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# Real-space observation of current-driven domain wall motion in submicron magnetic wires

## Abstract

We report direct observation of current-driven magnetic domain wall (DW) displacement by using a well-defined single DW in a micro-fabricated magnetic wire with submicron width. Magnetic force microscopy visualizes that a single DW introduced in a wire is displaced back and forth by positive and negative pulsed-current, respectively. The direct observation gives quantitative information on the DW displacement as a function of the intensity and the duration of the pulsed-current. The result is discussed in terms of the spin-transfer mechanism.

In general, ferromagnets are composed of magnetic domains, within each of which magnetic moments align. The directions of magnetization of neighboring domains are not parallel. As a result, there is a magnetic DW between neighboring domains. The direction of moments gradually changes in a DW. What will happen if an electric current flows through a DW? Since the spin direction of conduction electrons changes when the electrons cross the DW, spin transfer from electrons into the DW occurs and torque is exerted on the DW. In consequence, the electric current can displace the DWBerger84 ; Berger92 ; Tatara ; Waintal . This current-driven DW motion has been confirmed by experiments on magnetic thin films and magnetic wiresBerger85 ; Berger88 ; Gan ; Koo ; Grollier ; Vernier . However, quantitative experiment on a single DW in a magnetic wire for getting deeper insights into the physical mechanisms of this effect is still lacking. Our real-space observation by MFM gives the quantitative information: DW displacement as a function of the intensity and the duration of the pulsed-current. It is found that the DW displacement is proportional to the pulse duration and the DW velocity increases with the current density.

We designed a special L-shaped magnetic wire with a round corner as schematically illustrated in Fig. 1. One end of the L-shaped magnetic wire is connected to a diamond-shaped pad which acts as a DW injectorShigeto , and the other end is sharply pointed to prevent a nucleation of a DW from this endSchrefl . L-shaped magnetic wires of 10 nm-thick Ni81Fe19 were fabricated onto thermally oxidized Si substrates by means of an e-beam lithography and a lift-off method. The width of the wire is 240 nm. The wire has four electrodes made of nonmagnetic material, 20 nm-thick Cu, for electrical transport measurements. MFM observations were performed for the hatched area in Fig. 1 at room temperature. CoPtCr low moment probes were used in order to minimize the influence of the stray field from the probe on the DW in the wire.

Because of the special shape of the wire, a single DW can be introduced from the diamond-shaped pad and it stops in the vicinity of the round corner when a magnetic field is applied along the wire axis connected to the padShigeto ; Allwood\_A . In order to introduce a DW at the position a little bit away from the corner, the direction of the external magnetic field was set 26 degrees from the wire axis in the substrate plane as shown in Fig.1. In the initial stage, a magnetic field of +1 kOe was applied in order to align the magnetization in one direction along the wire. Then, a single DW was introduced by applying a magnetic field of -175 Oe. After that, the MFM observations were carried out in the absence of a magnetic field. The existence of the single DW in the vicinity of the corner was confirmed as shown in Fig. 2(a). The DW is imaged as a bright contrast, which corresponds to the stray field from positive magnetic charge. In this case, a head-to-head DW is realized as schematically illustrated in Fig. 2(b). The position and the shape of the DW were unchanged after several MFM scans, indicating that the DW was pinned by a local structural defect as reported by Nakatani $`et`$ $`al.`$Nakatani  and that a stray field from the probe was too small to change the magnetic structure and position of the DW.

To clarify the magnetic structure of the head-to-head DW, micromagnetics simulations were performed by using micromagnetics simulator (OOMMF) from NISTNIST . The parameters used for the calculation were a unit cell size of 5 nm $`\times `$ 5 nm with a constant thickness of 10 nm, a magnetization of 1.08 T, and a damping constant of $`\alpha =0.1`$. The size of the calculated model was the same as the sample for the experiment except for the length of the wire. Two types of DWs, vortex and transverse DW, were obtained as a stable state in the absence of a magnetic field by changing the initial magnetization configuration. Figures 2(c) and 2(d) show the results of the micromagnetics simulations for the vortex and the transverse DW, respectively. Figures 2(e) and 2(f) show the MFM images calculated from the magnetic structuresSaito  shown in Figs. 2(c) and 2(d), respectively. By comparing the calculated MFM images with the observed high-resolution MFM image of the DW (Fig. 2(g)), it is concluded that the DW is the vortex type.

