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# Dynamical model and nonextensive statistical mechanics of a market index on large time windows

## 1 Introduction

The time lag dependent price increments, returns, log-returns, normalized log-returns of financial market indices, stocks and foreign currency exchange markets are known to be non-gaussian distributions and rather exhibit fat-tailed power-law distributions . The origin of the so called large volatility characterized by such fat tailed distributions is a key question; the fat tails in such data are thought to be caused by some ”dynamical process” through a hierarchical cascade of short and long-range volatility correlations, though Gopikrishnan et al. consider that correlations and tails have different origins . Destroying all correlations, e.g. by shuffling the order of the fluctuations, is known to cause the fat tails almost to vanish. It is still an open question whether both the fat-tailed power-law of partial distribution functions (PDF) of the various volatilities and their $`evolution`$ for different time delays in financial markets can be described.

The fat tails indicate an unexpected high probability of large price changes. These extreme events are of utmost importance for risk analysis. They are considered to be a set of strong bursts in the energy dissipation of so called clusters of high price volatility. In so doing the PDF and the fat tail event existence are thought to be similar to the notion of intermittency in turbulent flows . Indeed employing the Fokker-Planck equation approach  recent studies  have shown that the dynamics of a market results from a flow of information between long and short time scales. Since the distributions of returns obey a Fokker-Planck equation, the time evolution of the price $`increment`$ signal ($`\mathrm{\Delta }y`$) measured for a time lag $`\mathrm{\Delta }t`$ is governed by a Langevin equation

$$\frac{d\mathrm{\Delta }y}{d\mathrm{\Delta }t}=D^{(1)}(\mathrm{\Delta }y(\mathrm{\Delta }t),\mathrm{\Delta }t)+\eta (\mathrm{\Delta }t)\sqrt{D^{(2)}(\mathrm{\Delta }y(\mathrm{\Delta }t),\mathrm{\Delta }t)},$$
(1)
the drift $`D^{(1)}`$ and diffusion $`D^{(2)}`$ coefficients being those of the Fokker-Planck equation . It is often assumed that $`\eta (\mathrm{\Delta }t)`$ is a correlated noise with gaussian statistics. Thus such a dynamics may be analogous to the dissipation of energy from large to small spatial scales in three dimensional turbulence as pointed out already in .

On the other hand, the non-Gaussian character of the fully developed turbulence  has been linked to nonextensive statistical physics . Whence recently there has been a large number of studies, e.g.  of financial markets employing the nonextensive statistics including those involving fully developed turbulence approach as in . The nonextensivity, i.e. some anomalous scaling of classically extensive properties like the entropy, is linked to a single parameter $`q`$, e.g. in the Tsallis formulation of nonextensive thermostatistics.

In this paper on the study of the behavior of a financial index, i.e. the S&P500, on $`large`$ time windows, we apply as in  for $`short`$ time windows, a recently suggested model of hydrodynamic turbulence that serves as a dynamic foundation for nonextensive statistics . Indeed long time lag effects must be also investigated. Furthermore, it is known that some distinction must be made concerning the type of financial market $`signal`$ which is examined. We will compare results based on price increment and normalized log-return111throughout this report the natural logarithm will be always used. time series.

In Sect. 2, we describe the distribution of returns for the daily closing price signal of the S&P500 index for the time interval between Jan. 01, 1980 and Dec. 31, 1999, thus a series of $`N=`$5056 data points. Daily closing price values of the S&P500 index for the period of interest were downloaded from Yahoo web site 222http://finance.yahoo.com. We characterize the tail(s) of the distribution for various $`\mathrm{\Delta }t`$’s, i.e. from 1 up to 40 days, and will observe the value of the PDF tails, for such time lags, outside the best gaussian through the data. In Sect. 3, we calculate the power law exponents characterizing the $`integrated`$ distribution of the (normalized log-) returns over different time lags for the S&P500 index daily closing price through a detrended fluctuation analysis and a power spectral density analysis point of view. Results are compared to shuffled data for estimating the value of the error bars. In Sect. 4, Tsallis statistical approach is outlined, and distributions of (normalized log-) returns for time lags between $`\mathrm{\Delta }t`$ = 1 to 40 days are examined. It is found that the $`q`$-value of the nonextensive entropy converges to a value = 1.22 for $`\mathrm{\Delta }t`$ = 40 days, starting with $`q`$ = 1.39 for $`\mathrm{\Delta }t`$ = 1, values similar to those reported for the intraday evolution of other financial indices, e.g. NASDAQ in  and slightly lower than those for S&P500 minute data . The probability density $`f_{\mathrm{\Delta }t}(\beta )`$ of the volatility $`\beta `$ in terms of the standard deviation of the normalized log returns of the S&P500 for different time lags is found to obey the $`\chi ^2`$-distribution. The intermittency exponent ($`\kappa `$) of the Kolmogorov log-normal model is found to be related to the scaling exponent of the PDF moments, -thereby giving weight to the model. The large value of $`\kappa `$ points to a large number of cascades in the underlying turbulent process.

In Sect. 5, the usual Fokker-Planck approach for treating the time-dependent probability distribution functions is summarized and coefficients governing both the Fokker-Planck equation for the distribution function of normalized log returns and the Langevin equation for the time evolution of normalized log returns of daily closing price signal of S&P500 are obtained. We will notice that there is ”no restoring force”.

Therefore we present for the first time a coherent theory linking the shape and tails of partial distribution functions for long and short time lags of the daily closing values of a financial signal and connect the often suggested turbulent nature of the markets to a model encompassing nonextensive statistics and evolution equations of the Langevin and Fokker-Planck type. We are aware that the number of data points of the time series ($`N=`$5056) might seem quite small with respect to other studies involving millions of data points. Some previous work had indicated the possible use of 5000 or so data point series in order to obtain scaling arguments and ingredients for models . Clearly the relative error bars or confidence interval being roughly proportional to $`N^{1/2}`$ have to be taken with caution. Thus the conclusions universal value might be debated upon. Nevertheless one positive aspect might be that scaling effects are not too sensitive to $`N`$. We do warn however throughout the report that some caution might also be taken concerning the stationarity of the data. These $`caveat`$ might only be resolved through further work.

## 2 Distribution of returns

There are several ways of calculating the returns in a financial market. A simple one represents price increment $`\mathrm{\Delta }y(t,\mathrm{\Delta }t)`$ or difference between the value of the price signal $`y(t)`$ at time $`t+\mathrm{\Delta }t`$ and its value at time $`t`$. Log-returns, i.e. the logarithm of the price ratio $`\stackrel{~}{y}(t)=ln[y(t+\mathrm{\Delta }t)/y(t)]`$ are also used sometimes. Below we consider the normalized log-returns $`Z(t,\mathrm{\Delta }t)=(\stackrel{~}{y}(t)<\stackrel{~}{y}>_{\mathrm{\Delta }t})/\sigma _{\mathrm{\Delta }t}`$, where $`<\stackrel{~}{y}>_{\mathrm{\Delta }t}`$ denotes the average and $`\sigma _{\mathrm{\Delta }t}`$ the standard deviation of $`\stackrel{~}{y}(t)`$ for a given $`\mathrm{\Delta }t`$. The normalized log-returns $`Z(t,\mathrm{\Delta }t)`$ depend on the time $`t`$ and the time lag $`\mathrm{\Delta }t`$. However, in order to simplify the notations and whenever possible without leading to confusion and misunderstanding we will drop the explicit writing of one or both variables. Daily closing price values of the S&P500 index for the period between Jan. 01, 1980 and Dec. 31, 1999 will serve as a standard financial signal $`y(t)`$, thus $`N=`$5056 data points.

The distribution of the normalized log-returns $`Z(t,\mathrm{\Delta }t)`$ of the daily closing price signal for S&P500 index for the period between Jan. 01, 1980 and Dec. 31, 1999, for $`\mathrm{\Delta }t`$ = 1 day are plotted in Fig. 1. A fit is first attempted with a Gaussian distribution for $`small`$ values of the increments, i.e. the central part of the distribution. This central part distribution is well fitted with such a Gaussian type curve within the interval $`Z[3,3]`$ but departs from the Gaussian form outside this interval. The negative and positive tails of the distribution outside the Gaussian curve are found both to be equal to -3.1. In the case $`\mathrm{\Delta }t`$ 1 day, it is observed that the best Gaussian range is the same as for $`\mathrm{\Delta }t=1`$ day (Fig. 2) but the outside tail values, as estimated for the various $`\mathrm{\Delta }t`$’s of interest, are slightly different, and found to decrease with $`\mathrm{\Delta }t`$; they are reported in Table 1. These findings ($`\mathrm{\Delta }t`$-independent Gaussian range and tail exponent behavior) are at odd with the expectation that the PDF tends toward a Gaussian for large $`\mathrm{\Delta }t`$. Some Bayesian-like analysis of the PDF’s, i.e. allowing for the expected Gaussian width behavior, has been done, with the appropriate conclusion. However, the error bar on the various widths do not allow for a statistically convincing evidence through the comparison of variance classical test. Same for the tail exponents which are obtained from a very small number of data points. Therefore it seems appropriate to pursue further the PDF analysis through other techniques that one allowing to extract a PDF tail from the difference between a raw data histogram and a central region Gaussian fit.

Notice that the Oct 19, 1987 and Oct. 27, 1997 crashes, as studied elsewhere  are represented by isolated dots at $`Z=23`$ and and $`Z=7`$ respectively333Although the absolute value of the S&P500 drop in price is of order of 60 units in both crashes, since the price has increased and due to the nonlinearity of the logarithm the value of $`Z`$ is much smaller at the crash in 1997.. The value of $`Z=8.7`$ represents the aftershock crash of the Oct. 26, 1987 . The analysis presented in the present study is not designed to capture such extreme events nor their effects.

## 3 Time correlations

There are different estimators for the long and/or short range dependence of fluctuations correlations . In all cases it is useful to test the null hypothesis debated  whether the fat tails are related to or/and caused by long-range volatility correlations. Destroying all correlations by shuffling the order of the fluctuations, is known to cause the fat tails almost to vanish. A Kolmogorov-Smirnov test (not shown) on shuffled data has indicated us the statistical validity of the numerical values and the statistically acceptable meaning of the displayed error bars.

Through the (linearly) detrended fluctuation analysis (DFA) method, see e.g. , we show first that the long range correlations of daily closing price signal of S&P500 for the time interval of interest, are brownian-like. The method has been used previously to identify whether long range correlations exist in non-stationary signals, in many research fields such as e.g. finance , bioinformatics , cardiac dynamics  and meteorology . The DFA concepts are therefore not repeated here. For an extensive list of references see . Briefly, the signal time series $`y(t)`$ is $`first`$ $`integrated`$, to ”mimic” a random walk $`Y(t)`$. The time axis is next divided into $`k+1`$ non-overlapping boxes of equal size size $`n`$; one looks thereafter for the best (linear) trend, $`z(n)`$, in each box, and calculates the root mean square deviation of the (integrated) signal with respect to $`z(n)`$ in each box. The average of such values is taken at fixed box size $`n`$ in order to obtain

$$F(n)=\sqrt{\frac{1}{n}\underset{i=kn+1}{\overset{(k+1)n}{}}\left[Y(i)z(i)\right]^2}.$$
(2)
The box size is next varied over the $`n`$ value. The resulting function is expected to behave like $`n^{1+H_{DFA}}`$ indicating a scaling law characterized by a (Hurst) exponent $`H_{DFA}`$. For the (integrated) daily closing price signal of the S&P500 index, a scaling exponent $`1+H_{DFA}=1.52\pm 0.01`$ is found (Fig. 3) in a scaling range extending from about 1 week to about 250 days, i.e. 1 year.

