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# References

Dynamical Behavior of Continuous Tick Data in Futures Exchange Market

Kyungsik Kim and Seong-Min Yoon

$`Department`$ $`of`$ $`Physics`$, $`Pukyong`$ $`National`$ $`University`$,
$`Pusan`$ $`608`$-$`737`$, $`Korea`$
$`Division`$ $`of`$ $`Economics`$, $`Pukyong`$ $`National`$ $`University`$,
$`Pusan`$ $`608`$-$`737`$, $`Korea`$

Abstract

We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay function in our bond futures model is discussed from two kinds of Korean Treasury Bond(KTB) transacted recently in KOFEX. The decay distributions for survival probability are particularly displayed stretched exponential forms with novel scaling exponents $`\beta `$ $`=`$ $`0.82`$(KTB $`203`$) and $`\beta `$ $`=`$ $`0.90`$(KTB$`112`$), respectively, for our small time intervals. We obtain the scaling exponents for survival probability $`ϵ`$ $`=`$ $`17`$ and $`18`$ decayed rapidly in large time limit, and our results are compared with recent numerical calculations.

$`Keywords`$: Continuous-time random walk; Bond futures; Survival probability; Stretched exponential function

$`Email`$ $`address`$: kskim@pknu.ac.kr.

1. INTRODUCTION

Recently, the investigation of economic phenomena between economists and physicists has received considerable attention as one interdisciplinary field.1,2 Among many outstanding topics, there has been mainly concentrated on price changes in open market,3,4 the distribution of income of companies, the scaling relation of company’s size fluctuations, the financial analysis of foreign exchange rates,5-7 and tick data analysis of bond futures.8-10 Particularly, the study of fluctuations in economics can lead to a better understanding for the scaling properties based on methods and approaches of physics. The power law distribution, the stretched exponential distribution, and L$`\stackrel{´}{e}`$vy-like distribution have been really elucidated the general mechanism in diverse fields of science and technology. Mantegna and Stanley4 reported that price changes in a stock market scales as a power law of the index change with a scaling exponent $`\alpha =1.4`$. Takayasu $`et`$ $`al.`$5 have showed the stretched exponential distribution from results of analysis observed by tick data of yen-dollar exchange rates and have recently investigated extensively several hyper-inflations11 in which the rapid growth of price changes is approximated by a double exponential function. Lee $`at`$ $`al.`$12 have obtained the fluctuation in the gross domestic product that the width of the distribution scales as a power law of the gross domestic product with a scaling exponent $`\beta =0.15`$. Otherwise, many works5,6,7,13,14 have reported that the price fluctuations follow the anomalous power law from the stochastic time evolution equation, i.e. Langevin-type equation.

In the stochastic process, one of the well-known popular subjects for the regular and disordered systems is the random walk theory,15 and this theory has extensively developed to the continuous-time random walk theory which is essentially described both by the transition probability dependent of the length between steps and by the distribution of the pausing times.16 Until now the transport phenomena for the motion of tracers have largely been extended to the reaction kinetics,17,18 the strange kinetics,19 fractional diffusion equations,20,21 and generalized Langevin and Fokker-Planck equations.22-26

Recently, Scalas8 presented the correlation function for bond walks from the time series of BUND and BTP(Buoni del tesoro Poliennali) futures exchanged at the London International Financial Futures and options Exchange(LIFFE). Scalas $`et`$ $`al.`$9 have discussed that the continuous-time random walk theory, formerly introduced by Montroll and Weiss,16, is applied to the dynamical behavior by tick-by-tick data in financial markets. Mainardi $`et`$ $`al.`$10 have also observed the waiting-time distribution for bond futures traded at LIFFE, London. In this paper, theoretical and numerical arguments for the volume of bond futures traded at KOFEX of Pusan are presented. Mainly, we consider the number of transactions for two different delivery dates and find the decay functions for survival probabilities in our bond futures model. Sec. 2 is devoted to the survival probability in the continuous-time random walk theory and to the decay function of survival probabilities. In Sec. 3, we reports numerical results and some concluding remarks.

2. THE SURVIVAL PROBABILITY AND THE STRETCHED EXPONENTIAL FUNCTION

First of all, we will focus on the continuous-time random walk theory16 in order to discuss the survival probability. Since the pausing-time distribution $`\psi (t)`$ between two consecutive transactions and the price $`l(t)`$ can be modelled as random variables in financial markets, we consider that the coupled transition probability density $`\mathrm{\Psi }(l,t)`$ for jump $`l`$ and pausing-time $`t`$ is defined by

$$\mathrm{\Psi }(l,t)=p(l)\psi (t)$$
(1)
where $`p(l)`$ is the transition probability dependent of the length between steps and $`\psi (t)`$ is the pausing-time distribution. Summing over all $`l`$ with the periodic boundary condition, Eq.$`(1)`$ is given by