After the observation of Fig. 2(a), a pulsed-current was applied through the wire in the absence of a magnetic field. The current density and the pulse duration were $`1.2\times 10^{12}`$A/m2 and 5 $`\mu `$s, respectively, and the rise and fall times were shorter than 15 ns. Figure 2(h) shows the MFM image after an application of the pulsed-current from left to right. The DW, which had been in the vicinity of the corner (Fig. 2(a)), was displaced from right to left by the application of the pulsed-current. Thus, the direction of the DW motion is opposite to the current direction. Furthermore, the direction of the DW motion can be reversed by switching the current polarity as shown in Fig. 2(i). These results are consistent with the spin transfer mechanismBerger84 ; Berger92 ; Tatara ; Waintal . The critical current density $`j_c`$ below which the DW cannot be driven by the current was observed to be about $`1.0\times 10^{12}`$ A/m2.

Figures 3(a)-3(k) are successive MFM images with one pulsed-current applied between each consecutive image. The current density and the pulse duration were $`1.2\times 10^{12}`$A/m2 and 0.5 $`\mu `$s, respectively. Prior to the MFM observation, a magnetic field of -1 kOe was applied in order to align the magnetization in the direction opposite to that in the previous experiment. Then, a tail-to-tail DW was introduced by applying a magnetic field of +175 Oe. The introduced DW is imaged as a dark contrast in Fig. 3, which indicates that a tail-to-tail DW is formed as schematically illustrated in Fig. 3. The direction of the tail-to-tail DW motion is also opposite to the current direction. The fact that both head-to-head and tail-to-tail DWs are displaced opposite to the current direction clearly indicates that the DW motion is not caused by a magnetic field generated by the current (Oersted field). Each pulse displaced the DW opposite to the current direction. The difference in the displacement for each pulse is possibly due to the pinning by randomly located defects. The average displacement per one pulse did not depend on the polarity of the pulsed-current.

We discuss the interpretation of the observed current-driven DW motion. The Joule heating by the pulsed-current should have some effect on the DW motion because it avtivates the thermal process. However, the heating cannot explain the fact that the direction of the DW motion is reversed by switching the current polarity. The effect of the Oersted field is also ruled out as mentioned above. Hydromagnetic DW-drag force associated with the Hall effect is negligible in films thinner than 0.1 $`\mu `$mBerger78 . Therefore, only the spin transfer mechanismBerger84 ; Berger92 ; Tatara ; Waintal  can explain our experimental results.

For more quantitative discussion, we investigated the DW displacement as a function of the duration and the intensity of the pulsed-current. Figure 4(a) shows the average DW displacement per one pulse as a function of the pulse duration under a condition of constant current density of $`1.2\times 10^{12}`$A/m2. The average DW displacement is almost proportional to the pulse duration, which indicates that the DW has a constant velocity of 3.0 m/s and the acceleration of the DW can be neglected in the time domain investigated. Figure 4(b) shows the average DW velocity as a function of the current density. The average velocity could be determined only in a narrow range of the current density from $`1.1\times 10^{12}`$A/m2 to $`1.3\times 10^{12}`$A/m2. Below $`1.1\times 10^{12}`$A/m2, the displacement for each pulse was not reproducible. Above $`1.3\times 10^{12}`$A/m2, the samples were degraded by the Joule heating due to the high current density. Although the DW velocity was measured only in the small current density range, it was well confirmed that the DW velocity increases with the current density, as expected from the spin transfer mechanism.