Along the same line of thoughts the scaling properties of the normalized log-returns $`Z(t,\mathrm{\Delta }t)=(\stackrel{~}{y}(t)<\stackrel{~}{y}>_{\mathrm{\Delta }t})/\sigma _{\mathrm{\Delta }t}`$ have also been tested for different time lag values, i.e. $`\mathrm{\Delta }t=1,5,10,15,20,`$ $`25,30,35,40`$ days (Fig. 4). The DFA function, as defined here above, of the integrated normalized log returns for time lag 1 days behaves as white noise and has a Hausdorff measure equal to zero (later see its power spectrum in Fig. 6). However non trivial scaling properties occur for the series of normalized log returns as soon as $`\mathrm{\Delta }t1`$ day. The values of the scaling exponents and the maximum box size $`n_x`$ (in days) for which the scaling holds for each DFA-function are given in Table 2, while the DFA-functions together with fitting lines are plotted in Fig. 4. The values of the Hausdorff measure of the normalized log-returns signals varies with $`\mathrm{\Delta }t`$ from $`H_{DFA}=0.27\pm 0.04`$ for $`\mathrm{\Delta }t=5`$ days to $`H_{DFA}=0.43\pm 0.01`$ for $`\mathrm{\Delta }t=40`$ days. Recall that $`H_{DFA}=0.5`$ corresponds to Brownian motion. The value of the maximum box size for which the scaling holds $`n_x`$ is related to the periodicities of the normalized log-returns signals defined by the value of the time lag as $`n_x3.5\mathrm{\Delta }t`$. The data and the power law fit of this functional dependence are plotted in the inset of Fig. 4. The value of the slope 1.0 is the same as the one found by Hu et. al.  when studying the effects of sinusoidal trends and noise on the (so called second order in ) DFA technique.

The power spectrum of the daily closing price signal of S&P500 $`S(f)f^\mu `$ with spectral exponents $`\mu _1=2.41\pm 0.06`$ and $`\mu _2=1.95\pm 0.03`$ with a scale break at 250 days is shown in Fig. 5. The scaling properties of the power spectrum of the shuffled daily closing price signal of S&P500, in which e.g. the amplitudes are randomly shuffled are shown in the inset of Fig. 5. Such a scaling spectral exponent $`\mu =0`$ is the signature of a white noise like behavior. Recall that $`\mu =2.0`$ corresponds to Brownian motion.

We have also checked for scaling behavior and possible periodicities in the power spectrum of the time series of the normalized log returns $`Z(t,\mathrm{\Delta }t)=(\stackrel{~}{y}(t)<\stackrel{~}{y}>_{\mathrm{\Delta }t})/\sigma _{\mathrm{\Delta }t}`$ for different (selected) values of the time lag $`\mathrm{\Delta }t=1,5,20,35,`$ $`40`$ days (Fig. 6). A white noise like behavior of the power spectrum of such returns always occurs for $`1/f`$ $``$ $`\mathrm{\Delta }t`$ days; e.g., dashed line in Fig. 6 for $`f<1/128`$ and $`\mathrm{\Delta }t=40`$ days. This is in accordance with the results of the DFA analysis (Fig. 4 and Table 2). A scaling behavior is found at large frequencies $`f`$ satisfying the relationship $`\mu =2H_{DFA}+1`$, as indicated in Fig. 6, e.g. by the dashed line with slope $`\mu =1.86`$, for $`f>1/128`$ for the case $`\mathrm{\Delta }t=40`$ days.

Periodicities in the power spectrum of the normalized log return time series for $`\mathrm{\Delta }t>1`$ day were expected to be found since these periods are somewhat embedded into the time series by the way they are obtained and the Fourier transform technique. It is easily observed that the maxima and the minima of the spectrum correspond to harmonics and subharmonics of $`1/\mathrm{\Delta }t`$.

## 4 Tsallis statistics

Based on the scaling properties of multifractals , Tsallis  proposed a generalized Boltzmann-Gibbs thermo-statistics through the introduction of a family of non-extensive entropy functional $`𝒮_q`$ given by:

$$𝒮_q=k\frac{1}{q1}\left(1p(x,t)^q𝑑x\right),$$
(3)
with a single parameter $`q`$ and where $`k`$ is a normalization constant. The main ingredient in Eq.(3) is the time-dependent probability distribution $`p(x,t)`$ of the stochastic variable $`x`$. The functional is reduced to the classical extensive Boltzmann-Gibbs form in the limit of $`q1`$. The Tsallis parameter $`q`$ characterizes the non-extensivity of the entropy. Subject to certain constraints the functional in Eq.(3) seems to yield a probability distribution function of the form

$$p(x)=\frac{1}{Z_q}\left\{1+\frac{C\beta _02\alpha (q1)|x|^{2\alpha }}{2\alpha (q1)}\right\}^{\frac{1}{(q1)}}$$
(4)
for the stochastic variable $`x`$, where

$$\frac{1}{Z_q}=\alpha \left\{\frac{C\beta _02\alpha (q1)}{2\alpha (q1)}\right\}^{1/2\alpha }\frac{\mathrm{\Gamma }\left(\frac{1}{q1}\right)}{\mathrm{\Gamma }\left(\frac{1}{2\alpha }\right)\mathrm{\Gamma }\left(\frac{1}{q1}\frac{1}{2\alpha }\right)}$$
(5)
in which $`C`$ is a constant and $`0<\alpha 1`$ is the power law exponent of the potential $`U(x)=C|x|^{2\alpha }`$ that provides the ”restoring force” $`F(x)`$ in Beck model of turbulence . The latter is described by a Langevin equation

$$\frac{dx}{dt}=\gamma F(x)+R(t)$$
(6)
where $`\gamma `$ is a parameter and $`R(t)`$ is a gaussian white noise. A non-zero value of $`\gamma `$ corresponds to providing energy to (or draining from) the system by the outside  The parameter $`\beta _0`$ in Eq.(4) and (5) is the mean of the fluctuating volatility $`\beta `$, i.e. the local standard deviation of $`|x|`$ over a certain window of size $`m`$ . We will use this model assuming that the normalized log returns $`Z(t,\mathrm{\Delta }t)`$ represent $`the`$ stochastic variable $`x`$, as in Eq.(6), or $`\mathrm{\Delta }y`$ in Eq.(1). We will search whether Eq.(4) is obeyed for $`xZ(t,\mathrm{\Delta }t)`$, thus studying $`p(x)p_{\mathrm{\Delta }t}(Z)`$ for various time lags $`\mathrm{\Delta }t`$.

Just as in Beck model of turbulence444The approach used here was recently suggested to be an appropriate model of hydrodynamic turbulence for financial markets in .  we assume that the volatility $`\beta `$ is $`\chi ^2`$-distributed with degree $`\nu `$ (see another formula in ):

$$f_{\mathrm{\Delta }t}(\beta )\frac{1}{\mathrm{\Gamma }(\nu /2)}\left(\frac{\nu }{2\beta _0}\right)^{\nu /2}\beta ^{\nu /21}\mathrm{exp}\left(\frac{\nu \beta }{2\beta _0}\right),\nu >2,$$
(7)
where $`\mathrm{\Gamma }`$ is the Gamma function, $`\beta _0=<\beta >`$ and the number of degrees of freedom $`\nu `$ can be found from:

$$\nu =\frac{2<\beta >^2}{<\beta ^2><\beta >^2}.$$
(8)
The Tsallis parameter $`q`$ satisfies

$$q1+\frac{2\alpha }{\alpha \nu +1}.$$
(9)
To justify our assumption that the ’local’ volatility of the normalized log returns $`Z(t,\mathrm{\Delta }t)`$ is of the form of $`\chi ^2`$-distribution, we checked the distribution of the normalized log returns of the daily closing price of S&P500. We have calculated the standard deviation of the normalized log returns within various non-overlapping windows of size $`m`$, ranging from 25 to 1000 days

$$\beta (k)=\sqrt{\frac{1}{m}\underset{i=km+1}{\overset{(k+1)m}{}}Z^2(i)\left(\frac{1}{m}\underset{i=km+1}{\overset{(k+1)m}{}}Z(i)\right)^2}$$
(10)
In doing so we have a various number of $``$ non-overlapping windows for various time lags $`\mathrm{\Delta }t`$, and have searched for the most efficient size of the window in order not to loose data points and therefore information. The resulting empirically obtained distributions of the ’local’ volatility (Eq.(10)) of normalized log returns for the different different time lags of interest are plotted in Fig. 7 for an intermediary case $`m=32`$. The values of the degree $`\nu `$ of the $`\chi ^2`$-distribution are then obtained using Eq. (8). The spread $`[\beta _{min},\beta _{max}]`$ of the local volatility $`\beta `$ decreases with increasing the time lag as it is expected from a $`\chi ^2`$-distribution function due to the exponential function in Eq. (7) for large values of the degree of freedom $`\nu `$. The value of $`\nu `$ much varies as a function of $`m`$ and the time lags considered. The fits are always excellent. However the $`\beta _0`$ and $`\nu `$ values are quite dependent on the parameters used in the numerical analysis. Based on these results, e.g. Fig. 7, it can be accepted that the (turbulent market) model $`\beta `$-distributions can be sufficiently well fitted for our purpose with a $`\chi ^2`$-distribution, thereby justifying the initial assumption.555Sattin formula  might also be tested in future work.

In order to investigate the impact of the $`\alpha `$ parameter on the tail behavior of the Tsallis type distribution function we tested Eq. (4) for fixed $`q`$ in two cases : for a time lag $`\mathrm{\Delta }t=1`$ day and $`q=1.39`$ (Fig. 8a) and for a time lag $`\mathrm{\Delta }t=40`$ days and $`q=1.22`$ for $`\alpha =1,0.9,0.8`$ (Fig. 8b). Next we tested Eq. (4) for fixed $`\alpha =1`$ and varying $`q`$ : for a time lag $`\mathrm{\Delta }t=1`$ day and for $`q=3/2,7/5,4/3`$ (Fig. 8c) and for a time lag $`\mathrm{\Delta }t=40`$ days for $`q=7/5,4/3,5/4`$ (Fig. 8d). As expected the tails of the distribution functions approach a Gaussian type when $`q`$ is approaching 1. For completeness, the corresponding cases of the distribution of price increments are shown and briefly discussed in the Appendix.