$$\underset{l}{}\mathrm{\Psi }(l,t)=\underset{l}{}p(l)\psi (t)=\psi (t).$$
(2)
Since $`R_n(l,t)`$ is the probability density arriving immediately at lattice point $`l`$ at time $`t`$ after one random walker goes to $`n`$ steps, $`R_n(l,t)`$ is satisfied with the recursion relation as

$$R_n(l,t)=\underset{l^{}}{}_0^t𝑑t^{}p(ll^{})\psi (tt^{})R_{n1}(l^{},t^{}).$$
(3)
In order to find the probability density, $`P(l,t)`$, which is existed at lattice point $`l`$ at time $`t`$, we introduce the relation between $`P(l,t)`$ and $`R(l,tt^{})`$ such as

$$P(l,t)=_0^t𝑑t^{}\psi (t^{})R(l,tt^{}),$$
(4)
where

$$R(l,t)=\underset{n=0}{\overset{\mathrm{}}{}}\psi _n(t)P(l,n).$$
(5)
The survival probability, $`\mathrm{\Psi }(t)`$, which is stayed for the time $`t`$ after arrivng at an arbitrary lattice point, can be expressed in terms of

$$\mathrm{\Psi }(t)=1_0^t𝑑t^{}\underset{l}{}\mathrm{\Psi }(l,t^{})=1_0^t𝑑t^{}\psi (t^{}).$$
(6)
Hence, after substituting Eq. $`(6)`$ into Eq. $`(5)`$, the Fourier-Laplace transform of the probability density, i.e. Montroll-Weiss equation, is described16 as

$`P(q,u)`$ $`=`$ $`{\displaystyle \underset{l}{}}{\displaystyle _0^{\mathrm{}}}𝑑tP(l,t)\mathrm{exp}(iqlut)`$ (7)
$`=`$ $`{\displaystyle \frac{R(q,u)[1\psi (u)]}{u}}`$
$`=`$ $`{\displaystyle \frac{P(q,0)}{[1\mathrm{\Psi }(q,u)]}}{\displaystyle \frac{[1\psi (u)]}{u}},`$
where the generalized structure function, i.e. the Fourier-Laplace transform of Eq. $`(1)`$ is given by

$$\mathrm{\Psi }(q,u)=p(q)\psi (u)$$
(8)
and $`P(q,0)`$ is the Fourier transform of the initial condition $`P(l,0)`$.

Let us introduce the following scaling behavior in the long jump and long time limits:

$$p(q)1q^\alpha ,q0,0<\alpha 2,$$
(9)
and

$$\psi (u)1u^\beta ,u0,0<\beta 1.$$
(10)
We can also present approximately as

$$p(q)=\mathrm{exp}(q^\alpha ),0<\alpha 2$$
(11)
and

$$\psi (u)=\frac{1}{1+u^\beta },0<\beta 1,$$
(12)
where Eq. $`(11)`$ means one type of the characteristic function for L$`\stackrel{´}{e}`$vy stable distribution. Hence the inverse Fourier transform of Eq. $`(11)`$ is found to scale approximately with $`p(l)`$ $``$ $`l^{(\alpha +1)}`$ for $`0<\alpha <2`$ in the large $`l`$ limit.

Since the Laplace transform of survival probability from Eq. $`(6)`$ is given by

$$\mathrm{\Psi }(u)=\frac{1\psi (u)}{u},$$
(13)
we find that

$$\mathrm{\Psi }(u)=\frac{u^{\beta 1}}{1+u^\beta },$$
(14)
after substituting Eq. $`(12)`$ into Eq. $`(13)`$. The survival probability, i.e. the inverse Laplace tranform of Eq. $`(14)`$, can be derived as

$$\mathrm{\Psi }(t)=E_\beta (t^\beta ),$$
(15)
where the Mittag-Leffler function of order $`\beta `$27,28 is

$$E_\beta (t^\beta )=\underset{n=0}{\overset{\mathrm{}}{}}(1)^n\frac{t^{\beta n}}{\mathrm{\Gamma }(\beta n+1)}.$$
(16)
We also note that the decay distribution of the survival probability appears in the fractional relaxation process for $`0<\beta <1`$ while it includes to the fractional oscillation process in the case of $`1<\beta <2`$.

According to Eq. $`(16)`$, the survival probability $`\mathrm{\Psi }(t)`$ for sufficiently small times reduces to a stretched exponential:

$`E_\beta [(\gamma t)^\beta ]`$ $``$ $`1{\displaystyle \frac{(\gamma t)^{\beta n}}{\mathrm{\Gamma }(\beta n+1)}}`$ (17)
$``$ $`\mathrm{exp}[{\displaystyle \frac{(\gamma t)^\beta }{\mathrm{\Gamma }(\beta +1)}}],`$
where $`\gamma `$ is a time-scale factor. In the large $`t`$ limit, the survival probability $`\mathrm{\Psi }(t)`$ from remained transaction quantities less than $`10`$ percentages of total tick data scales as a power law

$$\mathrm{\Psi }(t)ϵ\mathrm{log}t,$$
(18)
where $`ϵ`$ is the scaling exponent for large times. In our scheme we will make use of Eq. $`(16)`$-$`(18)`$ to find out the dynamical behavior for the survival probability, and these mathematical functions would be expected to lead us to more results.