Since the DW width in the present experiment is much larger than the Larmor precession length (several nm), the electron’s spin can adiabatically follow the direction of the local magnetizationBerger84 ; Berger92 ; Tatara ; Waintal . As a result, each electron passing through the DW flips its spin and gives a quantum $`\mathrm{}`$ of angular momentum to the DW. The displacement of the DW should be proportional to the amount of the transferred angular momentum, which is proportional to the duration of the pulsed-current. Thus, the finding that the DW displacement is proportional to the pulse duration supports that the observed DW motion is due to the spin-transfer. Here, we discuss the efficiency of the current-driven DW motion in the present experiments. The spin transfer from an electron adds magnetic moment of $`2\mu _B`$ to the DW, where $`\mu _B`$ is the Bohr magnetron. Thus, the expected change of magnetic moment in the wire by the pulsed-current, $`m_{current}`$, is calculated as $`m_{current}=2p\mu _BjS\mathrm{\Delta }t/e`$, where $`p`$ is the spin-polarization of the current, $`j`$ is the current density, $`S`$ is the cross-sectional area of the wire, $`\mathrm{\Delta }t`$ is the pulse duration, and $`e`$ is the electronic charge. On the other hand, the change of magnetic moment in the wire by the displacement of the DW, $`\mathrm{\Delta }m`$, is calculated as $`\mathrm{\Delta }m=2M_S\mathrm{\Delta }lS`$, where $`\mathrm{\Delta }l`$ is the displacement of the DW. Thus, we define the efficiency as $`\eta =\mathrm{\Delta }m/m_{current}`$. From the definition, the efficiency is zero below $`j_c`$ because the DW does not move below $`j_c`$. This means the transferred spin angular momentum dissipates into the environment possibly through the excitation of local spin waves in the DW. The efficiency increases with the current density and $`\eta =0.1`$ at $`j=1.3\times 10^{12}`$A/m2 if we assume $`p=0.7`$Bass .

We have shown the current-driven DW motion for a single DW with a well-defined magnetic structure in a submicron magnetic wire, which certifies the spintronic device operationVers ; Allwood\_S  by this effect. All experimental results are qualitatively consistent with the spin transfer mechanismBerger84 ; Berger92 ; Tatara ; Waintal . It was found that merely several percent of the transferred angular momentum was used for the displacement of the DW. This is possibly due to the complicated magnetic structure in the vortex DW. Detailed experiments by changing the thickness and the width of the wire are needed to elucidate the origin of the low efficiency.

###### Acknowledgements.

We would like to thank Y. Suzuki, S. Yuasa, H. Kohno, and G. Tatara for valuable discussions. The present work was partly supported by the Ministry of Education, Culture, Sports, Science and Technology of Japan (MEXT), through the Grants-in-Aid for COE Research (10CE2004 and 12CE2005) and MEXT Special Coordination Funds for Promoting Science and Technology (Nanospintronics Design and Realization, NDR).


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# Dynamical FLIC Fermions

## 1 INTRODUCTION

Fat Link Irrelevant Clover (FLIC) fermions have shown a number of promising advantages over standard actions, including improved convergence properties  and $`O(a)`$ improved scaling without the need for nonperturbative tuning . Furthermore, a reduced exceptional configuration problem has allowed efficient access to the light quark mass regime in the quenched approximation . However, recent progress in the field has shown that the behaviour of quenched QCD can differ from the true theory both qualitatively and quantitatively in the chiral regime . Thus, interest has now focused on dynamical QCD, be it (truly) unquenched, or partially quenched.

In particular, as it is in the chiral regime where the difference from the valence approximation will be highlighted, we would like to go to light quark masses in dynamical QCD. This is an extremely computationally expensive endeavour. One might hope that the excellent behaviour at light quark mass displayed by FLIC fermions will carry over from the quenched theory to the unquenched one. This brings us to the issue of generating dynamical gauge field configurations with the fermionic determinant being that of the FLIC action.

