD fits are very encouraging .

I am grateful to S. I. Alekhin, A. L. Kataev, and A. V. Sidorov for valuable discussions and correspondence. C.W. is a Heisenberg Fellow (DFG).


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# A Feynman diagram analyzer DIANA: recent development Supported by INTAS-CERN 99-0377

## Abstract

New developments concerning the extension of the Feynman diagram analyzer DIANA are presented. We discuss new graphic facilities, application of DIANA to processes with Majorana fermions and different approaches to automation of momenta distribution.

The project called DIANA (DIagram ANAlyzer) for the evaluation of Feynman diagrams was started by our group some time ago. It was already used to calculate several processes . The recent development111For details look at
http://www.physik.uni-bielefeld.de/$`\stackrel{~}{}`$tentukov/diana.html of this project will be shortly described below.

The pictorial representation of diagrams described in  includes three different kinds of postscript files. Now one more kind is available, the encapsulated postscript file containing particle lines together with momenta flows. Particle identifiers now can be depicted by different fonts, sizes and colours:

DIANA has several features to support simple algorithmic Feynman rules for interactions with Majorana fields, elaborated by Denner et al . The basic idea is the following: a new keyword in the model description of propagators and vertices is introduced. Its default value `fflow` may be changed by the directive `fermion number flow = newkw`. This identifier is supposed to take the values 0, -1 or 1. $`\pm 1`$ stand for Dirac fermions and 0 for all other particles. For vertices it will be -1, if at least one incident line has -1. The assignment of these values is performed by DIANA.

For example, the Lagrangian $`\overline{\lambda }\mathrm{\Gamma }\psi W^{}+\overline{\psi }\overline{\mathrm{\Gamma }}\lambda W^+`$, ($`\psi `$=`f` – Dirac fermion, $`\lambda `$=`l` – Majorana fermion, $`W^\pm `$=(`Wp,Wm`) – charged vector, $`\mathrm{\Gamma }`$ is a Gamma matrix) in terms of a DIANA model reads in terms of propagators

```
[Wp,Wm;a;ww(num,ff=fflow,fn=fnum);0]
[f,F  ;f;ff(num,ff=fflow,fn=fnum);0]
[l,l  ;l;ll(num,ff=fflow,fn=fnum);0]

```

and vertices

```
[l,f,Wm;; lfWm(num,ff=fflow,fn=fnum)]
[F,l,Wp;; FlWp(num,ff=fflow,fn=fnum)].

```

Process $`(\psi ,\overline{\psi })(\psi ,\overline{\psi })`$, diagram “number 3”:

Generated FORM input:

```
G Rq =
  spl(-3,ff=1,fn=1)*spl(-4,ff=-1,fn=2)*
  (-1)*FlWp(3,ff=1,fn=1)*ll(3,ff=0,fn=1)*
  FlWp(2,ff=-1,fn=1)*lfWm(4,ff=-1,fn=2)*
  ll(2,ff=0,fn=2)*lfWm(1,ff=1,fn=2)*
  ww(1,ff=0,fn=0)*ww(4,ff=0,fn=0)
  *spr(-2,ff=-1,fn=1)*spr(-1,ff=1,fn=2);

```

Topologies  are represented in terms of ordered pairs of numbers like `(fromvertex, tovertex)`. All external legs have negative numbers.

Sometimes the number of topologies is too large such that it is impossible to assign momenta to the lines in all topologies “by hand”.

Of course, momenta can be introduced automatically. The user may specify loop momenta via the macro `\loopmomenta` in the “create” file, e.g. `\loopmomenta(k1,k2,k3)`, and DIANA will assign momenta automatically using “$`k1`$”, “$`k2`$” and “$`k3`$” as the loop integration momenta.

Sometimes it is important to keep some definite lines free from the external momenta. If the users specifies `SET _MARK_LOOP=YES` in the “create” file, the topology editor will be invoked in a special mode, and the user can point out which lines should carry bare integration momenta. All remaining momenta will be assigned automatically.

Sometimes it is necessary to use more sophisticated distribution. For example, the user may want to use his favorite momenta like $`kp_1,kp_2,kp_3`$, etc. assigned to some definite lines (see e.g. ). For such cases, DIANA provides a possibility to define momenta only for the virtual lines, and the full set of topologies will be defined from these “internal” topologies attaching the external legs. Momenta for internal parts are defined in terms of combinations of loop momenta ($`k`$ in the above example) and some “abstract” tokens ($`p_1,p_2`$ etc.), and for each topology DIANA may express these tokens in terms of external momenta.

Another example: often topologies are generated by more complicated (“generic”) ones by scratching lines. In such cases one wants to stick to the momenta introduced for the lines which are kept. E.g. the user investigates the generic topology

```
generictopology A =
 (-2,2)(-1,1)(1,3)(3,2)(2,4)(4,1)(3,4):
 p1+k2,p1+k1,k1,k2,k2-k1.

```

Then DIANA will generate topologies form this one by scratching lines in the following manner:


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# Critical percolation in self-organized media: A case study on random directed networks

## Abstract

A minimal model for self-organized critical percolation on directed graphs with activating and de-activating links is studied. Unlike classical self-organized criticality, the variables that determine criticality are separated from the dynamical variables of the system and evolve on a slower timescale, resulting in robust criticality. While activity of nodes percolates across the network, the network self-organizes through local adjustment of links according to the criterion that a link’s adjacent nodes’ average activities become similar. As a result, the network self-organizes to the percolation transition with activity avalanches propagating marginally across the graph. No fine-tuning of parameters is needed.