3. RESULTS AND CONCUSIONS

In order to analyze survival probabilities for bond futures with delivery date, our underlying asset is a Korean Government bond traded at KOFEX. Since the continuous-time random walk theory can sucessfully account for the time evolution of financial markets that is non-local and non-Markovian, we concentrate on the survival probabilities $`\mathrm{\Psi }(t)`$ independent of transaction places. We here consider two different delivery dates : December KTB$`112`$ and March KTB$`203`$. The tick data for December KTB$`112`$ were taken from July $`2001`$ to December $`2001`$ while we used the tick data of March KTB$`203`$ transacted for six months from October $`2001`$. The KOFEX opens for $`6`$ hours per one day except for weekends, and the total tick data of transactions are, respectively, about $`2.3\times 10^5`$ (KTB$`112`$) and $`2.1\times 10^5`$ (KTB$`203`$).

Figs. $`1`$ and $`2`$ depict, respectively, the survival probability $`\mathrm{\Psi }(t)`$ as a function of time step $`t`$ for December KTB$`112`$ and March KTB$`203`$ delivery dates. We will assume that one time step is the transaction time evoluted for 10 seconds, and total time steps are approximately $`2.9\times 10^5`$ (KTB$`112`$) and $`2.5\times 10^5`$ (KTB$`203`$), neglecting time intervals of the market closure. The slope of the solid line from Fig. $`1`$ gives approximately the streched exponential function of Eq. $`(17)`$ with $`\beta =0.90`$ and $`\gamma =1.5\times 10^5`$ for December KTB$`112`$ delivery date while the survival probability $`\mathrm{\Psi }(t)`$ decays with $`\beta =0.82`$ and $`\gamma =2.0\times 10^5`$ from Fig. $`2`$ of March KTB$`203`$ delivery date. Figs. $`3`$ and $`4`$ is also the plots of $`\mathrm{log}`$ $`\mathrm{\Psi }(t)`$ as a function of $`\mathrm{log}`$ $`t`$ in Eq. $`(18)`$, by taking continuous tick data as shown in Figs. $`1`$ and $`2`$. On the other hand, we can, respectively, obtain approximately the scaling exponents $`ϵ`$ $`=`$ $`17`$(KTB$`112`$) and $`18`$(KTB$`203`$) decayed rapidly in large time $`t`$ limit, as plotted in the dashed line of Figs. $`3`$ and $`4`$.

In conclusion, we have presented the dynamical behavior of the continuous tick data for our bond futures, based on a continuous-time random walk theory recently proposed by Scalas $`et`$ $`al.`$9,10 For two kinds of Korean Treasury Bond(KTB$`203`$ and KTB$`112`$) transacted recently in KOFEX, the decay distribution for survival probability in our small time intervals is displayed stretched exponential form while it scales as a power law for large times.

In Scalas model, they introduce BUND futures with two different delivery dates : June $`1997`$ and September $`1997`$. The survival probabilities for their BUND futures have the form of the well-known Mittag-Leffler function interpolated between two limitting behaviors: the stretched exponential function $`\mathrm{exp}[(\gamma t)^\beta /\mathrm{\Gamma }(\beta +1)]`$ for small time intervals, and the power-law function $`(\gamma t)^\beta /\mathrm{\Gamma }(1\beta )`$ for larger time intervals. The survival probability has an index $`\beta =0.96`$ and a time scaling factor $`\gamma =1/12`$ for BUND futures of June $`1997`$, in Figs.$`14`$ of Ref.$`[10]`$, while it has $`\beta =0.95`$ and $`\gamma =1/12`$ for BUND futures of September $`1997`$. As shown in Figs. $`1`$ and $`2`$, we have the index $`\beta =0.90`$ and a time scaling factor $`\gamma =1.5\times 10^5`$ for KTB$`112`$ and $`\beta =0.82`$ and $`\gamma =2.0\times 10^5`$ for KTB$`203`$ in our small time intervals. However, our key results for the index $`\beta `$ arenot in good agreement with those of Scalas model. It is in practice found that our scaling exponents $`\beta `$ are smaller than those of Scalas model8,9, because their transaction quantities are slightly less than ours. As transaction quantities increase more and more, we would suggest that the scaling exponent $`\beta `$ take a value near $`\frac{1}{2}`$. Hence, when $`\beta `$ is varied in the range $`\frac{1}{2}`$$``$$`\beta `$$`<`$$`\beta _c=1`$, it can be available for several future models to carry out the continuous-time random walk. Here $`\beta _c`$ is the critical exponent which has the so-called marginal value of $`\beta `$ from the dynamical behavior obtained in Scalas model. If transaction quantities decrease less than those of Scalas model, then the value $`\beta `$ becomes a larger value than one, and for this case the curve of the survival probability may be decreased rapidly.