## 2 MaxReTr PROJECTION

The standard technique for simulating dynamical fermions has for some time now been Hybrid Monte Carlo (HMC) . The HMC algorithm alternates between a global Metropolis accept/reject step and a gauge field update through the use of a hybrid Molecular Dynamics integration,

$$U_\mu (x,\tau +\mathrm{\Delta }\tau )=U_\mu (x,\tau )\mathrm{exp}\left(i\mathrm{\Delta }\tau P_\mu (x,\tau )\right),$$
(1)
$$P_\mu (x,\tau +\mathrm{\Delta }\tau )=P_\mu (x,\tau )U_\mu (x,\tau )\frac{\delta S}{\delta U_\mu (x,\tau )}.$$
(2)
Here, the $`P_\mu (x)`$ are the momenta canonically conjugate to the gauge field. The update of the momenta involves the derivative of the action with respect to the gauge field, a quantity which is also made use of in efficient local update algorithms.

When attempting to use HMC with FLIC fermions, or some other fat link action for that matter, it is the calculation of $`\frac{\delta S}{\delta U}`$ which has proven problematic. FLIC fermions are clover-improved fermions where the irrelevant operators are constructed using APE smeared links . These fat links are constucted by performing several sweeps of APE smearing across the lattice. Each sweep consists of an APE blocking step,

$$V_\mu ^{(n)}(x)[U^{(n1)}]=(1\alpha )\text{}+\frac{\alpha }{6}\underset{\nu \mu }{}\text{}+\text{ }\text{},$$
(3)
followed by a projection back into $`SU(3)`$ of the links, $`U_\mu ^{(n)}(x)=𝒫(V_\mu ^{(n)}(x)).`$ Typically, this projection is performed by iteratively maximising the following gauge invariant measure,

$$U_\mu ^{(n)}(x)[U^{(n1)}]=\underset{U^{}SU(3)}{\mathrm{max}}\mathrm{Re}\mathrm{Tr}(U^{}(x)V_\mu ^{(n)}(x)).$$
(4)
Any fermion action which makes use of this reunitarisation method cannot be simulated using HMC, as the use of the iterative algorithm prevents one from being able to construct $`\frac{\delta S}{\delta U}`$.

## 3 UNIT CIRCLE PROJECTION

Given any matrix $`X`$, then $`X^{}X`$ is hermitian and may be diagonalised. Then it is possible (for $`detX0`$) to define a matrix

$$W=\frac{X}{\sqrt{X^{}X}}$$
(5)
whose spectrum lies on the complex unit circle and is hence unitary. Furthermore, $`W`$ possesses the same gauge transformation properties as $`X`$. We can then constuct another matrix,

$$W^{}=\frac{1}{\sqrt[3]{detW}}W$$
(6)
which is special unitary. This technique provides an alternative method of $`SU(3)`$ projection (breaking the $`_3`$ ambiguity by choosing the principal value of the cube root). Using the mean link as a measure of the smoothness of the smeared gauge field, Table 1 indicates that the two methods presented here are nearly equivalent.

However, the matrix inverse square root function can be approximated by a rational polynomial (whose poles lie on the imaginary axis),

$$W[X]W_k[X]=d_0X(X^{}X+c_0)\underset{l=1}{\overset{k}{}}\frac{b_l}{X^{}X+c_l}.$$
(7)
This approximation is differentiable in a matrix sense for all $`X`$ for which the inverse square root can be defined. This means that we can construct $`\frac{\delta S}{\delta U}`$ for fermion actions which involve unit circle projection.

## 4 RESULTS

Having now written down the APE smearing prescription (with projection) in a differentiable closed form, the equations of motion necessary for the use of the HMC algorithm can be derived. Even in the simple case of APE smearing these equations are quite complex, but we will say something here about the mechanism for deriving them. Given the FLIC fermion action $`S_{\mathrm{FLIC}}(U)`$, which has explicit dependence upon the thin links $`U`$ and the fat links $`U^{}`$, it is straightforward to write down the partial matrix derivatives $`\frac{S}{U}`$ and $`\frac{S}{U^{}}`$. However, to write down in one step the total matrix derivative $`\frac{dS}{dU}`$ would be difficult, and inefficent numerically. Instead, one can use some calculus to both simplify the process and make it numerically efficient. This is done through the use of the matrix chain rule,

$$\frac{dS}{dU}=\frac{S}{U}+\frac{S}{U^{}}\frac{dU^{}}{dU}.$$
(8)
The full details of the derivation are presented elsewhere . We find that the numerical overhead for the equations of motion are small, and the generation of dynamical gauge fields with FLIC fermions is still dominated by the necessary conjugate gradient inversion required as part of the pseudo-fermion formulation. Some preliminary results are presented in Table 2.