In so doing the probability distributions of the normalized log returns for the different values of the time lag $`\mathrm{\Delta }t=1,5,10,15,20,25,30,35,40`$ days can be shown in Fig. 2 together with the lines representing the best fit to the Tsallis type of distribution function. In Table 3 the statistical parameters related to the Tsallis type of distribution function are summarized, including a criterion for the goodness of the fit, i.e. the Kolmogorov-Smirnov distance $`d_{KS}`$, which is defined as the maximum distance between the cumulative probability distributions of the data and the fitting lines. Note that the kurtosis (see Table 3) for the Tsallis type of distribution function

$$K_r=K_L\frac{(53q)}{(75q)},$$
(11)
where $`K_L=3`$ for a Gaussian process, is positive for all values of $`q<7/5`$ as expected, since its positiveness is directly related to the occurrence of intermittency . Moreover, the limit $`q<7/5`$ also implies that the second moment of the Tsallis type distribution function will always remain finite, as necessarily due in the type of phenomena hereby studied. Furthermore, if we assume that the Kolmogorov log-normal model of turbulence  is applicable and let $`\mathrm{\Delta }t_L`$ be the scale at which the $`whole`$ partial distribution function becomes Gaussian, then the kurtosis $`K_r`$ should scale as

$$K_r=K_L\left(\frac{\mathrm{\Delta }t}{\mathrm{\Delta }t_L}\right)^\delta .$$
(12)
Therefore

$$q=\frac{57\left(\mathrm{\Delta }t/\mathrm{\Delta }t_L\right)^\delta }{35\left(\mathrm{\Delta }t/\mathrm{\Delta }t_L\right)^\delta }.$$
(13)
In order to obtain an estimate for $`\mathrm{\Delta }t_L`$, we observe that the turbulence model, Eq. (4), fits well the normalized log returns for $`\mathrm{\Delta }t=120`$ days and $`q=1.01`$ (Fig. 9a). The $`\alpha `$-parameter ($`\alpha =0.74`$) in this case plays an important role in controlling the tails such that the Tsallis type distribution function for negative values of $`Z`$ fits the data whose probability distribution function still deviates from Gaussian. In fact, further increasing the time lag to the value $`\mathrm{\Delta }t=200`$ days leads to a complete coincidence between the distribution functions in the Tsallis and Gaussian forms for the presently investigated data (Fig. 9b). Corresponding parameter values are also listed in Table 3. This short observation convincingly indicates where the transition occurs between the small time scale model of nonextensive, intermittent process and the large scale Gaussian extensive homogeneous fluctuation picture  and refine the estimate of the Gaussian range in Figs.1-2.

In Fig. 10 the Tsallis parameter $`q`$ is shown as a function of the rescaled time lags $`\mathrm{\Delta }t/\mathrm{\Delta }t_L`$, where $`\mathrm{\Delta }t_L`$ is the integral scale, the scale at which the $`whole`$ probability distribution function converges to Gaussian. The crosses) represent the $`q`$ values for which the best fit to the S&P500 data (Fig. 2) is obtained with Eq. (4). With this the value of the integral scale $`\mathrm{\Delta }t_L`$, we find the value of the exponent $`\delta =0.39`$ as the one for which the Eq. (13) fits best the $`q`$-values. The exponent value $`\delta =0.39`$ also allows to fit well the power law dependence (Eqs. (11) and (12)) of the rescaled kurtosis $`K_r/K_L`$ as shown in the inset of Fig. 10.

Note that in the framework of the Kolmogorov log-normal model , $`\delta =4\kappa /9`$, where $`\kappa `$ is called the intermittency exponent. Therefore, we find $`\kappa =0.88`$ for the intermittency exponent of normalized log returns of the S&P500 daily closing price in the time interval of interest. This value of $`\kappa `$ is higher than the value of the intermittency exponent $`\kappa =0.25`$ for turbulence recently obtained from experimental atmospheric data . Early estimates have varied from 0.18 to 0.85 using different experimental techniques . Large values of the intermittency exponent, ranging from 0.2 to 0.8, have been reported in studies of multiparticle production . It was found that the range of intermittency exponent values depend on the number of cascades; the smaller the number of stages of the multiplicative cascade the smaller $`\kappa `$, and conversely \[Fig. 2b in \]. In analogy with such findings, a value of $`\kappa =0.88`$ can be considered to be related to a high number of cascades in a multiplicative process, leading to the observed partial distribution functions of the normalized log returns of the S&P500 index.

One can explore the Tsallis type of the probability distribution function Eq.(4) in two limits. For small values of normalized log returns $`Z`$ the probability distribution function converges to the form

$$p_{\mathrm{\Delta }t}(Z)\frac{1}{Z_q}\mathrm{exp}\left\{\frac{C\beta _02\alpha }{2\alpha (q1)}|Z|^{2\alpha }\right\}$$
(14)
Therefore the Tsallis type distribution function converges to a Gaussian, i.e. $`\alpha 1`$, for small values of the normalized log returns, for any $`\mathrm{\Delta }t`$ investigated hereby (see Figs. 1-2). It is also of interest to check the probability of return to the origin $`p_{\mathrm{\Delta }t}(Z=0)`$ (Table 3). There is a slight difference between the values of the probability of ”return to the origin” for the data and the one obtained from Eq.(4) $`p_{\mathrm{\Delta }t}(Z=0)=1/Z_q`$. This difference is decreasing with increasing $`\mathrm{\Delta }t`$ and completely disappears in the Gaussian limit $`q1`$, $`\alpha 1`$.

In the limit of large values of normalized log returns $`Z`$, the Tsallis type distribution converges to a power law

$$p_{\mathrm{\Delta }t}(Z)\frac{1}{Z_q}\left\{\frac{(q1)C\beta _02\alpha }{2\alpha (q1)}|Z|^{2\alpha }\right\}^{\frac{1}{q1}.}$$
(15)
Studying the Tsallis type of distribution function one can obtain from Eq.(4) an expression for the width of the Tsallis type of probability distribution function, $`2\sigma _w^2=(2\alpha (q1))/(2\alpha C\beta _0(q1))`$. In the limit of $`\alpha 1`$ the width of the Tsallis type distribution $`2\sigma _w^2=(3q)/2C\beta _0(q1)`$, i.e. $`2/(C\beta _0)`$. It is obvious that for large time lags $`2\sigma _w^2`$ tends to diverge , like $`(\mathrm{\Delta }t)^{2/(3q)}`$; this can be easily verified on a log-log plot (not shown).

In limit of $`q1`$ the Tsallis type distribution function converges to Gaussian (as seen in Fig. 9b). The values of the parameters $`q`$, $`\alpha `$, $`C\beta _0`$, that best fit the data using Eq.(4), and $`2\sigma _w^2`$ are plotted as a function of the time lag in Fig. 11.

## 5 Fokker-Planck approach

On the other hand, the evolution of a time dependent probability distribution function is usually described within the Fokker-Planck approach. This method provides some further information on the correlations present in the time series and it begins with the joint PDF’s, that depend on $`𝒩`$ variables, i.e. $`p^𝒩(Z_1,\mathrm{\Delta }t_1;\mathrm{};Z_𝒩,\mathrm{\Delta }t_𝒩)`$. We started to address this issue by determining the joint PDF for $`𝒩=2`$, i.e. $`p(Z_2,\mathrm{\Delta }t_2;\mathrm{\Delta }x_1,\mathrm{\Delta }t_1)`$. The symmetrically tilted character of the joint PDF contour levels (Fig. 12) around an inertia axis with slope 1/2 points out to some statistical dependence, i.e. a correlation, between the normalized log returns $`Z(t,\mathrm{\Delta }t)`$ of the daily closing price signal of S&P500. A lack of correlations would put the inertia axis on the main diagonal (Fig. 12).

The conditional probability function is

$$p(Z_{i+1},\mathrm{\Delta }t_{i+1}|Z_i,\mathrm{\Delta }t_i)=\frac{p(Z_{i+1},\mathrm{\Delta }t_{i+1};Z_i,\mathrm{\Delta }t_i)}{p(Z_i,\mathrm{\Delta }t_i)}$$
(16)
for $`i=1,\mathrm{},𝒩1`$. For any $`\mathrm{\Delta }t_2`$ $`<`$ $`\mathrm{\Delta }t_i`$ $`<`$ $`\mathrm{\Delta }t_1`$, the Chapman-Kolmogorov equation is a necessary condition of a Markov process, one without memory but governed by probabilistic conditions

$$p(Z_2,\mathrm{\Delta }t_2|Z_1,\mathrm{\Delta }t_1)=d(Z_i)p(Z_2,\mathrm{\Delta }t_2|Z_i,\mathrm{\Delta }t_i)p(\mathrm{\Delta }x_i,\mathrm{\Delta }t_i|Z_1,\mathrm{\Delta }t_1).$$
(17)
The Chapman-Kolmogorov equation when formulated in $`differential`$ form yields a master equation, which can take the form of a Fokker-P1anck equation . Let $`\tau =log_2(200/\mathrm{\Delta }t)`$,

$$\frac{d}{d\tau }p(Z,\tau )=\left[\frac{}{Z}D^{(1)}(Z,\tau )+\frac{}{Z^2}D^{(2)}(Z,\tau )\right]p(Z,\tau )$$
(18)
in terms of a drift $`D^{(1)}`$($`Z`$,$`\tau `$) and a diffusion coefficient $`D^{(2)}`$($`Z`$,$`\tau `$) (thus values of $`\tau `$ represent $`\mathrm{\Delta }t_i`$, $`i=1,\mathrm{}`$).

The coefficient functional dependence can be estimated directly from the moments $`M^{(k)}`$ (known as Kramers-Moyal coefficients) of the conditional probability distributions:

$$M^{(k)}=\frac{1}{\mathrm{\Delta }\tau }𝑑Z^{^{}}(Z^{^{}}Z)^kp(Z^{^{}},\tau +\mathrm{\Delta }\tau |Z,\tau )$$
(19)
$$D^{(k)}(Z,\tau )=\frac{1}{k!}\text{lim}M^{(k)}$$
(20)
for $`\mathrm{\Delta }\tau 0`$. According to Fig. 13a the drift coefficient $`D^{(1)}0`$ and the diffusion coefficients $`D^{(2)}`$ is well represented (Fig. 13b) by a parabola

$$D^{(2)}(Z)=0.26Z^20.005Z+0.02$$
(21)
in the interval $`Z[0.175,0.225]`$, - noticing that it is smaller than the one presented in Fig.2.

It may be worthwhile to recall that the observed quadratic dependence of the diffusion term $`D^{(2)}`$ is essential for the logarithmic scaling of the intermittency parameter in studies on turbulence.

Finally, the Fokker-Planck equation for the distribution function is known to be equivalent to a Langevin equation for the variable, i.e. $`Z`$ here, (within the Ito interpretation )

$$\frac{d}{d\tau }Z(\tau )=D^{(1)}(Z(\tau ),\tau )+\eta (\tau )\sqrt{D^{(2)}(Z(\tau ),\tau )},$$
(22)
where $`\eta (\tau )`$ is a fluctuating $`\delta `$-correlated force with Gaussian statistics, i.e. $`<`$ $`\eta (\tau )`$ $`\eta (\tau ^{})`$$`>`$ = 2$`\delta (\tau \tau ^{})`$.