In future, we will present the correlations for bond walk from the tick data of bond futures in Korean financial markets and in detail compare our results with bond futures transacted in other nations. It is also expected that the detail description of the continuous-time random walk theory will be used to study extensions of foreign financial analysis of won(Korea)-yen(Japan) and won(Korea)-dollar(USA) exchange rates.

ACKNOWLEDGMENTS
This work was supported by grant No. 2000-2-133300-001-3 from the Basic Research Program of the Korea Science and Engineering Foundation.

FIGURE CAPTIONS

Figure $`1`$. Plot of the survival probability for December KTB$`112`$ as a function of the time $`t`$. The solid line is the stretched exponential function for $`\beta =0.90`$ and $`\gamma =1.5\times 10^5`$. The continuous tick data for December KTB$`112`$ were taken from July $`2001`$ to December $`2001`$.

Figure $`2`$. Plot of the survival probability for March KTB$`203`$ as a function of the time $`t`$. The solid line is the stretched exponential function for $`\beta =0.82`$ and $`\gamma =2.0\times 10^5`$. The continuous tick data for March KTB$`203`$ were taken from October $`2001`$ to March $`2002`$.

Figure $`3`$. Log-log plot of the survival probability of the time $`t`$ for December KTB$`112`$. The solid line is the stretched exponential function for $`\beta =0.90`$ and $`\gamma =1.5\times 10^5`$, and the dashed line is scaled approximately as a power law with a scaling exponent $`ϵ=17`$.

Figure $`4`$. Log-log plot of the survival probability of the time $`t`$ for March KTB$`203`$. The solid line is the stretched exponential function for $`\beta =0.82`$ and $`\gamma =2.0\times 10^5`$, and the dashed line is scaled approximately as a power law with a scaling exponent $`ϵ=18`$.


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# The form factors of 𝜔𝜋⁰ and 𝜋⁺𝜋⁻ at 𝜓(2𝑆)

## 1 Introduction

Since its discovery, a large amount of $`\psi (2S)`$ data has been collected. The latest comes from BES . This has led to detailed analysis of the interference pattern between the strong and the electromagnetic interactions in $`\psi (2S)`$ decays . In such analysis, the electromagnetic decay modes such as $`\omega \pi ^0`$ and $`\pi ^+\pi ^{}`$ are of particular importance .

Up to now, the most precise measurements of the $`\psi (2S)`$ decays are by $`e^+e^{}`$ colliding experiments, where the production of $`\psi (2S)`$ is accompanied by

$$e^+e^{}\gamma ^{}hadrons,$$

in which $`e^+e^{}`$ pair annihilates into a virtual photon without going through the intermediate resonance state. So the experimentally measured $`\psi (2S)\omega \pi ^0`$ and $`\psi (2S)\pi ^+\pi ^{}`$ processes are parallel to $`\psi (2S)\mu ^+\mu ^{}`$ in the way that there are two Feynman diagrams: one is the $`\psi (2S)`$ and the other is the one-photon annihilation, as shown in Fig. 1.

There are three terms in the cross section: $`\psi (2S)`$ resonance, one-photon annihilation and their interference. Unlike $`\mu ^+\mu ^{}`$ pair which couples to virtual photon by QED fine structure constant, the couplings of $`\omega \pi ^0`$ and $`\pi ^+\pi ^{}`$ to virtual photon are by energy-dependent form factors which are to be determined by experiments. By scanning around the $`\psi (2S)`$ peak, $`\mathrm{\Gamma }_{ee}`$ and $`\mathrm{\Gamma }_{\mu \mu }`$ are determined from fitting the resonance shape with the theoretical curve, which includes the one-photon annihilation term and interference . On the contrary, $`\mathrm{\Gamma }_{\omega \pi ^0}`$ and $`\mathrm{\Gamma }_{\pi ^+\pi ^{}}`$, due to their small branching fractions, are acquired from data collected on top of the resonance. The contributions from the one-photon annihilation and the interference are not subtracted.

In this work, the measurements of the $`\omega \pi ^0`$ and $`\pi ^+\pi ^{}`$ form factors at $`\psi (2S)`$ resonance by $`e^+e^{}`$ colliding experiments are examined. First, not only the $`\psi (2S)`$ resonance, but also the one-photon annihilation propagator are included in the experimentally observed cross section, which takes into account the initial state radiation and the finite energy resolution of the $`e^+e^{}`$ colliders. Next it is demonstrated that for current measurements, the one-photon annihilation contributes a large share to the observed cross sections of these two processes, and this leads to significant revision of the form factors of $`\omega \pi ^0`$ and $`\pi ^+\pi ^{}`$ and their branching fractions in $`\psi (2S)`$ decays. Finally the dependence of the measurement on the experimental condition is discussed in detail.