One astonishing property of many complex natural systems is their extreme robustness and their stability in the face of a changing environment. Complex information processing in biological systems, as neural networks, molecular signaling of the cell, or the immune system, seems to avoid regimes of chaotic dynamics, which easily could occur wherever a large number of interacting regulators or switches are connected. Mechanisms that in principle can stabilize complex interacting systems have been studied recently in model systems of theoretical physics. One mechanism that allows a system to self-organize into a specific global state on the basis of locally acting forces is Self-Organized Criticality (SOC), enabling dissipative systems to drive themselves into critical states without any parameter tuning. Examples are sandpile models bak:wiesenfeld:1987  or models of evolving species relationships in biological evolution bak:sneppen:1993 . Similar systems that self-organize to specific critical states are forest fire models drossel:schwabl:1992 , and earthquake models olami:christensen:1992 .
It is an interesting question whether similarly simple principles of self-organization are at work in biological information processing systems. In such systems, often organized as networks of cells or molecules, the architecture of interactions may contribute to the overall robustness. Classical models of self-organized criticality, in contrast, are defined on a Euklidean neighborhood and any information about robustness of the system is contained in the excitations of the system. Thus the dynamical variables fulfill two purposes: On the one hand they act as the dynamical variables of the system, however, in addition they store the memory of the self-organized state, for example in terms of a particular spatial pattern of excitations. One may question, whether this form of a memory provides a sufficient basis for robustness as some minimal long term stability is required. Indeed, in some natural information processing systems one observes that robustness is stored in topology and details of the local interaction structure robustness . In this paper we will consider a toy model for self-organization of communication networks that separates the two time scales of dynamics and adaptation of the system and also the associated variables. Models of network evolution have been considered earlier from the perspective of self-organization christensen:sneppen:1998 . Self-organization through coupling of locally adapting links to an order parameter of the global dynamical phase has shown to be robust bornholdt:rohlf:2000 . Here we wish to address the question of self-organizing networks for an even simpler system: percolation on a graph with adaptive links.
Percolation has been a valuable concept for questions of signal propagation through structures stauffer:aharony:englishbook . Critical properties of a dynamical system can often be conveniently accessed by observing percolation of damage or perturbations through the network kauffman:1969 . One sign of criticality often observed in dynamical systems is marginal damage spreading across the system derrida:pomeau:1986 ; derrida:1987 . We will study here how marginal damage spreading can be the result of a dynamical (adaptation) process itself. For this purpose let us consider percolation on a directed graph with the additional property of two types of links, such that an active site can activate or de-activate a neighbor site, depending on the specific link. This percolation process is closely related to the contact process harris:1974  and the susceptible-infected-susceptible (SIS) model SIS . In the model studied here, however, de-activation of active sites does not occur as a decay process with some given rate, but instead is an interactive process with an active neighbor site over a de-activating link. Both, activation and de-activation of a site thus are regulatory processes. This process exhibits a percolation transition where the control parameter is the fraction of activating links $`\vartheta `$. To introduce an adaptive process in this system, the excitatory or inhibitory characteristics of links are allowed to adapt on a time scale that is slow in comparison to the time scale of activity propagation on the network. We will show that percolation at the critical threshold occurs naturally in this system, when sites tend to equalize their own average activity with that of their neighbors by locally adjusting their incoming links.
The topology chosen in this paper is motivated from immunology, however, the mechanism is more general and can easily be applied to systems with different topologies and other motivations. Here we consider a graph motivated by idiotypic interactions of the immune system farmer:perelson:1986 ; valera:coutinho:1991 ; perelson:weisbuch:1997 . The graph is spanned by a binary sequence space, where each sequence is a node representing a possible motif of an immune cell receptor. Interactions are represented as links: Each motif interacts with its complement and the nearest neighbors of its complement. Topological properties of and percolation on this so-called one-mismatch graph structure has been discussed in brede:behn:2001 . A number of cellular automata models to study possible dynamical and functional roles of such networks in the immune system have been performed (for reviews see perelson:weisbuch:1997  and zorzenon:1999 ). While from an experimental standpoint idiotypic networks are an open issue today, (neither their large scale structure is known nor a possible functional role confirmed), from a theoretical view it can be inspiring to nevertheless speculate about possible functions. We here consider a possible role in the regulation of activity levels of autoreactive lymphocytes which are present in healthy individuals ermann:fathman:2001  but usually do not lead to auto-immune diseases as long as adequate regulation takes place goodnow:1996 ; sherer:shoenfeld:2000 . At several stages, the immune system shows a preference for lymphocytes with medium activity goodnow:1996 , a state that appears to be actively regulated. One observes that lymphocytes, on the one hand, need some minimal stimulus for proliferation, but on the other hand may die under chronic stimulation by self-antigens goodnow:1996 . Such local interactions between motifs in the immune system are candidates for systemwide regulatory mechanisms, however, how a globally stable state of cells with medium average activities is reached in detail is still an open question. In the following we ask how a network of general dynamical elements may self-organize to intermediate activity levels of its nodes. Preference for medium activity should not externally be introduced but result from local dynamics. We study a basic mechanism where each node tend to adjust its own average activity to that of its neighbors. An active site that on average is more (less) active than its neighbors in the network experiences more inhibition (activation). As we will see, this results in marginal percolation of activity across the network corresponding to a critical state of the system with stable, intermediate average activity of every node.
Consider a sequence space of binary strings of length $`n`$. Each string codes for a specific immune receptor. Interaction is defined between complementary sequences and their one-bit-mutants brede:behn:2001 . Each site in sequence space is assigned a Boolean variable which determines whether the site is active or inactive. Each active sequence can affect its complementary sequence and the associated one-bit-mutants in terms of activation or inhibition. This interaction is represented by directed links between the involved nodes. The system is initialized with a fraction $`\vartheta `$ of activating links. Starting from an initial condition of sites being mostly inactive and a small number of activated sites, the following dynamical rules are iterated.