## 5 CONCLUSION

Unit circle projection can be written in closed form and represented by a rational polynomial approximation. The matrix rational polynomial is differentiable with respect to the gauge field and thus enables one to derive the equations of motions necessary for the use of HMC with FLIC fermions. This provides a significant advantage over the MaxReTr method, where the absence of a differentiable form precludes the use of HMC and hence the availability of a simulation algorithm that scales linearly with the lattice volume $`V`$, although there are $`O(V^2)`$ alternatives . This means that we now have an $`O(V)`$ algorithm available for the dynamical simulation of FLIC fermions. Furthermore, the method is general and can be applied to any fermion action with reuniterisation, including overlap fermions with a fat link kernel , or other types of fat link actions  that may involve alternative smearing techniques .


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# The Predictive Power of Zero Intelligence in Financial Markets

## I Introduction

This work has goals at two levels. At the immediate level, its goal is to investigate the possibility of simple laws relating the flow of trading orders into a market to statistical properties of prices. The laws that we propose and investigate are not temporal predictions, but rather relations restricting the possible values that the underlying variables can take at any given point in time. The ideal gas law provides a simple physical analogy that illustrates both the limited scope and the potential utility of such laws. In our case, the goal is to relate properties of the order flow, such as market order placement rate, limit order placement rate, and cancellation rate, to properties of the market such as the gap between the best prices for buying and selling, or the variability of prices. In addition, we present some results that are related to the nature of supply and demand functions.

At a broader level, this work is interesting because of the nature of the model we test, which makes the simple assumption that agents place orders to buy or sell at random Daniels03 ; Smith03 . This is in constrast to standard models in economics, which typically devote considerable effort to modeling the strategic behavior and expectations of agents. No one would dispute that this is important. However, there may be some circumstances where other factors may be more important. For example, Becker Becker62  showed that a budget constraint is sufficient to guarantee the proper slope of supply and demand curves, and Gode and Sunder Gode93  demonstrated that if one replaces the students in a standard classroom economics experiment by zero-intelligence agents, the zero-intelligence agents perform surprisingly well. The model we test here builds on earlier work in financial economics Mendelson82 ; Cohen85 ; Domowitz94 ; Bollerslev97  and physics Bak97 ; Eliezer98 ; Maslov00 ; Slanina01 ; Challet01 . (See also interesting subseqent work Bouchaud02 ; Bouchaud03 ). We show here that in some circumstances the zero-intelligence approach can make surprisingly good quantitative predictions.

### I.1 Continuous double auction

The model of Daniels et al. Daniels03  assumes a continuous double auction, which is the most widely used method of price formation in modern financial markets Smith03 . There are two fundamental kinds of trading orders: Impatient traders submit *market orders*, which are requests to buy or sell a desired number of shares immediately at the best available price. More patient traders submit *limit orders*, which include the worst allowable price for the transaction. Limit orders may fail to result in an immediate transaction, in which case they are stored in a queue called the *limit order book*, illustrated in Fig. 1. As each buy order arrives it is transacted against accumulated sell limit orders that have a lower selling price, in priority of price and arrival time. Similarly for sell orders. The lowest selling price offered in the book at any point in time is called the *best ask*, $`a(t)`$, and the highest buying price the *best bid*, $`b(t)`$.