## 2 The experimentally observed cross section

The resonance part of the cross sections for $`e^+e^{}\psi (2S)\omega \pi ^0`$ and $`e^+e^{}\psi (2S)\pi ^+\pi ^{}`$, in the Born order, are expressed by the Breit-Wigner formula

$$\sigma _{Born}(s)=\frac{12\pi \mathrm{\Gamma }_{ee}\mathrm{\Gamma }_f}{(sM^2)^2+\mathrm{\Gamma }_t^2M^2}.$$

Here $`\sqrt{s}`$ is the center of mass energy; $`M`$ and $`\mathrm{\Gamma }_t`$ are the mass and the total width of $`\psi (2S)`$; $`\mathrm{\Gamma }_{ee}`$ is the partial width to $`e^+e^{}`$, and $`\mathrm{\Gamma }_f`$ ($`f=\omega \pi ^0`$, $`\pi ^+\pi ^{}`$) is the partial width to the final state $`f`$, which are related to $`\mathrm{\Gamma }_{ee}`$ and the corresponding form factors :

$$\mathrm{\Gamma }_{\omega \pi ^0}=\frac{\mathrm{\Gamma }_{ee}q_{\omega \pi ^0}^3}{m_{\psi (2S)}}|_{\omega \pi ^0}(m_{\psi (2S)}^2)|^2,$$
(1)
and

$$\mathrm{\Gamma }_{\pi ^+\pi ^{}}=2\mathrm{\Gamma }_{ee}\left(\frac{q_{\pi ^+\pi ^{}}}{m_{\psi (2S)}}\right)^3|_{\pi ^+\pi ^{}}(m_{\psi (2S)}^2)|^2.$$
(2)
Here $`q_{\omega \pi ^0}`$ is the momentum of either $`\omega `$ or $`\pi ^0`$ in the $`\omega \pi ^0`$ decay, $`q_{\pi ^+\pi ^{}}`$ is the momentum of $`\pi `$ in the $`\pi ^+\pi ^{}`$ decay. $`_{\omega \pi ^0}(s)`$ and $`_{\pi ^+\pi ^{}}(s)`$ are the form factors of $`\omega \pi ^0`$ and $`\pi ^+\pi ^{}`$, respectively.

For the experimentally observed cross sections of $`e^+e^{}\omega \pi ^0`$ and $`e^+e^{}\pi ^+\pi ^{}`$ at $`\psi (2S)`$ peak, the direct one-photon annihilation term and an interference term must be added:

$`\sigma _{Born}(s)=`$
$`{\displaystyle \frac{4\pi \alpha ^2}{s^{3/2}}}[1+2\mathrm{}B(s)+|B(s)|^2]|_f(s)|^2𝒫_f(s),`$
with

$$B(s)=\frac{3\sqrt{s}\mathrm{\Gamma }_{ee}/\alpha }{sM^2+iM\mathrm{\Gamma }_t},$$
(4)
where $`\alpha `$ is the QED fine structure constant, and

$$𝒫_{\omega \pi ^0}(s)=\frac{1}{3}q_{\omega \pi ^0}^3,$$

$$𝒫_{\pi ^+\pi ^{}}(s)=\frac{2}{3s}q_{\pi ^+\pi ^{}}^3.$$

More generally, there could be a phase between the one-photon and $`\psi (2S)`$ propagators, then instead of Eq. (4), one has

$$B(s)=\frac{3\sqrt{s}\mathrm{\Gamma }_{ee}/\alpha }{sM^2+iM\mathrm{\Gamma }_t}e^{i\varphi },$$
(5)
where $`\varphi `$ is the phase between the two propagators. In the following analysis, both Eq. (4) and (5) are considered.

In $`e^+e^{}`$ collision, the Born order cross section is modified by the initial state radiation in the way

$$\sigma _{r.c.}(s)=\underset{0}{\overset{x_m}{}}𝑑xF(x,s)\frac{\sigma _{Born}(s(1x))}{|1\mathrm{\Pi }(s(1x))|^2},$$
(6)
where $`x_m=1s^{}/s`$. $`F(x,s)`$ has been calculated to an accuracy of 0.1%  and $`\mathrm{\Pi }(s)`$ is the vacuum polarization factor. In the upper limit of the integration, $`\sqrt{s^{}}`$ is the experimentally required minimum invariant mass of the final particles. In this work, $`x_m=0.2`$ is used which corresponds to invariant mass cut of 3.3 GeV.

By convention, $`\mathrm{\Gamma }_{ee}`$ has the QED vacuum polarization in its definition . Here it is natural to extend this convention to the partial widths of other pure electromagnetic decays. By using Eq. (1) and (2) to relate $`\mathrm{\Gamma }_{\omega \pi ^0}`$ and $`\mathrm{\Gamma }_{\pi ^+\pi ^{}}`$ with $`\mathrm{\Gamma }_{ee}`$, these partial widths are experimentally measured ones with vacuum polarization implicitly included in their definitions.