Thus the Fokker-Planck approach provides the evolution process of PDF’s from small time lags to larger ones. The fact that the drift coefficient is approximately equal to zero, therefore indicating that there is no correlation between the probability distribution functions for different time lags, is well related to the Gaussian character of the distribution function for such small values of the normalized log returns $`Z[3,3]`$. $`D^{(1)}0`$ further implies that there is almost no ”restoring force”, i.e. $`\gamma 0`$ in Eq. (6), while the quadratic dependence of $`D^{(2)}`$ in $`Z`$ is obviously like an autocorrelation function for a diffusion process.

## 6 Conclusion

In summary, we have presented a method that provides the evolution process of probability distribution functions (over twenty years) of one financial index, i.e. the S&P500. We have studied the evolution process of the tails that are outside the central (Gaussian) regime at small returns, thereby facilitating the understanding of the evolution of these distribution functions in a Fokker-Planck framework. Beck turbulence model can be well applied to describe the volatility (of normalized log-returns) distributions assuming a $`\chi ^2`$-distribution for the ”local” volatility. An open question in nonextensive thermostatistics studies is often raised about the meaning, value and behavior of the non extensive exponent, or Tsallis parameter $`q`$. The intermittency exponent is found to be related to the scaling exponent of the PDF moments in the framework of Kolmogorov log-normal model, thereby giving weight to the model and the statistical approach. The intermittency exponent large value points to a large number of cascades in the turbulent process. Its range has been found to extend up to $`ca.`$ 200 days. One may still wonder on the $`q`$-value itself. In other works, this value is related, e.g. to the upper and lower bounds of the multifractal dimension , in other words to the bounds of the $`\alpha `$ values in multifractal studies . It may also be related to the value of the fractional derivative, say in a non-linear Fokker-Planck equation approach . This should be some interesting work to pursue, \- again with some warning concerning the possible error bars on the generalized fractal dimension in multifractal studies .

We have also presented the turbulence-like dynamics through the Fokker-Planck and the Langevin equations. We have (unexpectedly) found that, in the treated case, there is almost no ”restoring force”, i.e. ($`\gamma 0`$ in the Langevin equation). A comparison is made between normalized log-returns and mere price increments. We have examined the corresponding cases of the distribution of price increments with other possible definitions. It was found that the definition (through a normalized log return rather than a mere price difference) is very relevant for obtaining nice fits. This has been also observed in a work by Karth and Peinke  on related matter. This warning might also shine some light on the possible origin of the controversy  concerning the relationship (or not) between the fat tails caused by some dynamical hierarchical cascade process of volatility correlations.

These points not withstanding, we have related a financial market behavior to Tsallis non extensive thermodynamics approach, i.e. more precisely to a turbulence-like process, - as financial market and indices were often claimed to be seen . Finally, it seems that we have thoroughly answered the often raised question ”why to look at the tails of a probability distribution function? and what does that lead to?”.

## 7 Appendix

We have also searched for describing the partial distribution function of the (raw) increments of daily closing price signal of the S&P500 with the Tsallis type distribution function. We have applied Eq.(4) for $`x\mathrm{\Delta }y(t,\mathrm{\Delta }t)=y(t+\mathrm{\Delta }t)y(t)`$. We have tested the Tsallis type distribution function for the increments of $`\mathrm{\Delta }t=1`$ day for fixed $`q=1.45`$ ($`C\beta _0=0.23`$) and varying $`\alpha =0.5,0.6,0.7`$ (Fig. 14a). Applying the same set of parameters and to price increments for $`\mathrm{\Delta }y=40`$ days, leads to a pretty bad fit (Figs. 14b). Decreasing the value of $`q`$ would not have produce better results since the Tsallis type distribution function would have been bounded within smaller range around $`\mathrm{\Delta }y=0`$ values. A test for fixed $`\alpha =0.5`$ ($`C\beta _0=0.23`$) and varying $`q=1.45,1,30,1.15`$ for $`\mathrm{\Delta }t=1`$ day is next shown in Fig. 14c. Again the same set of parameters is applied to price increments for $`\mathrm{\Delta }y=40`$ days and lead to a pretty bad fit (Figs. 14d). These results may be somewhat expected because the Tsallis type distribution function represents a mathematical construction that is designed for normalized variables, i.e. a variable changing within a limited range. To take into account a double peak like structure (e.g. for large time lags, see Fig.14) remains an open question.

Figure Captions

Figure 1 – Probability distribution function of normalized log returns $`Z(t,\mathrm{\Delta }t)`$ of daily closing price value signal of S&P500 between Jan. 01, 1980 and Dec. 31, 1999, for $`\mathrm{\Delta }t=1`$ day (symbols). Normalized log returns are calculated as $`Z(t,\mathrm{\Delta }t)=(\stackrel{~}{y}(t)<\stackrel{~}{y}>_{\mathrm{\Delta }t})/\sigma _{\mathrm{\Delta }t}`$, where $`\stackrel{~}{y}(t)=ln(y(t+\mathrm{\Delta }t)/y(t))`$ and $`\sigma _{\mathrm{\Delta }t}`$ is the standard deviation of $`\stackrel{~}{y}(t)`$ for time lag $`\mathrm{\Delta }t`$. The dashed line represents a Gaussian distribution. Inset: Power law fit (solid line) of the negative (-3.1) and positive (-3.1) slope of the distribution outside the Gaussian regime

Figure 2 – Probability distribution function (PDF) $`p_{\mathrm{\Delta }t}(Z)`$ of normalized log returns of the daily closing price value signal of S&P500 (symbols) and the Tsallis type distribution function (lines) for different values of $`\mathrm{\Delta }t=1,5,10,15,20,25,30,35,40`$ days. The PDF (symbols and curves) for each $`\mathrm{\Delta }t`$ are displaced by 10 with respect to the previous one; the curve for $`\mathrm{\Delta }t=1`$ day is unmoved. The large circles mark the ends of the interval in which the distribution is $`like`$ a gaussian distribution. The values of the slopes of the positive and negative tails of the distributions outside the gaussian range $`Z[3,3]`$ are listed in Table 1. The values of the parameters for the Tsallis type distribution function for each $`\mathrm{\Delta }t`$ are summarized in Table 3

Figure 3 – DFA function $`F(n)`$ plotted as a function of the the box size $`n`$ of the integrated daily closing price value signal of S&P500 between Jan. 01, 1980 and Dec. 31, 1999. Brownian-like fluctuations with $`1+H_{DFA}=1.52\pm 0.01`$ are obtained for all possible time scales

Figure 4 – DFA function $`F(n)`$ plotted as a function of the the box size $`n`$ of the integrated normalized log returns $`Z(t,\mathrm{\Delta }t)`$ of daily closing price value signal of S&P500 between Jan. 01, 1980 and Dec. 31, 1999 for different time lags $`\mathrm{\Delta }t=1,5,10,15,20,25,30,35,40`$ days. Values of the scaling exponents $`H_{DFA}`$ for the various DFA functions are summarized in Table 2. Inset: Power law functional dependence of the value of the cross over box-size $`n_x`$ as a function of time lag $`\mathrm{\Delta }t`$

Figure 5 – Power spectrum $`S(f)`$ of the daily closing price value signal of S&P500 between Jan. 01, 1980 and Dec. 31, 1999. A scale break at around $`f=1/250`$ day-1 separates two scaling regions. Inset: Scaling of the power spectrum of the daily closing price signal of S&P500 as a white noise signal with $`\mu 0`$

Figure 6 – Power spectrum $`S(f)`$ of the normalized log returns $`Z(t,\mathrm{\Delta }t)`$ of daily closing price value signal of S&P500 between Jan. 01, 1980 and Dec. 31, 1999 for different time lags $`\mathrm{\Delta }t=1,5,20,35,40`$ days. Each curve is displaced by $`10^5`$ with respect to the previous one; the power spectrum of the normalized log returns for $`\mathrm{\Delta }t=1`$ day is not displaced. The dashed line from $`f=1/70`$ days-1 to $`f=1/2`$ days-1 has a slope $`\mu =1.86`$, corresponding to the $`H_{DFA}`$ exponent. The horizontal dashed line from $`f=1/10^4`$ days-1 to $`f=1/128`$ days-1 corresponds to what should be expected for white noise and is in agreement with the scaling of the DFA function for the same data in Fig. 4

Figure 7 – Probability density $`f_{\mathrm{\Delta }t}(\beta )`$ of the local volatility $`\beta `$ (Eq.(10)) in terms of standard deviation of the normalized log returns $`Z(t,\mathrm{\Delta }t)`$ of S&P500 in non-overlapping windows with size $`m`$=32 days for different time lags (symbols) (a-i) $`\mathrm{\Delta }t=`$1, 5, 10, 15, 20, 25, 30, 35, 40 days. Lines: $`\chi ^2`$-distribution as given by Eq. (7).

Figure 8 – Probability distribution functions of the normalized log returns of daily closing price signal of S&P500 (symbols) for (a) $`\mathrm{\Delta }t=1`$ day and fixed $`q=1.39`$. The Tsallis type distribution functions (Eq.(4)) obtained for various values of the parameter $`\alpha =1.0,0.9,0.8`$, dashed, solid, dash-dotted line, respectively; (b) same as (a) but for $`\mathrm{\Delta }t=40`$ days and $`q=1.22`$; (c) for $`\mathrm{\Delta }t=1`$ day and fixed $`\alpha =1.0`$ for various values of $`q=3/2,7/5,4/3`$, dashed, solid, dash-dotted line, respectively; (d) same as (c) but for $`\mathrm{\Delta }t=40`$ days and $`q=7/5,4/3,5/4`$

Figure 9 – Partial distribution function of normalized log return of daily closing price of S&P500 for a large time lag, i.e. (a) $`\mathrm{\Delta }t=120`$ days and (b) $`\mathrm{\Delta }t=200`$ days. The solid line marks the best fit with a Tsallis type distribution function, Eq. (4), while the Gaussian distribution function is drawn with a dashed line

Figure 10 – The functional dependence of the Tsallis $`q`$ parameter on the rescaled time lag $`\mathrm{\Delta }t/\mathrm{\Delta }t_L`$ for $`\mathrm{\Delta }t_L=200`$ days and $`\delta =0.39`$ (see Eq. (13)) (line); the symbols represent the values of the $`q`$ parameter listed in Table 3 and used to plot the fitting lines in Figs. 2 and 9. Inset : Scaling properties of the rescaled kurtosis $`K_r/K_L`$, where $`K_L=3`$ is the kurtosis for a Gaussian process, as a function of the rescaled time lag $`\mathrm{\Delta }t/\mathrm{\Delta }t_L`$ satisfying Eq. (11) (open symbols) and Eq. (12) (full symbols)