1. Choose a random site.
2. If this site is active evaluate the influence of its $`n+1`$ outlinks as follows:

* If the outlink is activating, the target sequence gets activated.
    * If the outlink is inhibiting, the target sequence gets de-activated.

As can be seen from figure 1, the system shows a percolation transition under variation of $`\vartheta `$. The percolation condition is given by

$$\vartheta >\frac{1}{n+1}.$$
(1)
This corresponds to the condition that each site on average activates one other site. Above the percolation threshold, the system’s equilibrium state is insensitive to the fraction of active sites at initialization. The system’s evolution can be described by the master equations

$`{\displaystyle \frac{dp_0}{dt}}`$ $`=`$ $`w_{01}p_1w_{10}p_0`$
$`{\displaystyle \frac{dp_1}{dt}}`$ $`=`$ $`w_{10}p_0w_{01}p_1=w_{10}(w_{10}+w_{01})p_1,`$
where $`p_1`$ ($`p_0=1p_1`$) denotes the probability to find an activated (inactivated) site and $`w_{01}`$ and $`w_{10}`$ represent the respective transition probabilities. In the mean field limit we can approximate

$`w_{10}p_1\vartheta ,w_{01}p_1(1\vartheta ),`$
$`{\displaystyle \frac{dp_1}{dt}}p_1\vartheta (1p_1)p_1(1\vartheta )p_1=p_1\vartheta p_1^2.`$
Assuming to have reached equilibrium, we demand $`\frac{dp_1}{dt}=0`$ and get

$$p_1^{}=p_1^{supercrit.}(\mathrm{})=\vartheta .$$
(2)
Sufficiently far above the percolation threshold the fraction of active sites after equilibration of the system is identical to the fraction of activating links. Below the percolation threshold the fraction of active sites vanishes for infinite system size. For finite systems, the number of activated sites in equilibrium may also depend on the initial set of active sites (cp. figure 1).
Next let us add a slow, local adaptation of links to the model by which nodes adjust their respective average activity to each other. We will see that this may drive the system to and stabilize it at the critical percolation threshold. Define the mean activity $`a_i_T`$ of the site $`i`$ over some time interval $`T`$ as

$$a_i_T=\frac{1}{T}\underset{j=1}{\overset{T}{}}a_i(j),$$
(3)
with $`a_i(j)\{0,1\}`$ denoting the activity status of site $`i`$ at time $`j`$. The mean activity of the nearest neighbors of a site $`i`$ is given by

$$a_i_T^{nn}=\frac{1}{n+1}\underset{jnn}{}a_j_T.$$
(4)
The self-organization of the network takes place by adjusting the average activity of active sites towards their neighbors’ mean activity, according to the following rules:

1. Choose a random site $`i`$.
2. Spread the activity as in the topologically static model.
3. If the site is active adjust activating/inhibiting inlinks as follows:

* if $`a_i_T>a_i_T^{nn}`$
    and if the site $`i`$ has activating inlinks, then reset a random one of them to be inhibiting with probability $`p`$.
    * if $`a_i_Ta_i_T^{nn}`$
    and if the site $`i`$ has inhibiting inlinks, then reset a random one of them to be activating with probability $`p`$.

These rules are then iterated. For a full run, one first initializes the system with a supercritical fraction of activating links and sets all sites to be activated. One then lets the system evolve as in the static model until it reaches its equilibrium fraction of active sites $`p_1^{}\vartheta `$. At that point, also topological evolution as defined by the above rules is switched on. We observe that the system equilibrates at a fraction of activating links that is near the critical value, independent from the initial fraction of activating links $`\vartheta `$. No fine tuning is needed to reach this point. In particular, we observe that the time scale of equilibration $`T`$ can be varied in a wide parameter range without major effects on the limit fraction of activating links. Furthermore, the convergence is robust against changes in the probability of local adjustment $`p`$ which only affects the time scale of equilibration. To estimate the effect of noise on equilibration, we studied a variant where, at any iteration, we flip the status of a random link with some fixed probability $`p_{noise}`$. One observes that low noise levels help avoiding suboptimal freezing (sometimes occurring in small systems) and help approaching the critical fraction of activating links. Further increasing noise levels, the system equilibrates at higher than critical levels of activating links.
An interesting observable of a system at criticality is the size of dynamical avalanches following small perturbations of the system. In order to obtain the distribution of avalanches in a system that has been equilibrated following the above dynamical rules, all sites are reset to be inactive and then a single random site is activated and the subsequent activity avalanche is measured. A statistics of measured avalanche sizes is shown in figure 2.