The $`e^+e^{}`$ colliders have finite energy resolution which is much wider than the intrinsic width of $`\psi (2S)`$. Such energy resolution is usually a Gaussian distribution:

$$G(W,W^{})=\frac{1}{\sqrt{2\pi }\mathrm{\Delta }}e^{\frac{(WW^{})^2}{2\mathrm{\Delta }^2}},$$

where $`W=\sqrt{s}`$ and $`\mathrm{\Delta }`$, a function of the energy, is the standard deviation of the Gaussian distribution. The experimentally measured cross section is the radiative corrected cross section folded with the energy resolution function

$$\sigma _{exp}(W)=\underset{0}{\overset{\mathrm{}}{}}𝑑W^{}\sigma _{r.c.}(W^{})G(W^{},W).$$
(7)
With the currently available $`\psi (2S)`$ parameters $`M=3.68596`$ GeV, $`\mathrm{\Gamma }_{ee}=2.19`$ keV, $`\mathrm{\Gamma }_t=300`$ keV , on a collider with $`\mathrm{\Delta }=1.3`$ MeV, the maximum total cross section is 640 nb; while on a collider with $`\mathrm{\Delta }=2.0`$ MeV, the maximum total cross section is 442 nb***Different accelerator has different energy resolution, and their difference is sometimes large . Here $`\mathrm{\Delta }=1.3`$ MeV corresponds to the energy resolution of BEPC/BES  at the $`\psi (2S)`$ energy region; and $`\mathrm{\Delta }=2.0`$ MeV corresponds to DORIS/DASP at the same energy. Throughout this paper, these values of the parameters are used for numerical calculation..

## 3 $`\omega \pi ^0`$ and $`\pi ^+\pi ^{}`$ form factors measured at $`\psi (2S)`$

The decay $`\psi (2S)\omega \pi ^0`$ is reported by BES to have a branching fraction of $`(3.8\pm 1.7\pm 1.1)\times 10^5`$ ; and $`\psi (2S)\pi ^+\pi ^{}`$ is reported by the same group to have a branching fraction of $`(8.4\pm 5.5_{3.5}^{+1.6})\times 10^6`$ . With the energy resolution of BEPC/BES, these values actually mean that the measured cross section of $`e^+e^{}\omega \pi ^0`$ at $`\psi (2S)`$ is $`(2.4\pm 1.3)\times 10^2`$ nb while for $`e^+e^{}\pi ^+\pi ^{}`$ it is $`(5.4_{4.2}^{+3.7})\times 10^3`$ nb. An earlier result of $`\psi (2S)\pi ^+\pi ^{}`$ by DASP gives a branching fraction of $`(8\pm 5)\times 10^5`$ . With the energy resolution of DORIS/DASP, this means that the measured cross section at $`\psi (2S)`$ is $`(3.5\pm 2.2)\times 10^2`$ nb.

Using these measured cross sections, together with Eq. (2), (4), (6) and (7), the form factors can be estimated. In the calculation of radiative correction, the upper limit of the integration in Eq. (6) used here requires the knowledge of these form factors between 3.3 GeV and $`\psi (2S)`$ mass. For this purpose, the following $`s`$ dependences are assumed:

$$|_{\omega \pi ^0}(s)|\frac{1}{s},$$
(8)
or

$$|_{\omega \pi ^0}(s)|\frac{1}{s^2},$$
(9)
for $`\omega \pi ^0`$  and

$$|_{\pi ^+\pi ^{}}(s)|\frac{1}{s},$$
(10)
for $`\pi ^+\pi ^{}`$ .

First assume that in Eq. (2), $`B(s)`$ is expressed by Eq. (4), with the BES measured $`\omega \pi ^0`$ cross section at $`\psi (2S)`$, and normalize the $`\omega \pi ^0`$ form factor to its value at $`Q^2=0`$ by using the crossed channel decay $`\omega \gamma \pi ^0`$, one gets

$`{\displaystyle \frac{|_{\omega \pi ^0}(m_{\psi (2S)}^2)|}{|_{\omega \pi ^0}(0)|}}`$
$`=`$ $`\sqrt{{\displaystyle \frac{\alpha }{3}}\left({\displaystyle \frac{P_\gamma }{P_\omega }}\right)^3{\displaystyle \frac{m_{\psi (2S)}\mathrm{\Gamma }(\psi (2S)\omega \pi ^0)}{\mathrm{\Gamma }(\omega \gamma \pi ^0)\mathrm{\Gamma }(\psi (2S)\mu ^+\mu ^{})}}}`$
$`=`$ $`(1.6\pm 0.4)\times 10^2,`$
where $`P_\gamma (P_\omega )`$ is the photon($`\omega `$) momentum in the $`\omega (\psi (2S))`$ rest frame. This corresponds to the branching fraction

$$_0(\psi (2S)\omega \pi ^0)=(1.6\pm 0.9)\times 10^5.$$

The above results are insensitive to the $`s`$ dependence of the $`\omega \pi ^0`$ form factor: the two different $`s`$ dependences in Eq. (8) and (9) yield the results which deviate from each other by only $`1.1\%`$ for $`\omega \pi ^0`$ form factor and $`2.2\%`$ for the branching fraction, with Eq.(8) giving the larger values. Such difference is well within the experimental uncertainties of the current measurements.