Figure 11 – Characteristic parameters of Tsallis type distribution function as defined in  : Tsallis $`q`$-parameter (crosses), $`\alpha `$ (squares), constant $`C\beta _0`$ used in the fit (open circles), the width of the Tsallis type distribution $`2\sigma _w^2=(2\alpha (q1))/(2\alpha C\beta _0(q1))`$ from Eq.(4) (triangles) (rescaled by a factor of 1/6), asymptotic behavior of $`2\sigma _w^22/(C\beta _0)`$ for $`\alpha 1`$ (full circles) (rescaled by a factor of 1/6)

Figure 12 – Typical contour plots of the joint probability density function $`p(Z_2,\mathrm{\Delta }t_2;Z_1,\mathrm{\Delta }t_1)`$ of daily closing price of S&P500 for the period of interest Jan. 01, 1980 and Dec. 31, 1999. Dashed lines have a slope +1 and emphasize the correlations between probability density functions for (a) $`\mathrm{\Delta }t_2=1`$ day and $`\mathrm{\Delta }t_1=5`$ days and (b) $`\mathrm{\Delta }t_2=5`$ days and $`\mathrm{\Delta }t_1=10`$ days. Contour levels correspond to $`log_{10}p(Z_2,\mathrm{\Delta }t_2;Z_1,\mathrm{\Delta }t_1)=1.0,1.5,2.0,2.5,3.0`$ from center to border

Figure 13 – Kramers-Moyal drift and diffusion coefficients (a) $`D^{(1)}`$ and (b) $`D^{(2)}`$ as a function of normalized log returns $`Z`$ for daily closing price of S&P500 ; $`D^{(2)}=0.26Z^20.0005Z+0.02`$

Figure 14 – Probability distribution functions of the daily closing price increments $`\mathrm{\Delta }y(t)=y(t+\mathrm{\Delta }t)y(t)`$ of S&P500 (symbols). The Tsallis type distribution functions (Eq.(4)) obtained (a) for $`\mathrm{\Delta }t=1`$ day and fixed $`q=1.45`$ ($`C\beta _0=0.23`$) and for various values of the parameter $`\alpha =0.5,0.6,0.7`$, dashed, solid, dash-dotted line, respectively; (b) the same as (a) but for $`\mathrm{\Delta }t=40`$ days; (c) for $`\mathrm{\Delta }t=1`$ day and fixed $`\alpha =0.5`$ ($`C\beta _0=0.23`$) and for various values of $`q=1.45,1.30,1.15`$, dashed, solid, dash-dotted line, respectively; (d) the same as (b) but for $`\mathrm{\Delta }t=40`$ days


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# Can Low Mass Scalar Meson Nonet Survive in Large 𝑁_𝑐 Limit ?

## Abstract

We study, within an approximate Inverse Amplitude Method to unitarize Chiral Perturbation Theory, whether low mass scalar mesons can survive in large $`N_c`$ regime, and show that vector mesons such as $`\rho `$ and $`K^{}`$ survive as narrow width resonances, but all of the scalar meson nonet below 1GeV fade out as $`N_c`$ becomes large.

Recently Peláez  has obtained an interesting result that the complex poles on the second Riemann sheet, corresponding to the $`\rho `$ and $`K^{}`$ mesons, move towards the real axis as $`N_c`$ becomes large, but in contrast those corresponding to the $`\sigma `$ and $`\kappa `$ states move away from the real axis. The study is performed within the Inverse Amplitude Method (IAM) to unitarize one-loop Chiral Perturbation Theory (ChPT) amplitudes . It is well known  that a planar amplitude of $`q\overline{q}`$ meson-meson scattering is of $`O(N_c^1)`$ and that widths of intermediate $`q\overline{q}`$ mesons are also of $`O(N_c^1)`$. Thus, the result is consistent with the common understanding that the members of the vector meson nonet including $`\rho `$ and $`K^{}`$ are typical $`q\overline{q}`$ mesons. On the other hand the behavior of scalar mesons such as $`\sigma `$ and $`\kappa `$ is completely at variance with the nature expected for $`q\overline{q}`$ mesons.

Inspired by Peláez’s observation we study how amplitudes of two-NG boson scattering behave on the physical axis as $`N_c`$ increases within the approximate Oller-Oset-Peláez (OOP) version of IAM , and how complex poles of $`f_0(980)`$ and $`a_0(980)`$ move in an approximate manner. In the OOP version only polynomial terms with the low energy constants $`L_n`$’s (LEC’s) and $`s`$-channel loop terms are taken into account out of full $`O(p^4)`$ amplitudes.

In order to perform the study we have to find the explicit $`N_c`$ dependence in the scattering amplitudes. Since the pion decay constant $`f_\pi `$ is of $`O(N_c^{1/2})`$ and the LEC’s are to be of $`O(N_c)`$, except for $`L_4`$ and $`L_6`$, both of which are of $`O(1)`$, we fix the values of $`L_n/f_\pi ^2`$ to those at $`N_c=3`$ and put $`f_\pi (N_c)=\sqrt{N_c/3}\times f_\pi (3)`$ with being $`f_\pi (3)=93`$ MeV. Indeed, the explicit large $`N_c`$ model calculations give the result that $`L_n/f_\pi ^2`$ is $`N_c`$ independent for $`n=1`$ to 8, including $`L_7`$  . $`L_7`$ is not of leading order, if we consider the $`\eta ^{}\eta `$ mixing , but we discard the $`\eta ^{}\eta `$ mixing and regard $`L_7`$ as $`O(N_c)`$, though we use the empirical value for the $`\eta `$ mass.

The ingredients of IAM consist of the partial wave amplitudes with a definite isospin $`I`$ calculated in terms of the amplitudes of ChPT of $`O(p^2)`$ and $`O(p^4)`$. The former amplitude $`T^{(2)}(s,t,u)`$ is written $`O(p^2/f_\pi ^2)`$, and then of $`O(N_c^1)`$. The latter $`O(p^4)`$ amplitudes have polynomial terms with LEC’s, which are written

$$T_{\mathrm{poly}}^{(4)}(s,t,u)=\underset{n=1,8}{}\frac{1}{f_\pi ^2}\left(\frac{L_n}{f_\pi ^2}\right)P_n(s,t,u),$$
(1)
where $`P_n`$’s are the second order polynomial terms of $`st,\mathrm{or}u`$ and meson mass squared. The polynomial term $`T^{(4)}`$ is of $`O(1/N_c)`$, because we fix $`L_n/f_\pi ^2`$’s to the values at $`N_c=3`$. The $`s`$-channel loop terms given as $`t^{(2)}(s)J(s)t^{(2)}(s)`$ are proportional to $`O(s^2/f_\pi ^4)`$, where $`J(s)`$ is the one-loop function regularized as the $`\overline{MS}1`$ scheme at the renormalization scale $`\mu `$ , and $`t^{(2)}`$ is partial wave projected from $`T^{(2)}(s,t,u)`$. Since the $`t`$\- and $`u`$-channel loop terms and tadpole terms are also of $`O(p^4/f_\pi ^4)`$ , they are of $`O(1/N_c^2)`$. Thus, the OOP version is expected to be more valid as $`N_c`$ becomes large, because while the polynomial terms with LEC’s are of $`O(N_c^1)`$, the discarded terms are of $`O(N_c^2)`$. The $`s`$-channel terms are crucial to realize unitarity, though they are of $`O(N_c^2)`$. This different $`N_c`$ dependence produces different behavior of the amplitudes in the large $`N_c`$ regime. We note that IAM gives a complex pole at a reasonable point in meson-meson scattering amplitudes, but this does not mean the IAM can give a complete prediction on the existence or non-existence of a resonance, because the amplitude depends on the values of LEC’s, which are determined so as for the amplitudes to reproduce extensive low energy data including resonant behaviors or prominent structures. In this sense the study of the large $`N_c`$ behavior could provide a good laboratory to test the nature of hypothesized resonances.

The values of LEC’s, which reproduce phase shifts reasonably consistent with the experimental data, are summarized in Table I. These phenomenological values deviate somewhat from those of the large $`N_c`$ model calculations, but we use the above formulation of the $`N_c`$ dependence of the IAM

amplitudes. We point out that Our set is not chosen as the best solution to the overall fitting with the existing data. (Ours set in this work is slightly different from that of Ref..)

Vector channels
At first, we discuss the behaviors of vector mesons in the single channel formalism. The simple reason why the phase shift of the $`\rho `$ or $`K^{}`$ channels increases across $`\pi /2`$ is due to the fact that the real part of the denominator, $`t^{(2)}(s)t_{\mathrm{poly}}^{(4)}(s)t^{(2)}Re[J(s)]t^{(2)}`$, develops a zero at the resonance position. We note that while the first and second terms behave as $`O(1/f_\pi ^2)`$, the third term coming from the loop term does as $`O(1/f_\pi ^4)`$. This implies that the zero almost does not vary depending on the value of $`N_c`$. The zero depends dominantly on the combination of LEC’s $`2L_1L_2+L_3`$ as pointed out in Ref. . On the other hand the imaginary part $`t^{(2)}\rho (s)t^{(2)}`$ having a form $`1/f_\pi ^4`$ becomes smaller and smaller as $`N_c`$ increases, where the phase space factor $`\rho (s)=\mathrm{Im}J(s)=k/(8\pi \sqrt{s})`$ with $`k`$ being the CM momentum of two scattering mesons.

Thus, the width decreases as like as $`O(1/N_c)`$, but the resonance position stays almost at the same point. This is the behavior on the physical real axis corresponding just to the behavior seen on the complex II sheet .

If we consider the meson-meson scattering in the two channel formalism with the same LEC’s, the combination of LEC’s $`2L_1L_2+L_3`$ develops the zero at almost the same point for $`r_{11}`$, $`r_{12}`$ and $`r_{22}`$, where $`r_{ij}=t_{ij}^{(2)}Re[t_{ij}^{(4)}]`$, as pointed out in Ref. . Our LEC’s set gives unfortunately a little bit larger mass value for $`\rho `$, but smaller one for $`K^{}`$. The octet component of the isoscalar vector meson $`|V_8>=1/\sqrt{3}|\omega >+2/\sqrt{3}|\varphi >`$ has a mass below the $`K\overline{K}`$ threshold both in our model and IAM with the full $`T^{(4)}`$ amplitudes as if it is a bound state with the decreasing residue as $`O(1/N_c)`$, so that if the pole shifts above the $`K\overline{K}`$ threshold, the shrinking width should occur.

Thus, we can conclude that the vector mesons explained by IAM have the nature consistent with the $`q\overline{q}`$ mesons.

Scalar channels
Now, we proceed to the studies on the scalar channels.
$`(𝑰,𝑱)=(0,0)`$
This channel contains the enigmatic $`\sigma `$ and the $`f_0(980)`$ states. Using the two-channel IAM formalism with the $`(\pi \pi )`$ and $`(K\overline{K})`$ channels, we calculate the $`N_c`$ dependence of the phase shift and the cross section as shown in Fig. 3. We remember that the $`f_0(980)`$ state is generated as a bound state in the $`K\overline{K}`$ channel, where the kaon loop contribution is crucial . If $`N_c`$ increases, however, the real part of the $`s`$-channel loop term becomes small and the bound state pole shifts to the $`K\overline{K}`$ threshold and gets into the unphysical sheet through the cut starting with the $`K\overline{K}`$ threshold. In contrast to the vector channels the $`N_c`$ dependence of the phase shift and cross section shows drastic changes, therefore; the sharp rise of the phase shift near the $`K\overline{K}`$ threshold seen at $`N_c=`$3 and 4 disappears even at $`N_c=5`$, and shows a cusp-like behavior, and then the phase shift and the cross section shrink to the null structure after the cusp behavior disappears.