Avalanche sizes are shown as time-averaged number of active sites in an avalanche ($``$) and as number of sites that have been active at some point during an avalanche ($``$). We observe power law scaling with exponents $`1.43`$ and $`1.33`$, respectively. The small peak at the right end of the distributions is a contribution from the giant component of the network, indicating that the network of this simulation is slightly overcritical. The activating links still form a system-spanning subnetwork here, allowing for broad spreading of activity.

Finally, let us study whether the critical point is approached in the thermodynamic limit using finite size scaling arguments. Figure 3 shows the deviation of the equilibrium fraction of activating links $`\vartheta _{eq}(N)`$ from the critical value $`\vartheta ^c`$ with increasing system size $`N=2^n`$. One finds a finite size scaling relationship for $`\vartheta _{eq}(N)`$ given by

$`\vartheta _{eq}(N)\vartheta ^c=\vartheta _{eq}(2^n){\displaystyle \frac{1}{n+1}}=\alpha N^\beta .`$
Thus we see that the fraction of activating links $`\vartheta _{eq}(N)`$ of the equilibrated evolving network converges with increasing system size $`N=2^n`$ (as computationally accessible) towards its critical value.
In this paper we studied percolation on a directed graph with activating and de-activating links, exhibiting a percolation transition at a critical fraction of activating links. In an evolution version of this model, links are allowed to evolve (change their character between activating and de-activating) on a slow timescale in a way that the average activities of the two nodes adjacent to the link become more similar to each other. One finds that this locally defined and extremely simplistic rule suffices to self-organize the network to the percolation transition with high precision yet without any need for fine tuning. From a damage spreading perspective, the condition for critical percolation is that activity spreads marginally across the system kauffman:1969 ; derrida:pomeau:1986 ; derrida:1987 . Equalizing neighboring nodes’ activities here shows to induce and stabilize marginal damage spreading.
The particular graph structure used here is motivated by idiotypic immune networks and the need for balancing the activity of immune cells to an intermediate level for a functioning immune system. While today one can at most speculate about possible mechanisms for global immune regulation, toy models can give important information about dynamical phenomena that may occur in large complex dynamical systems. In particular, emergent phenomena as the one studied in this paper based on simple regulative processes on the microscale can generate unexpected global behavior that could manifest itself for example as powerful global regulation of the system.
The model studied here is not restricted to the particular graph we used and it would be interesting to study networks with different topologies as, for example, random graphs or directed networks with a scale-free degree distribution schwartz:havlin:2002 . Further, it is not difficult to conceive of other models where the basic principle discussed here, local activity adjustment between neighbors, could be at work in different contexts. Possible extensions include neural networks or more complicated cellular automaton models as used, e.g., in models of social systems. Also extentions of classical SOC models are possible, such that key variables for self-organization are stored in separate, more robust variables (as weights or couplings, for example).

The authors thank T. Rohlf for useful comments on the manuscript. C. Kamp would like to thank the Stiftung der Deutschen Wirtschaft for financial support.


text:
# THE CRITICAL ORDER OF CERTAIN HECKE 𝐿-FUNCTIONS OF IMAGINARY QUADRATIC FIELDS

## 0. Introduction

Let $`K`$ be an imaginary quadratic field with discriminant $`D<4`$ and class number $`h`$. Suppose that $`D`$ is either odd or divisible by 8. Then, according to Rohrlich \[Rc\], there are exactly $`\mathrm{gcd}(2,D)h`$ Hecke characters $`\chi _{can}`$ of $`K`$ satisfying

We call such a character $`\chi _{can}`$ canonical.Let $`d`$ be a fundamental discriminant prime to $`D`$. Let $`2k1`$ be an odd positive integer prime to the class number $`h`$. Let $`\chi `$ be the product of the $`(2k1)`$th power of a canonical Hecke character of $`K`$ and the lifting of the Kronecker’s symbol $`n(\frac{d}{n})`$. Let $`L(s,\chi )`$ be the Hecke $`L`$-function attached to $`\chi `$. Then

$$\mathrm{\Lambda }(s,\chi )=(D^{}|d|)^s(2\pi )^s\mathrm{\Gamma }(s)L(s,\chi )=W(\chi )\mathrm{\Lambda }(2ks,\chi ),$$

where $`D^{}=D\mathrm{gcd}(2,D)`$ and $`W(\chi )=\pm 1`$ is the root number. It is well known that the Hecke $`L`$-function $`L(s,\chi )`$ is the $`L`$-function of a newform $`f`$ of level $`(D^{}|d|)^2`$ and weight $`2k`$ with coefficients in $``$. Let $`M`$ be the Grothendieck motive over $``$ attached to $`f`$ by U. Jannsen and A. J. Scholl. According to a conjecture of Beilinson and Bloch and a result of S. Zhang, the order of the Hecke $`L`$-function $`L(s,\chi )`$ at its central point $`s=k`$ is closely related to the arithmetic of $`M`$. Because of their arithmetic nature, these $`L`$-functions have been extensively studied by, among other authors, Gross \[Gr\], Rohrlich, Rodriguez-Villegas and Yang. Throughout this paper $`\epsilon >0`$ is arbitrary small and the constants $`c(\epsilon )`$, $`c_1(\epsilon )`$ and $`c_2(\epsilon )`$, and those implied in the symbols $``$, $``$ and $`O`$ depend at most on $`\epsilon `$ and $`k`$. We list the following update results.