Similarly, with the BES measured $`\pi ^+\pi ^{}`$ cross section,

$$|_{\pi ^+\pi ^{}}(m_{\psi (2S)}^2)|=(4.5_{1.7}^{+1.5})\times 10^2,$$

and

$$_0(\psi (2S)\pi ^+\pi ^{})=(3.5_{2.7}^{+2.3})\times 10^6.$$

With DASP result,

$$|_{\pi ^+\pi ^{}}(m_{\psi (2S)}^2)|=0.12\pm 0.04,$$

and

$$_0(\psi (2S)\pi ^+\pi ^{})=(2.6\pm 1.6)\times 10^5.$$

In the above equations, $`_0`$ indicates the actual branching ratio of $`\psi (2S)`$ decays after continuum contribution being subtracted.

Next consider a possible phase between the two propagators, then instead of Eq. (4), Eq. (5) for $`B(s)`$ is used in Eq. (2) for the Born order cross section. With an extra parameter, the form factors vary in a range, depending on the phase. Then with BES result on $`\omega \pi ^0`$,

$`(1.4\pm 0.4)\times 10^2`$
$`{\displaystyle \frac{|_{\omega \pi ^0}(m_{\psi (2S)}^2)|}{|_{\omega \pi ^0}(0)|}}(1.8\pm 0.5)\times 10^2`$
and

$`(1.2\pm 0.6)\times 10^5`$
$`_0(\psi (2S)\omega \pi ^0)(2.1\pm 1.1)\times 10^5.`$
The lower or upper limit herein corresponds to $`\varphi =90^{}`$ or $`90^{}`$ which leads to maximum constructive or destructive interference between the two propagators.

Similarly, with BES result on $`\pi ^+\pi ^{}`$,

$`(3.9_{1.5}^{+1.3})\times 10^2`$
$`|_{\pi ^+\pi ^{}}(m_{\psi (2S)}^2)|(5.3_{2.1}^{+1.8})\times 10^2,`$
and

$`(2.7_{2.1}^{+1.8})\times 10^6`$
$`_0(\psi (2S)\pi ^+\pi ^{})(4.8_{3.7}^{+3.3})\times 10^6.`$
With DASP measurement on $`\pi ^+\pi ^{}`$,

$`(0.11\pm 0.03)|_{\pi ^+\pi ^{}}(m_{\psi (2S)}^2)|(0.14\pm 0.04),`$
and

$`(2.1\pm 1.4)\times 10^5`$
$`_0(\psi (2S)\pi ^+\pi ^{})(3.3\pm 2.1)\times 10^5.`$
These form factors extracted from experimentally measured cross sections are to be compared with theoretical calculations. For $`\omega \pi ^0`$, a straitforward application of Bjorken-Johnson-Low theorem for large scale time-like momentum transfer gives

$$\frac{|_{\omega \pi ^0}(s)|}{|_{\omega \pi ^0}(0)|}=\frac{(2\pi f_\pi )^2}{3s}=1.66\times 10^2,$$

where $`f_\pi `$ is the $`\pi `$ decay constant. This value is in excellent agreement with the experimental measurement from BES with the direct one-photon annihilation contribution subtracted. On the other hand, a phenomenological model  predicts

$$\frac{|_{\omega \pi ^0}(s)|}{|_{\omega \pi ^0}(0)|}=\frac{m_\rho ^2M_\rho ^{}^2}{(m_\rho ^2s)(M_\rho ^{}^2s)},$$

where $`m_\rho `$ and $`M_\rho ^{}`$ are the masses of $`\rho (770)`$ and $`\rho (1450)`$ respectively. It gives

$$\frac{|_{\omega \pi ^0}(m_{\psi (2S)}^2)|}{|_{\omega \pi ^0}(0)|}=8.7\times 10^3,$$

which deviates by two standard deviations from the above revised result based on BES measurement.

For $`\pi ^+\pi ^{}`$, the first order QCD calculation relates the meson form factor with the decay constant by

$$|_{\pi ^+\pi ^{}}(s)|=16\pi \alpha _s(s)\frac{f_\pi ^2}{s}.$$

Using $`f_\pi =0.093`$GeV and $`\alpha _s(m_{\psi (2S)}^2)=0.25`$, one gets

$$|_{\pi ^+\pi ^{}}(m_{\psi (2S)}^2)|=8.0\times 10^3.$$

This is too small compared with the value extracted from the data above. There are also estimations by phenomenological models, e.g. in Ref. . Most of the theoretical estimations do not exceed

$$|_{\pi ^+\pi ^{}}|\frac{0.50.6\text{ GeV}^2}{s}.$$

So the value extracted from the BES result is near the upper bound of the theoretical estimations.