Where does the $`f_0(980)`$ pole go to ? We approximately calculate the pole position by expanding the amplitude in powers of $`k_2`$, the momentum of the $`K\overline{K}`$ channel, up to the first order, and observe that the pole moves into the upper (lower) half plane of the IV sheet from the lower (upper) half plane of the II sheet, winding around the branch point at $`K\overline{K}`$ threshold, and goes away from the real axis as shown in the left side of Fig. 4. Of course, positions at large $`N_c`$ are not so reliable owing to the rough approximation. No matter where the pole moves to, it holds valid that the physical trace of $`f_0`$ vanishes in the large $`N_c`$ limit.

$`(𝑰,𝑱)=(1,0)`$
This channel contains the $`a_0(980)`$ state, which appears as a cusp-like sharp peak, because the complex pole sits above the $`K\overline{K}`$ threshold as $`(1.071i0.0198)`$ GeV in the II sheet at $`N_c=3`$ in this work. This state may be a typical example of the structure generated by t he channel coupling between the $`\pi \eta `$ and $`K\overline{K}`$ channel . As $`N_c`$ increases the rising phase shift above the cusp bends down to a flat behavior and the cross section having a harp peak shrinks to the null structure. The pole moves from the sheet II to the sheet IV and leaves from the real axis as shown in the left side of Fig. 4. The different pole movement between the isoscalar and isovector channel would come from the difference between the strong attractive $`\pi \pi `$ interaction in the former channel and the weak repulsive $`\pi \eta `$ one in the latter channel.

$`(𝑰,𝑱)=(1/2,0)`$
The null behaviors of the phase shift and cross section for large $`N_c`$ are almost similar to the channels discussed above. The phase shift and the cross section are calculated in terms of the single $`\pi K`$ channel amplitude, because there appears a fictitious zero in the $`\eta K`$ amplitude in the OOP version. But we note that since the channel coupling between the $`\pi K`$ and $`\eta K`$ channel is weak, the results by the multichannel formalism are almost the same as those by the single channel formalism above the fictitious zero. The calculations with use of the full $`T^{(4)}`$ give no such an unwanted zero  and the results are almost the same as ours. We emphasize that the $`\pi K`$ scattering cross section has a broad peak at 800 MeV at $`N_c=3`$ as well as the similar peak of the $`\pi \pi `$ cross section at 550 MeV. These peaks could be called as $`\kappa `$ and $`\sigma `$ ”resonances”.

We have calculated $`N_c`$ dependence of the vector and scalar meson channels though the approximate IAM under the rough assumption that $`L_n/f_\pi ^2`$’s are $`N_c`$ independent and $`f_\pi (N_c)=\sqrt{N_c/3}\times f_\pi (3)`$. This assumption would be the more valid as $`N_c`$ becomes the larger, because the effects by remaining $`O(1/Nc)`$ terms would disappear, and then the results obtained here would remain valid i n the full IAM calculations Thus, we observe that all of the low mass scalar mesons including the $`f_0(980)`$ and $`a_0(980)`$ cannot survive in the large $`N_c`$ limit. This makes the sharp contrast to the vector mesons, which survive as the resonances with the extremely narrow widths.

Our conclusion is that the vector meson nonet has the nature consistent with the $`q\overline{q}`$ meson in large $`N_c`$ QCD, but the low mass scalar meson nonet cannot survive in the large $`N_c`$ limit and then does not have the $`q\overline{q}`$ nature. Finally, we emphasize that the scalar meson nonet should not be understood as particles, which can propagate with a definite mass and coupling constants, but as dynamical effects generated in coupled channel meson-meson scattering covering wide mass ranges below 1 GeV, where chiral symmetry and unitarity play crucial roles. Their structures reveal themselves or not depending strongly on reactions, therefore. Chiral unitary approach provides a consistent formalism, which realizes such a picture in almost all of the scattering and production processes.


text:
# Comparison of LOQC C-sign gates with ancilla inefficiency and an improvement to functionality under these conditions

## I Introduction

Linear optics Quantum Computation (LOQC) kni00  offers an elegant way of implementing quantum gates on optical qubits using the inherent non-linearity of conditional measurements. This is achieved by introducing ancilla photons which interact with the linear circuit and are then detected. However, it has been shown that the accuracy of the gate operation is strongly dependent on the quality of the detectors used to detect the ancilla photons glancy .

Three distinct architectures have now been suggested for implementing the fundamental two qubit gate, the control-sign (C-sign) ral00 ; kni01 ; pit00 . It is natural to ask firstly whether all these architectures are equally sensitive to ancilla detector efficiency and secondly if it is possible to optimize gate operation to counter (to some extent) the effects of detector inefficiency. In this paper we address these questions and include in our analysis the converse issue of inefficiency in ancilla production.

We begin in section II by presenting our analysis technique. In section III we introduce the three versions of the C-sign gate and then present our comparative analysis. In section IV we discuss improvements to the least sensitive of these gates. We conclude in section V.

## II Gate Analysis

In performing the analysis of the gates we consider ideal qubits sent into a non-deterministic LOQC gate consisting of a linear optical circuit interacting with prepared ancilla modes. The ancilla modes are then detected and the state at the output modes is kept if the measurement successfully matches the condition required for correct operation. It is assumed that mode matching errors and loss in the optical circuit can be neglected, but that inefficiency in the production and detection of the ancilla cannot be neglected. When the ancilla detection result indicates successful gate operation the output state is compared with the expected output via their fidelity

$$\mathrm{\Psi }_{exp}|\rho _{out}|\mathrm{\Psi }_{exp}$$

where $`\rho _{out}`$ is the output density operator and $`|\mathrm{\Psi }_{exp}`$ is the expected output. The fidelity is calculated in this way for all input states and the minimum fidelity is found. This is then taken as the figure of merit used for comparison. Under ideal conditions the fidelity is one for all inputs but lower numbers indicate reduced accuracy of the gate. Inefficient production and detection in ancilla modes are expected to have two effects: reduction in the probability of successful gate operation and a reduction in the fidelity when successful operation occurs.

Detector and input inefficiencies are simulated by introducing a beamsplitter with a reflectivity equal to the efficiency. The refected mode of each beamsplitter remains in the system and the transmitted mode is lost. No information can be retrieved in the loss mode so a partial trace is performed over this mode leaving the system in a mixed state.

For the sake of computational simplicity all the gates are analyzed in a single rail format lun00 , where the zero photon state $`|0`$ represents logical zero and the single photon state $`|1`$ represents logical one. In single rail format the C-sign operation is defined by:

$`|0|0`$ $``$ $`|0|0`$
$`|0|1`$ $``$ $`|0|1`$
$`|1|0`$ $``$ $`|1|0`$
$`|1|1`$ $``$ $`|1|1`$
Single qubit manipulations are difficult using single rail logic. Thus dual rail logic mil88  is normally adopted in practice with the qubit defined across two optical modes. The logical zero is represented by a single photon occupation of one mode with the other in the vacuum state. The logical one is the reverse of the logical zero state with a single photon in the other mode. In LOQC, dual rail logic is often implemented using the horizontal and vertical polarization modes of a single spatial mode. For the special case of a C-sign gate the dual rail form is equivalent to the single rail form, just with added modes which do not participate in any interactions (see figure 1).

This can be seen from the definition of C-sign operation in the dual rail format (written in photon occupation form):

$`(|1|0)(|1|0)`$ $``$ $`(|1|0)(|1|0)`$
$`(|1|0)(|0|1)`$ $``$ $`(|1|0)(|0|1)`$
$`(|0|1)(|1|0)`$ $``$ $`(|0|1)(|1|0)`$
$`(|0|1)(|0|1)`$ $``$ $`(|0|1)(|0|1).`$
The first two bracketed states represent the first qubit while the second two represent the second qubit. Note that if the first mode is removed from all the qubits in the dual rail format then the single rail format is obtained. Because the extra modes do not participate in C-Sign gates (the assumed sources of loss are not present), single rail and dual rail fidelities are identical. Once in the dual rail format Control-NOT operation can be constructed by mixing the two target modes (the modes on which the controlled operation is to be applied) on a 50:50 beamsplitter before and after the C-sign operation.

The fidelity of each of the gates was calculated as follows. The operator evolution equations of each particular gate were calculated and inverted. The density operator for the required input state (including ancilla) was evolved using the solutions from the inverted equations. The loss modes are traced over, and detected modes are projected onto the required state. The remaining density operator $`\widehat{\rho }_{out}`$ describes the output state which is now normalized to have $`\text{Tr}(\widehat{\rho }_{out})=1`$. This renormalization is because we only wish to consider the accuracy of the gate assuming a successful detection event; the success rate is considered separately. The fidelity of the gate is calculated by finding the minimum of $`\mathrm{\Psi }_{exp}|\widehat{\rho }_{out}|\mathrm{\Psi }_{exp}`$ over all input states where $`|\mathrm{\Psi }_{exp}`$ is the expected output state from the used input state $`|\mathrm{\Psi }_{in}`$. The general input state $`|\mathrm{\Psi }_{in}`$ was written as follows:

$`|\mathrm{\Psi }_{in}`$ $`=`$ $`\mathrm{cos}\alpha |00+\mathrm{sin}\alpha \mathrm{cos}\beta |10+`$
$`\mathrm{sin}\alpha \mathrm{sin}\beta \mathrm{cos}\gamma |01+\mathrm{sin}\alpha \mathrm{sin}\beta \mathrm{sin}\gamma |11.`$
The advantage of writing the state in this form is that the optimization for finding the minimum fidelity can be performed over the variables $`\alpha `$, $`\beta `$ and $`\gamma `$ instead of a constrained optimization.

## III Gate Comparisons

The three C-sign gates that were compared in our analysis are as follows:

The original non-deterministic C-sign gate introduced by Knill, Laflamme and Milburn kni00  is based on the operation of the so-called non-linear sign shift (NS) gate, which performs the transformation

$$\alpha |0+\beta |1+\gamma |2\alpha |0+\beta |1\gamma |2.$$
(2)
A simplification of the original design, shown in figure 2, was introduced by Ralph *et. al.* ral00  and is used in our calculations. Vacuum ($`0`$) and single ($`1`$) photon states are injected into the ancilla modes. The gate succeeds when the output ancilla are detected to be in the same state as was injected. C-sign operation is achieved by placing an NS gate in each arm of a balanced Mach Zehnder interferometer as shown in figure 3.

Photon bunching in the interferometer then produces the sign shift when both control and target modes are in the $`|1`$ state. The probability of success for the gate is approximately $`1/20`$.