In this paper, we shall prove the following two theorems.

###### Theorem 1

If $`W(\chi )=1`$, then $`L(k,\chi )`$ does not vanish when $`|d|D^{\frac{1}{12}\epsilon }`$.

###### Theorem 2

If $`W(\chi )=1`$, then $`L^{}(k,\chi )`$ doesn’t vanish when $`|d|D^{\frac{1}{24}\epsilon }`$ or, when $`|d|D^{\frac{1}{12}\epsilon }`$ and $`k2`$.

From the theorems one sees that

###### Corollary 1

The order of the Hecke $`L`$-function $`L(s,\chi )`$ at its central point $`s=k`$ is determined by its root number if $`|d|D^{1/24\epsilon }`$ or, if $`|d|D^{\frac{1}{12}\epsilon }`$ and $`k2`$.

Assume that $`k=1`$. Then $`\chi `$ lifts to a Hecke character $`\psi `$ of the Hilbert class field $`H`$ of $`K`$ commuting with the action of the Galois group of $`H`$ over $``$. And

$$L(s,\psi )=\underset{\varphi }{}L(s,\chi \varphi ),$$

where $`\varphi `$ runs over all characters of the class group of $`K`$. Let $`j`$ be the $`j`$-invariant of an elliptic curve over $`H`$ with complex conjugation by the ring of integers of $`K`$. According to Gross \[Gr\], there is a unique elliptic curve $`A`$ over $`H`$ with $`j`$-invariant $`j`$ which is isogenous to all its Galois conjugates and whose $`L`$-function is

$$L(s,A/H)=L(s,\psi )^2.$$

$`A`$ descends to two isogenous elliptic curves over $`(j)`$ with $`L`$-function $`L(s,\psi )`$. Let $`A_d`$ be one of them. By results of Kolyvagin-Logachev \[KL\] and Gross-Zagier \[GZ\], the theorems imply the following arithmetic consequences.

###### Corollary 2

If $`W(\chi )=1`$ and $`|d|D^{\frac{1}{12}\epsilon }`$, then the Mordell-Weil group and the Shafarevich-Tate group of $`A_d/(j)`$ are finite.

###### Corollary 3

If $`W(\chi )=1`$ and $`|d|D^{\frac{1}{24}\epsilon }`$, then $`A_d/(j)`$ has a finite Shafarevich-Tate group and a Mordell-Weil group of rank $`h`$.

Acknowledgements.This work is motivated by Tonghai Yang’s lectures at Morningside Center of Mathematics, Chinese Academy of Sciences. The authors thank him for his lectures and for his suggestions on the manuscript, and thank Shouwu Zhang, Fei Xu and Kezheng Li for inviting them to visit the center. The first author wishes to express his thanks to Chengbiao Pan for discussions on Dirichlet $`L`$-functions, and to Yuan Wang for drawing his attention to character sums in algebraic number fields.

## 1. $`L`$-functions with root number $`1`$

In this section we shall prove Theorem 1. Put

$$L(s,\chi ,p)=\underset{(\alpha )p}{}\chi ((\alpha ))(N(\alpha ))^s,\mathrm{}s>3/2,$$

where $`p`$ is the set of all principal integral ideals of $`K`$. According to Rohrlich \[Rb\], for all ideal class characters $`\phi `$ of $`K`$, the $`L`$-functions $`L(s,\chi \phi )`$ satisfy the same functional equation as $`L(s,\chi )`$ does. So

$$\mathrm{\Lambda }(s,\chi ,p)=(D^{}|d|)^s(2\pi )^s\mathrm{\Gamma }(s)L(s,\chi ,p)=W(\chi )\mathrm{\Lambda }(2ks,\chi ,p).$$

Note that

$$L(s,\chi ,p)=L_D(2s2k+1)+L(s),$$

where

$$L_D(s)=\underset{n1,(n,d)=1}{}(\frac{D}{n})n^s,$$

and

$$L(s)=\underset{(\alpha )p^{}}{}\chi ((\alpha ))N(\alpha )^s$$

with $`p^{}`$ denoting the set of all principal integral ideals not generated by rational numbers. It is easy to see that $`L_D(s)`$ is the Dirichlet $`L`$-function attached to the Dirichlet character:

$$(/(D|d|))^\times ^\times ,n(\frac{D}{n}).$$

We now suppose that $`W(\chi )=1`$ and proceed to prove Theorem 1. According to Shimura \[Sh\] and Rohrlich \[Rb\], $`L(k,\chi )=0`$ implies $`L(k,\chi \phi ^{2k1})=0`$ for all ideal class characters $`\phi `$ of $`K`$. So it also implies $`L(k,\chi ,p)=0`$ as

$$hL(s,\chi ,p)=\underset{\phi }{}L(s,\chi \phi )=\underset{\phi }{}L(s,\chi \phi ^{2k1}),$$

where $`\phi `$ runs over all ideal class characters of $`K`$.Hence, to prove $`L(k,\chi )0`$, it suffices to prove that $`L(k,\chi ,p)0`$. It follows from the functional equation and a formula of Cauchy that

$$\frac{1}{2}L(k,\chi ,p)=\frac{1}{2\pi i}_{(2k)}\frac{(2\pi )^k\mathrm{\Lambda }(s,\chi ,p)}{(D^{}|d|)^k\mathrm{\Gamma }(k)}\frac{ds}{sk}.$$