To explore the possible phase between the two propagators experimentally, it is necessary to scan the resonance shape and fit the $`\omega \pi ^0`$ or $`\pi ^+\pi ^{}`$ cross sections with theorectical curves. To accumulate sufficient integrated luminosity at each energy point, this has to be done on the high luminosity colliders, such as the upcoming CESR-c/CLEO-c  and BEPC-II/BES-III .

## 4 The dependence of the measurement on the experimental details

In this section, the dependence of the measurement on the experimental details is discussed.

One important feature is that in the total measured cross section, the resonance part depends sensitively on the energy spread of the collider. The larger the energy spread, the smaller the resonance part of the cross section. On the other hand, such energy spread hardly affects the one-photon annihilation part of the observed cross section, which is a smooth function of c.m. energy $`\sqrt{s}`$. For example, using Eq. (2) and (4) for the Born order cross section, for BEPC/BES ($`\mathrm{\Delta }=1.3`$ MeV) in $`e^+e^{}\omega \pi ^0`$ process, only 40.9% of the observed cross section comes from $`\psi (2S)`$; the other 60.4% is from the one-photon continuum and there is $`1.3`$% negative contribution from interference. For $`e^+e^{}\pi ^+\pi ^{}`$ process, the percentages are 41.4%, 60.0% and $`1.4`$%. There are colliders with larger energy spread. In such cases the percentage of the resonance part in the observed cross section is smaller. For DORIS/DASP ($`\mathrm{\Delta }=2.0`$ MeV), these percentages are 32.7%, 68.5% and $`1.2`$% for $`\pi ^+\pi ^{}`$.

Another important feature is that the one-photon annihilation term, with radiative correction, depends sensitively on the upper limit of the integration $`x_m`$ in Eq. (6), which means the invariant mass cut in the event selection. In contrast, the resonance part hardly changes with $`x_m`$ as long as $`x_m\mathrm{\Gamma }_t/M`$ due to the behavior of the Breit-Wigner formula, so it is virtually independent of the invariant mass cut under practical event selection criteria. In fact, the tighter cuts on the invariant mass of the final hadrons, which corresponds to smaller $`x_m`$, the smaller the one-photon annihilation part of the observed cross section. In the calculations of this work, the value of $`x_m=0.2`$ is used, which means a lower cut of $`\omega \pi ^0`$ or $`\pi ^+\pi ^{}`$ invariant mass at $`\sqrt{10.2}m_{\psi (2S)}=3.3`$ GeV. Such cut or its equivalence is usually imposed in the event selection to separate the $`\psi (2S)`$ daughter particles from $`J/\psi `$’s.

The third feature is that the treatment of the one-photon annihilation term is sensitive to the energy on which the data is taken. Small changes of the energy lead to rapid variation of the resonance and the interference term. Experiments naturally tend to collect resonance data at the energy which yields the maximum inclusive hadron cross section. This energy is not the nominal resonance mass, but somewhat higher. Nor does it necessarily coincide with the maximum cross section of each exclusive mode, due to the interference effect. For example, with energy resolution $`\mathrm{\Delta }=1.3`$ MeV, the maximum cross sections of inclusive hadrons and $`\omega \pi ^0`$ mode happen at energies which are 0.14 MeV and 0.81MeV above the nominal $`\psi (2S)`$ mass respectively. At the energy which yields the maximum cross section of the inclusive hadrons, the $`\omega \pi ^0`$ mode reaches only 95% of its own maximum value; While at the energy which yields the maximum $`\omega \pi ^0`$ cross section, the percentages of resonance, one-photon annihilation and interference are 34.8%, 57.3% and $`+7.8`$%, respectively.

## 5 Conclusion

The above analyses and estimations show that a large fraction of the observed cross sections of $`e^+e^{}\omega \pi ^0`$ and $`e^+e^{}\pi ^+\pi ^{}`$ come from the direct one-photon annihilation instead of $`\psi (2S)`$ decays. This contribution must be taken into account, in order to obtain the correct branching fractions of $`\psi (2S)\omega \pi ^0`$ and $`\psi (2S)\pi ^+\pi ^{}`$. The method presented in this paper will play an important role for the same and similar final state analysis in the future high luminosity experiments, like CLEO-c  and BES-III , as the accuracy goes much higher, not only the one-photon annihilation part of the cross section must be treated precisely, the interference term could also become relevant to the measurements.

## Acknowledgments

The authors are thankful for Dr. D. H. Zhang and Dr. H. B. Li for discussions and communications.