Our second gate shown in figure 4 was introduced by Knill kni01 . It directly implements the C-sign operation. In contrast to the KLM gate it has no classical interferometric elements and requires only two ancilla, both prepared in single photon states. The gate succeeds when the output ancilla are both measured to be single photon states. The probability for success of the Knill gate is $`1/13.5`$.

Our third gate was introduced by Pittman, Jacobs and Franson pit00  and is shown in figure 5. A related gate is that introduced by Koashi *et. al.* koashi . Unlike the other two gates, the PJF gate requires entanglement between the two ancilla modes. All beamsplitters have a reflectivity of 0.5. For the ancilla modes which are detected, the pairs of detectors shown must have exactly one photon, total, in the two modes for the gate to succeed. Rotations to the output may be necessary depending on which mode the single photon is found. The gate functionality is driven by the entanglement in the ancilla modes. The state of the four ancilla modes is (in the form $`|a_1a_2a_3a_4`$) $`(1/\sqrt{2})(|0110+|1001)`$. The probability of success of the PJF gate is $`1/4`$.

Throughout the remainder of this paper, the gates will be called by the names just introduced. Note that the beamsplitter conventions differ between the proposals. The KLM and PJF gates have beamsplitters which have a sign change on reflection off the grey side but the Knill gate has a sign change on transmission for beams incident on the black side.

Figure 6 shows the results of the fidelity calculations (as described in the previous section) for the three gates when only the detectors exhibit loss (i.e. perfect state input). The parameter along the abscissa is the detector efficiency and the ordinate shows the fidelity of the gate at that efficiency. The solid line represents the PJF gate, the dashed line shows the Knill gate and the dot-dashed line shows the KLM gate.

All gates show a quite steep decrease in minimum fidelity as a function of efficiency, illustrating the sensitivity of LOQC gates to this sort of loss (recall though that this is minimum fidelity and so represents a worst case scenario). For detector efficiencies greater than about 93% the Knill gate gives marginally better performance, but for detector efficiencies below this value the KLM gate shows a better fidelity by a significant margin.

A similar analysis can be done with ancilla production efficiencies. Figure 7 shows this analysis and has the same gate - plot style correspondence as in figure 6. Once again a steep decrease in minimum fidelity as a function of efficiency is observed.

In this figure it can be seen that the KLM gate has the highest minimum fidelity for the range of efficiencies shown. From the figures we may conclude that, as assessed by minimum fidelity, the simplified KLM gate is in general the most forgiving in the presence of ancilla production and detection inefficiencies.

## IV Gate Fidelity Improvement

One effect of reduced ancilla efficiency is to bias the probability of successful gate operation for different input states. This is a detrimental effect as some information about the input state is thus leaked through the statistics of the projective measurements success. In turn this results in biasing of the fidelities of the gate for different inputs. For example with the KLM gate the fidelity for the $`|0|0`$ input state is unaffected by ancilla inefficiencies while the $`|0|1`$ and $`|1|0`$ states are most strongly affected, with these states giving the minimum fidelity for this gate. This suggests it may be possible to improve upon the fidelity gained here if one were to adjust the elements in the gate to compensate for the biasing of gate functionality incurred due to the ancilla inefficiencies. Using this idea as a guide we have improved the performance of the KLM gate.

The KLM gate is constructed from two NS gates, which ideally perform the operation given in equation 2. The gate has two parameters which can be altered: the reflectivities of each of the two beamsplitters. Using the same technique as above for calculating the gate fidelity, we can optimize the fidelity with respect to these beamsplitter ratios for fixed detector and input efficiency. It is assumed that the two NS gates in the whole C-sign gate have the same beamsplitter ratios, maintaining the symmetry of the gate.

Figure 8 shows the fidelity of the simplified KLM gate when the prepared ancilla are kept the same and the detection scheme is the same as proposed, but the beamsplitter ratios in the two NS gates are varied. The ‘$`\mathrm{\Delta }\eta 1`$’ and ‘$`\mathrm{\Delta }\eta 2`$’ axes show the change in the beamsplitter ratios from their initial values; that is, for the point (0,0) the beamsplitter ratios have not changed. The z-axis shows the fidelity of the gate. The assumed loss with this diagram is 90% detector efficiency and perfect input efficiency.

The important feature of this plot is the increase of fidelity with $`\eta _1`$. To the far right of the $`\eta _1`$ axis is the limit of the allowed values for $`\eta _1`$. This limit is imposed by the necessity that reflectivities lie between zero and one. So in this case, the fidelity can be optimized by choosing the first beamsplitter perfectly reflective. Doing this, in effect, removes the detector which measures zero photons and removes the vacuum input. Inefficient equipment is removed from the gate and the gate complexity is reduced. All that remains is to optimize the fidelity along the ‘$`\mathrm{\Delta }\eta 2`$’ axis. This feature of increasing fidelity with $`\eta _1`$ is seen here with detector efficiencies up to about 99%.

The increasing fidelity with $`\eta _1`$ is not seen with a lossy source. However, when the source efficiency drops slightly below unity the relationship between the gate fidelity and $`\eta _1`$ is almost flat. For source efficiency of about 98%, the improvement in the fidelity is only about $`0.01`$ at the actual optimized value of $`\eta _1`$ and $`\eta _2`$ compared with setting $`\eta _1=1`$. So for simplicity, the fidelity will be considered optimized at $`\eta _1=1`$ for both lossy sources and detectors.

Figure 9 shows the gate fidelity (optimized) with $`\eta _1=1`$ and $`\eta _2`$ at the optimum value. The graphs on the left show the fidelity without any alterations to the beamsplitters (solid line and) the optimized fidelity (dashed line). The plots on the right show what the $`\eta _2`$ value is for this optimized fidelity. There are three cases shown in figure 9. The first is perfect source efficiency and variable detector efficiency. The second is perfect detectors and variable source efficiency. The last is variable source and detectors but both have equal efficiencies.

As an example of the small difference between using $`\eta _1=1`$ and varying it for non-unity source efficiency, the fidelity shown here for perfect detectors at 98% source efficiency is 0.956. When both $`\eta _1`$ and $`\eta _2`$ are varied a fidelity of 0.959 can be reached using $`\eta _1=0.7703`$ and $`\eta _2=0.1838`$. When a source efficiency of 0.8 is used, the fidelity reported here is 0.723 and a slight improvement (in the fourth decimal place) can be achieved at the values $`\eta _1=0.9720`$ and $`\eta _2=0.1123`$.

Figure 10 shows similar evidence that $`\eta _1`$ should be set to unity for all but the highest efficiencies. The figure is a zoomed region of the plots from figure 9 where detector and source efficiencies are equal and higher than 0.99.

Note from these figures that there is an improvement in fidelity with $`\eta _1=1`$ until efficiencies reach about 99.5%. Once again a slight improvement in these figures can be gained by varying $`\eta _1`$ (which is possibly the origin of the slight downwards bending of the improved fidelity curve).

Changing the parameters of the gate will change the probability that the gate will function successfully as shown in figure 11 for the case where detector and source losses are equal. The probability of the gate functioning does not drop below about $`\frac{1}{5}`$ the original value for detector and input efficiencies above about 0.8.

This technique of tuning gate parameters to counter the effects of ancilla inefficiency could also be applied to the Knill and PJF gates in some form. However, it is not so clear how to proceed for these gates and it could be a computationally expensive task. Since the KLM gate gave the most encouraging results in the default setup and its parameter space is relatively small, its optimization was pursued here.

## V Conclusion

Three LOQC C-sign gates have been compared using the minimum fidelity over all possible input states as the figure of merit. The KLM gate appears to be the most resilient to photon loss in ancilla detection for efficiencies below 95% and input loss for all efficiencies. The gate fidelity for the KLM gate can be improved by adjusting the beamsplitter ratios of the gate. In all but the most efficient conditions (loss less than 0.5%), it is best to remove the first beamsplitter from each of the two NS gates that make up the C-sign gate and adjust the second until optimum fidelity is reached. This actually reduces the complexity of the gate considerably by removing two photon counters. The improvement in minimum fidelity can be quite significant. Single photon production and detection efficiencies around 90% are not unreasonable in the short term. Under such conditions the optimized KLM gate could be expected to give fidelities $`0.8`$ for all operations, assuming all other imperfections can be neglected.

###### Acknowledgements.

We acknowledge useful discussions with G. J. Milburn and A. Gilchrist. This work was supported by the Australian Research Council and ARDA.


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# X-ray absorption and optical spectroscopy studies of (Mg1-xAlx)B2

## Abstract

X-ray absorption spectroscopy and optical reflectance measurements have been carried out to elucidate the evolution of the electronic structure in (Mg1-xAlx)B2 for x = 0.0, 0.1, 0.2, 0.3, and 0.4. The important role of B 2p $`\sigma `$ hole states to superconductivity has been identified, and the decrease in the hole carrier number is quantitatively determined. The rate of the decrease in the hole concentration agree well with the theoretical calculations. On the other hand, while the evolution of the electronic structure is gradual through the doping range, $`T_c`$ suppression is most significant at x = 0.4. These results suggest that the superstructure in (Mg1-xAlx)B2, in addition to the $`\sigma `$ holes, can affect the lattice dynamics and contributes to the $`T_c`$ suppression effect. Other possible explanations like the topological change of the $`\sigma `$ band Fermi surface are also discussed.

Within two years of the discovery of superconductivity in MgB2, intensive studies have led to tremendous understanding of this new and unique intermetallic superconductor. The main frame has been set both by theory and experiments. MgB2 is a phonon-mediated strong coupling superconductor. The two-dimensional B 2p $`\sigma `$ holes play a crucial role in superconductivity of MgB2. In contrast to classical s-wave superconductors, MgB2 has multiple superconducting energy gaps though it is fully gapped . However, there are issues on MgB2 remaining somewhat open yet. One example is the Al doping effects on $`T_c`$ of MgB2. It is established that the Al doping leads to $`T_c`$ suppression in MgB2. Al doping also shortens the *c* axis in the layered hexagonal structure. Furthermore, the Al-layer ordering in (Mg1-xAlx)B2 was reported . Since superconductivity in MgB2 is of phonon origin, the interplay of the lattice dynamics and the evolution of the electronic structure in (Mg1-xAlx)B2 is of great interest. However, compared to the detailed studies of phonon spectrum in (Mg1-xAlx)B2, the Al doping effects on the electronic structure have not been thoroughly explored yet. In this paper, we report detailed x-ray absorption and optical reflectance measurements in (Mg1-xAlx)B2 for *x* = 0.0, 0.1, 0.2, 0.3, and 0.4. Comparisons between the present results and other theoretical and experimental works provide deeper insight into the electronic structure and $`T_c`$ suppression mechanism in (Mg1-xAlx)B2.