As

$$L(s,\chi ,p)=L_D(2s2k+1)+L(s).$$

we get the following approximation to the central value:

$$\frac{1}{2}L(k,\chi ,p)=I_1+I_2,$$

where

$$I_1=\frac{1}{2\pi i}_{(2k)}(D^{}|d|)^{sk}(2\pi )^{ks}\frac{\mathrm{\Gamma }(s)}{\mathrm{\Gamma }(k)}L_D(2s+12k)\frac{ds}{sk}$$

and

$$I_2=\frac{1}{2\pi i}_{(2k)}(D^{}|d|)^{sk}(2\pi )^{ks}\frac{\mathrm{\Gamma }(s)}{\mathrm{\Gamma }(k)}L(s)\frac{ds}{sk}.$$

Theorem 1 now follows from the estimate

$$I_2D^{\frac{1}{16}+\epsilon }|d|^{\frac{3}{4}+\epsilon },$$

which will be proved in the next section, and the estimate

$$I_1c_1(\epsilon )(D|d|)^\epsilon c_2(\epsilon )(D|d|)^{\frac{1}{16}+\epsilon },$$

which we are going to prove. Shifting the line of integration in $`I_1`$ to $`\mathrm{}s=k1/4`$, we get

$$I_1=L_D(1)+\frac{1}{2\pi i}_{(k1/4)}(D^{}|d|)^{sk}(2\pi )^{ks}\frac{\mathrm{\Gamma }(s)}{\mathrm{\Gamma }(k)}L_D(2s+12k)\frac{ds}{sk}.$$

Applying Burgess’ estimate \[Bu\]

$$L_D(\frac{1}{2}+it)(D|d|)^{\frac{3}{16}+\epsilon }(|t|+1),$$

we get

$$I_1=L_D(1)+O((D|d|)^{\frac{1}{16}+\epsilon }).$$

The required estimate for $`I_1`$ now follows from Siegel’s estimate

$$L_D(1)(D|d|)^\epsilon .$$

## 2. The complex part of the approximation to the central value

In this section, we shall prove that

$$I_2D^{\frac{1}{16}+\epsilon }|d|^{\frac{3}{4}+\epsilon }.$$

Recall that

$$I_2=\frac{1}{2\pi i}_{(2k)}(D^{}|d|)^{sk}(2\pi )^{ks}\frac{\mathrm{\Gamma }(s)}{\mathrm{\Gamma }(k)}L(s)\frac{ds}{sk}.$$

Applying Mellin’s inversion and writing

$$\chi ((\alpha ))=ϵ(\alpha )\alpha ^{2k1},$$

where $`ϵ`$ is a quadratic character with conductor $`d(2\sqrt{D},D)`$ on the subgroup of $`K^\times `$ consisting of elements prime to $`d(2\sqrt{D},D)`$, we get

$$I_2=\frac{1}{\mathrm{\Gamma }(k)}\underset{(\alpha )p^{}}{}ϵ(\alpha )\alpha ^{2k1}N(\alpha )^k_{\frac{2\pi N(\alpha )}{D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k\frac{d\xi }{\xi }.$$

The contribution from the terms with $`\mathrm{}\alpha `$ or $`|\mathrm{}\alpha |(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|)`$ is bounded by

$$\frac{2}{\mathrm{\Gamma }(k)}\underset{nD^{}|d|\mathrm{log}(D|d|)}{}_{\frac{2\pi n}{D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k\frac{d\xi }{\xi }(D^{}|d|)^1.$$

The subsum from the terms of $`I_2`$ with $`0<\mathrm{}\alpha ,|\mathrm{}\alpha |<(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|)`$ equals

$$\underset{u,v}{}\frac{2(u+\sqrt{D}v)^{2k1}}{\mathrm{\Gamma }(k)(u^2+Dv^2)^k}ϵ(\frac{u+\sqrt{D}v}{2})_{\frac{\pi (u^2+Dv^2)}{2D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k\frac{d\xi }{\xi },$$

where $`(u,v)`$ runs over pairs of integers satisfying

$$0<u,\sqrt{D}|v|<2(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|),4|(u^2+Dv^2).$$

Conjugate terms grouped together, it becomes

$$\underset{u,v}{}a(u,v)ϵ(\frac{u+\sqrt{D}v}{2})_{\frac{\pi (u^2+Dv^2)}{2D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k\frac{d\xi }{\xi },$$

where $`(u,v)`$ runs over pairs of integers satisfying

$$0<u,\sqrt{D}v<2(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|),4|(u^2+Dv^2),$$

and

$$\frac{1}{2}a(u,v)=\frac{(u+\sqrt{D}v)^{2k1}+(u\sqrt{D}v)^{2k1}}{\mathrm{\Gamma }(k)(u^2+Dv^2)^k}.$$

It splits dyadically into at most $`4\mathrm{log}_2^2(2D|d|)`$ sums of the form

$$\underset{Nv<N^{}}{}\underset{Mu<M^{},4|(u^2+Dv^2)}{}a(u,v)ϵ(\frac{u+\sqrt{D}v}{2})_{\frac{\pi (u^2+Dv^2)}{2D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k\frac{d\xi }{\xi },$$

where $`0<M,\sqrt{D}N<(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|),`$ $`N^{}2N,`$ and $`M^{}2M`$. By Abel’s summation formula, the inner sum is bounded by

$$O(\mathrm{log}^{2k}(D|d|))\mathrm{min}(M^1,D^{1/2}N^1)\underset{M<w2M}{\mathrm{max}}|S_v(w)|,$$

where

$$S_v(w)=\underset{Mu<w,4|(u^2+Dv^2)}{}ϵ(\frac{u+\sqrt{D}v}{2}).$$

We claim that

$$S_v(w)|d|+M^{\frac{1}{2}}D^{\frac{3}{16}+\epsilon }|d|^{\frac{1}{2}},w<2M,$$

from which the estimate for $`I_2`$, which is stated at the beginning of this section, follows. Write $`ϵ=ϵ_0ϵ_1,`$ where $`ϵ_0`$ and $`ϵ_1`$ have conductors $`\frac{\sqrt{D}}{(\sqrt{D},4)}`$ and $`d(\sqrt{D},4)`$ respectively. Let $`k_0`$ and $`k_1/2`$ be the least positive integers in $`\frac{\sqrt{D}}{(\sqrt{D},4)}`$ and$`d(\sqrt{D},4)`$ respectively. Then

$$S_v(w)=\underset{1j<k_1,4|(j^2+Dv^2)}{}\underset{Mu<w,uk_0j(k_1)}{}ϵ_0(u/2)ϵ_1(\frac{u+\sqrt{D}v}{2}).$$

The inner sum equals

$$ϵ_0(k_1/2)ϵ_1(\frac{k_0j+\sqrt{D}v}{2})\underset{\frac{Mk_0j}{k_1}l<\frac{wk_0j}{k_1}}{}ϵ_0(l),$$

which, according to Burgess \[Bu\], is bounded by $`O(1+(M/|d|)^{1/2}D^{\frac{3}{16}+\epsilon })`$. So

$$S_v(w)|d|+M^{\frac{1}{2}}D^{\frac{3}{16}+\epsilon }|d|^{\frac{1}{2}}$$

as claimed.

## 3. Twists of root number $`1`$

In this section we shall prove Theorem 2. Similarly, it suffices to show that $`L^{}(k,\chi ,p)0`$ under the condition of Theorem 2 (see \[GZ\] or \[MY\]). Suppose that $`W(\chi )=1`$. It follows from this functional equation and a formula of Cauchy that

$$\frac{1}{2}L^{}(k,\chi ,p)=\frac{1}{2\pi i}_{(2k)}\frac{(2\pi )^k\mathrm{\Lambda }(s,\chi ,p)}{(D^{}|d|)^k\mathrm{\Gamma }(k)}\frac{ds}{(sk)^2}.$$

As

$$L(s,\chi ,p)=L_D(2s2k+1)+L(s),$$

we get the following approximation to the central derivative:

$$\frac{1}{2}L^{}(k,\chi ,p)=R_k+C,$$

where

$$R_k=\frac{1}{2\pi i}_{(2k)}(\frac{D^{}|d|}{2\pi })^{sk}\frac{\mathrm{\Gamma }(s)}{\mathrm{\Gamma }(k)}L_D(2s2k+1)\frac{ds}{(sk)^2}$$

and

$$C=\frac{1}{2\pi i}_{(2k)}(D^{}|d|)^{sk}(2\pi )^{ks}\frac{\mathrm{\Gamma }(s)}{\mathrm{\Gamma }(k)}L(s)\frac{ds}{(sk)^2}.$$

Theorem 2 now follows from the estimate

$$R_k.0351c(\epsilon )(D|d|)^{\frac{1}{16}+\epsilon },$$

which will be proved in the next section, and the estimate

$$C\{\begin{array}{cc}D^{\frac{1}{16}+\epsilon }|d|^{\frac{3}{2}+\epsilon },\hfill & k=1,\hfill \\ D^{\frac{1}{16}+\epsilon }|d|^{\frac{3}{4}+\epsilon },\hfill & k>1,\hfill \end{array}$$

which we are going to prove. Applying Mellin’s inversion we get

$$C=\underset{(\alpha )p^{}}{}\chi ((\alpha ))N(\alpha )^k_{\frac{2\pi N(\alpha )}{D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k(\mathrm{log}\xi \mathrm{log}\frac{2\pi N(\alpha )}{D^{}|d|})\frac{d\xi }{\xi }.$$

The contribution from the terms with $`\mathrm{}\alpha `$ or $`|\mathrm{}\alpha |(D^{}|d|)^{\frac{1}{2}}\mathrm{log}(D|d|)`$ is bounded by

$$\underset{nD^{}|d|\mathrm{log}(D|d|)}{}_{\frac{2\pi n}{D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k(\mathrm{log}\xi \mathrm{log}\frac{2\pi n}{D^{}|d|})\frac{d\xi }{\xi }(D^{}|d|)^1.$$