To prepare (Mg1-xAlx)B2, the stoichiometric mixture of Mg, 11B, and Al powder (Alfa Aesar) was ground softly for an hour. Resultant powder was palletized and wrapped by a Ta foil. Then it was put into a high pressure cell. This whole process was performed in an inert Ar gas. A 12 mm cubic multi-anvil system was used for a high pressure synthesis. The cell was heated up to 950 oC and maintained 950 oC for 2 hours. Then it was quenched to room temperature. Details of high-pressure synthesis will be found elsewhere. The lattice parameters a and c, shown in the inset of Fig. 1, were obtained from x-ray diffraction measurements. Al doping led to an obvious decrease in c due to the smaller ionic radius of Al3+than that of Mg2+, while the effect on a was relatively insensitive. The diffraction pattern of the x = 0.2 sample showed the presence of two phases. All the above x-ray diffraction results were consistent with those in the literature . The resistivity $`\rho `$ was measured by the four-probe method, as shown in Fig. 1. $`T_c`$ was determined by the midpoint of the transition, and was consistent with the magnetization M measurements. The sharp transition both in $`\rho `$ and M manifested the good quality of the samples. Moreover, $`T_c`$ suppression effects due to Al doping are consistent with the reported results.

X-ray absorption near edge structure (XANES) in fluorescence mode is a powerful tool to investigate the unoccupied (hole) electronic states in complex materials and is bulk sensitive. The B K-edge x-ray absorption spectra were carried out using linear polarized synchrotron radiation from 6-m high-energy spherical grating monochromator beamline located at SRRC in Taiwan. Details of the measurements were described elsewhere . Energy resolution of the monochromator is set to be 0.15 eV for the B K-edge energy range. The energy was calibrated as in Ref. . The absorption spectra were normalized to the maximum of the peak around 200 eV.

Near-normal optical reflectance spectra were taken at room temperature on mechanically polished surfaces of high density polycrystalline samples. Middle infrared (600-3000 cm-1) measurements were made with a Perkin-Elmer 2000 spectrometer coupled with a FT-2R microscope, while the spectra in the near-infrared to near-ultraviolet regions (4000-55000 cm-1) were collected on a Perkin-Elmer Lambda-900 spectrometer. The modulated light beam from the spectrometer was focused onto either the sample or an Au (Al) reference mirror, and the reflected beam was directed onto a detector appropriate for the frequency range studied. The different sources and detectors used in these studies provided substantial spectral overlap, and the reflectance mismatch between adjacent spectral ranges was less than 1 $`\%`$.

The B K-edge XANES on (Mg1-xAlx)B2 was studied and shown in Fig. 2. The peaks centered between 186.5 and 187 eV can be identified to be closely associated with B 2p $`\sigma `$ holes. Two additional peaks around 192$``$194 eV (not shown), probably due to either boron oxides or resonances, were also observed in this work. These features do not appear to affect the peak of B 2p $`\sigma `$ states, and are not included in the following discussions.

The most noticeable change is the decrease in the intensity of the pre-edge peak with increasing Al doping. This can be reasoned as the electron doping effect with the substitution of Al3+ for Mg2+. XANES thus directly verifies the crucial role of B 2p $`\sigma `$ holes together with $`T_c`$ suppression effects due to Al doping. It is also noticed that the change of the intensity is gradual, like the x dependence of $`T_c`$(x), until x = 0.4. No dramatic change between x = 0.0 and 0.1 was observed in the present work, while a 65$`\%`$ drop in the spectral weight was reported in Ref. . In general, the onset and the peak energies both increase with Al doping as expected naively by the concept of hole filling, while indicating that the rigid band model can not be vigorously applied. Furthermore, the onset and the peak energies actually decrease slightly from x = 0.0 to 0.1, which probably suggests a corresponding change of the core level energy. This curious tendency appears to be genuine, since it was also observed in another independent work .

To further quantify the decrease in the number of hole carriers, the optical spectroscopy has been proved to be an effective tool for the investigation of the doping-induced spectral weight. The optical properties (i.e. the complex conductivity $`\sigma (\omega )=\sigma _1(\omega )+i\sigma _2(\omega )`$ or dielectric function $`ϵ(\omega )`$ = 1 + $`4\pi i\sigma (\omega )/\omega `$) were calculated from Kramers-Kronig analysis of the reflectance data. To perform these transformations one needs to extrapolate the reflectance at both low and high frequencies. At low frequencies the extension was done by modeling the reflectance using the Drude model and using the fitted results to extend the reflectance below the lowest frequency measured in the experiment. The high-frequency extrapolations were done by using a weak power law dependence, R $``$ $`\omega ^s`$ with s $``$ 1–2.

Similar optical experiments has been performed on MgB2. In this work, the detailed optical measurements on (Mg1-xAlx)B2 are reported. Figure 3 shows the room-temperature real part of the optical conductivity $`\sigma _1(\omega )`$ as a function of Al doping, obtained from a Kramers-Kronig transformation of the measured reflectance data. For the x = 0.0 sample, the optical conductivity can be described in general terms as (i) coherent response of itinerant charge carries at zero frequency; (ii) an overdamped mid-infrared component around 3500 cm-1; and (iii) two interband transitions near 17000 and 50000 cm-1. We have tried to fit the conductivity spectrum in the whole frequency range with a Drude part and three Lorentz oscillators. The Drude plasma frequency of the carriers $`\omega _{pD}`$ and their scattering rate $`1/\tau _D`$ are 27000 and 1000 cm-1, respectively. The estimated Drude resistivity \[$`\rho _{\mathrm{Drude}}`$ = ($`\omega _{pD}^2`$$`\tau _D`$/60)-1, in unit $`\mathrm{\Omega }`$-cm\] is 8$`\times `$10-5$`\mathrm{\Omega }`$-cm, in reasonable agreement with the transport results. As Al doping proceeds, the far-infrared conductivity is decreasing, while the oscillator strength of the mid-infrared absorption is nearly independent of doping.

An attempt in separating the zero-frequency absorption channel from the mid-infrared absorption sometimes produced ambiguous results. This is the case that there has been much discussion over the one-component and the two-component pictures to describe the optical conducitivity of high-Tc cuprates. The doping dependence of the low-frequency optical conductivity of these samples can also be summarized by plotting the integrated spectral weight in the conductivity,

$$N_{\mathrm{eff}}(\omega )=\frac{2m_0V_{\mathrm{cell}}}{\pi e^2}\underset{0}{\overset{\omega }{}}\sigma _1(\omega ^{^{}})𝑑\omega ^{^{}},$$
$`(2)`$
where $`m_0`$ is taken as the free-electron mass, and $`V_{\mathrm{cell}}`$ is the unit cell volume. $`N_{\mathrm{eff}}(\omega )`$ is proportional to the number of carriers participating in the optical absorption up to a certain cutoff frequency $`\omega `$, and has the dimension of frequency squared. Integration of the conductivity up to $`\omega `$ = 8000 cm-1\- the frequency at which we observe a clear onset of interband transitions-provides only 30% of the spectral weight we measure when $`\omega `$ is extended up to our experiment limit of 52000 cm-1. Fig. 4 shows the quantity $`N_{\mathrm{eff}}`$ ($`\omega `$ = 8000 cm-1) plotted as a function of $`T_c`$, illustrating the correlation between the number of carriers and $`T_c`$ in the (Mg1-xAlx)B2 systems. It is interesting to note that the spectral weight corresponds to an effective number of carriers of $``$ 0.48 and 0.16 for the x = 0.0 and 0.4 samples, suggesting that each Al removes approximately one carrier. From Fig. 4, it is intriguing to note that $`T_c`$ changes accordingly with $`N_{\mathrm{eff}}`$ until a more significant drop in $`T_c`$ occurs at x = 0.4. This implies that an additional effect other than $`N_{\mathrm{eff}}`$ begins to play a role in the determination of $`T_c`$ at the composition of x = 0.4. Another intriguing plot is $`N_{\mathrm{eff}}`$ vs x as in Fig. 5. It unambiguously demonstrates no abrupt change of $`N_{\mathrm{eff}}`$ at either x = 0.1 or 0.4, in agreement with XANES in Fig. 3. It has been argued that the evolution of the electronic structure is responsible for the change of the lattice dynamics in (Mg1-xAlx)B2. The results in Figs. 4 and 5 further suggest that the phonon spectrum could be affected by the superstructure, in addition to the factor of $`N_{\mathrm{eff}}`$. Why this superstructure effect takes place at x = 0.4 rather than at smaller x is unknown. Perhaps the composition of x = 0.4 approaches x = 0.5 close enough where the Al layer ordering is much preferred. The formation of the superstructure has been explained recently by a simple model, though with a too low instability temperature for the phase separation. The interplay of the electronic structure, the lattice dynamics, and the superstructure still remains unclear with respect to the details.

B 2p $`\sigma `$ holes in (Mg1-xAlx)B2 were actually theoretically investigated. Figure 5 provides an excellent stage to compare between theoretical calculations and experimental results. Though the absolute value of the carrier number is difficult to compare, the comparison of the relative change of the carrier number due to Al doping can be made. Theoretical calculations predict $`N_{\mathrm{eff}}`$(*x*)/ $`N_{\mathrm{eff}}`$(0)=1-1.75x, which amazingly agrees with the experimental results in Fig. 5. It is noted that the solid line in Fig. 5 represents the theoretical prediction with no fitting parameter. This astonishing agreement deserves further consideration. In the calculations of Ref. , doped Al atoms were assumed to be distributed in Mg planes, and no superstructure effects were included. It seems that the occurrence of the superstructure has no effect on $`N_{\mathrm{eff}}`$ while it affects the lattice dynamics which contributes to further $`T_c`$ suppression for $`\text{x}`$0.4. This scenario is qualitatively in accord with the experimental results. It is also likely that the coupling between $`\sigma `$ and $`\pi `$ bands has to be included to account for the correct $`T_c`$ suppression effects. Furthermore, another first principle calculation work (without considering the superstructure effects) suggests that an abrupt topological change in the $`\sigma `$ Fermi surface between x=0.3 and 0.4 . How this electronic structure change reconciles with the observed smooth change of XANES and $`N_{\mathrm{eff}}`$(*x*), and how it is related to the evolution of the lattice dynamics and the $`T_c`$ suppression remain largely unknown. Certainly further theoretical studies as in Ref.  but including the interplay of all the electronic structure, the lattice dynamics, and the superstructure effects are indispensable.

To conclude, spectroscopy studies of (Mg1-xAlx)B2 by XANES and optical reflectance measurements not only identify the importance of B 2p $`\sigma `$ hole states to superconductivity, but also quantify the changes of the carrier number due to Al doping. The quantitative decreasing rate of the $`\sigma `$ hole number agrees well with the theoretical calculations. No abrupt change of the carrier number was observed for x = 0.0 to 0.4. This smooth change is difficult to reconcile with the large $`T_c`$ suppression at x=0.4. While either the superstructure or the topological change of the electronic structure in (Mg1-xAlx)B2 could be responsible for this anomaly, the experimental results of the electronic structure evolution indicate that a full understanding of the large $`T_c`$ suppression at x = 0.4 is still desirable.

###### Acknowledgements.

We are grateful to B. Renker and R. Heid for inspiring discussions in MOS2002 conference. This work was supported by the National Science Council of the Republic of China under Grant Nos. NSC 91-2112-M-003-021, NSC91-2112-M-110-005 and NSC91-2112-M-009-046.