The subsum from the terms of $`C`$ with $`0<\mathrm{}\alpha ,|\mathrm{}\alpha |<(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|)`$ equals

$$\underset{u,v}{}\frac{2(u+\sqrt{D}v)^{2k1}}{(u^2+Dv^2)^k}f(u,v)ϵ(\frac{u+\sqrt{D}v}{2}),$$

where $`(u,v)`$ runs over pairs of integers satisfying

$$0<u,\sqrt{D}|v|<2(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|),4|(u^2+Dv^2)$$

and

$$f(u,v)=_{\frac{\pi (u^2+Dv^2)}{2D^{}|d|}}^{\mathrm{}}e^\xi \xi ^k(\mathrm{log}\xi \mathrm{log}\frac{\pi (u^2+Dv^2)}{2D^{}|d|})\frac{d\xi }{\xi }.$$

Conjugate terms grouped together, it becomes

$$\underset{u,v}{}a(u,v)f(u,v)ϵ(\frac{u+\sqrt{D}v}{2}),$$

where $`(u,v)`$ runs over pairs of integers satisfying

$$0<u,\sqrt{D}v<2(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|),4|(u^2+Dv^2).$$

It splits dyadically into at most $`4\mathrm{log}_2^2(2D|d|)`$ sums of the form

$$\underset{Nv<N^{}}{}\underset{Mu<M^{},4|(u^2+Dv^2)}{}a(u,v)f(u,v)ϵ(\frac{u+\sqrt{D}v}{2}),$$

where $`0<M,\sqrt{D}N<(D|d|)^{\frac{1}{2}}\mathrm{log}(D|d|),`$ $`N^{}2N,`$ and $`M^{}2M`$. By Abel’s summation formula, the inner sum is bounded by

$$O(D|d|\mathrm{log}^2(D|d|))\mathrm{min}(M^3,D^{3/2}N^3)\underset{M<w2M}{\mathrm{max}}|S_v(w)|,$$

if $`k=1`$, and by

$$O(\mathrm{log}^{2k}(D|d|))\mathrm{min}(M^1,D^{1/2}N^1)\underset{M<w2M}{\mathrm{max}}|S_v(w)|,$$

if $`k>1`$, where

$$S_v(w)=\underset{Mu<w,4|(u^2+Dv^2)}{}ϵ(\frac{u+\sqrt{D}v}{2}).$$

In §2, we have proved that

$$S_v(w)|d|+M^{\frac{1}{2}}D^{\frac{3}{16}+\epsilon }|d|^{\frac{1}{2}},w<2M.$$

The desired estimate for $`C`$ now follows.

## 4. The rational part of the approximation to the central derivative

In this section we shall prove that

$$R_k.0351c(\epsilon )(D|d|)^{\frac{1}{16}+\epsilon }.$$

Recall that

$$R_k=\frac{1}{2\pi i}_{(2k)}(\frac{D^{}|d|}{2\pi })^{sk}\frac{\mathrm{\Gamma }(s)}{\mathrm{\Gamma }(k)}L_D(2s2k+1)\frac{ds}{(sk)^2}.$$

A change of variable yields

$$R_k=\frac{1}{\pi i}_{(k+1)}(\frac{D^{}|d|}{2\pi })^{s1}\frac{\mathrm{\Gamma }(s+k1)}{\mathrm{\Gamma }(k)}\frac{L_D(2s1)ds}{(s1)^2}.$$

Shifting the line of integration to $`\mathrm{}s=3/4`$ and applying Burgess’ estimate, we get

$$R_k=\mathrm{\Lambda }_k^{}(1)+O((D|d|)^{\frac{1}{16}+\epsilon }),$$

where

$$\mathrm{\Lambda }_k(s)=(\frac{D^{}|d|}{2\pi })^{s1}\frac{\mathrm{\Gamma }(s+k1)}{\mathrm{\Gamma }(k)}L_D(2s1).$$

So

$$R_k=R_1+\mathrm{\Lambda }_k^{}(1)\mathrm{\Lambda }_1^{}(1)+O((D|d|)^{\frac{1}{16}+\epsilon }).$$

As

$$\mathrm{\Lambda }_k^{}(1)=\frac{\mathrm{\Gamma }^{}(k)}{\mathrm{\Gamma }(k)}L_D(1)+\mathrm{log}\frac{D^{}|d|}{2\pi }L_D(1)+2L_D^{}(1)\mathrm{\Lambda }_1^{}(1),$$

we claim that

$$R_1.0351,$$

from which the estimate for $`R_k`$, which is stated at the beginning of this section, follows. Write

$$\frac{\zeta (s)L_D(s)}{\zeta (2s)}=\underset{n=1}{\overset{\mathrm{}}{}}a_nn^s$$

with $`a_1=1`$, and $`a_n0`$. Then

$$R_1=\underset{n}{}a_nn^1I(\frac{D^{}|d|}{2\pi n^2}),$$

where

$$I(x)=\frac{1}{2\pi i}_{(2)}x^{s1}\frac{\mathrm{\Gamma }(s)\zeta (4s2)}{\zeta (2s1)}\frac{ds}{(s1)^2}.$$

Miller-Yang \[MY\] proved that $`I(x)>0`$ if $`x>0`$ and that $`I(x)>.0351`$ if $`x4`$. So we have $`R_1.0351`$ as claimed.