### I.2 Review of model

The model that we test here Daniels03 ; Smith03  assumes that two types of zero intelligence agents place and cancel orders randomly, as shown in Fig. 1. Impatient agents place market orders of size $`\sigma `$, which arrive at a rate $`\mu `$ *shares per time*. Patient agents place limit orders of the same size $`\sigma `$, which arrive with a constant rate density $`\alpha `$ *shares per price per time*. These agents may be thought of as liquidity demanders and suppliers. Queued limit orders are canceled at a constant rate $`\delta `$, with dimensions of *1/time*. Prices change in discrete increments called *ticks*, of size $`dp`$. To keep the model as simple as possible, there are equal rates for buying and selling, and order placement and cancellation are Poisson processes. All of these processes are independent except for coupling through their boundary conditions: Buy limit orders arrive with a constant density $`\alpha `$ over the semi-infinite interval $`\mathrm{}<p<a(t)`$, where $`p`$ is the logarithm of the price, and sell limit orders arrive with constant density $`\alpha `$ on the semi-infinite interval $`b(t)<p<\mathrm{}`$. As a result of the random order arrival processes, $`a(t)`$ and $`b(t)`$ each make random walks, but because of coupling of the buying and selling processes the bid-ask *spread* $`s(t)a(t)b(t)`$ is a stationary random variable.

As new orders arrive they may alter the best prices $`a(t)`$ and $`b(t)`$, which in turn changes the boundary conditions for subsequent limit order placement. For example, the arrival of a buy limit order inside the spread will alter the best bid $`b(t)`$, which immediately alters the boundary condition for sell limit order placement. It is this feedback between order placement and price diffusion that makes this model interesting, and despite its apparent simplicity, quite difficult to understand analytically. This model has been analyzed using both simulation and two different mean field theories Smith03 .

One of the virtues of this model is that it gives simple scaling laws relating the parameters of the model to fundamental properties such as the average bid-ask spread, and the price diffusion rate. The mean value of the spread predicted based on a mean field theory analysis of the model in the limit $`dp0`$ is

$$\widehat{s}=(\mu /\alpha )f(\sigma \delta /\mu ).$$
(1)
The nondimensional ratio $`ϵ=\sigma \delta /\mu `$ is the ratio of removal by cancellation to removal by market orders, and plays an important role in determining the properties of the model. $`f(ϵ)`$ is a relatively slowly varying, monotonically increasing non-dimensional function that can be approximated as $`f(ϵ)=0.28+1.86ϵ^{3/4}`$.

Another prediction of the model is of the price diffusion rate, which drives the volatility of prices and is the primary determinant of financial risk. If we assume that prices make a random walk, then the diffusion rate measures the size and frequency of its increments. The variance $`V`$ of an uncorrellated normal random walk after time $`t`$ grows as $`V(t)=Dt`$, where $`D`$ is the diffusion rate. We choose to measure the price diffusion rate rather than the volatility because it is a stationary quantity that provides a more fundamental description of the volatility process. This is the main free parameter in the Bachelier model Bachelier00 , and while its value is essential for risk estimation and derivative pricing there is very little understanding of what determines it. Numerical experiments indicate that the short term price diffusion rate predicted by the model is

$$\widehat{D}=k\mu ^{5/2}\delta ^{1/2}\sigma ^{1/2}\alpha ^2,$$
(2)
where $`k`$ is a constant.

The model was constructed to be simple enough to be analytically tractable, and so makes many strong assumptions. For example, it assumes that the rates for buying and selling are equal, the sizes of limit orders and market orders are the same, that limit order deposition is uniform on semi-infinite intervals, and that rates of order submission are unaffected by changes in price. Many of these assumptions are economically unreasonable in the presence of intelligent agents, but the reader should bear in mind that the only market participants in the model are zero-intelligence “noise” traders, who can be thought of as random liquidity suppliers and demanders111A “liquidity demander” is someone who needs to make a transaction quickly. In the sense used here, a noise trader is someone who wants to make transactions for reasons unrelated to this particular market, and so is insensitive to price.. While intelligent agents are clearly essential for many purposes, such as determining the levels of prices, what we suggest here is that for other purposes their presence is not essential. We would like to emphasize that the construction of the model and all the predictions derived from it were made prior to looking at the data.

## II Testing the scaling laws

### II.1 Data

We test this model with data from the electronic open limit order book of the London Stock Exchange (SETS), which includes about half of the total volume on the exchange. We used data from eleven stocks for August 1st 1998 - April 30th 2000, which includes 434 trading days and a total of roughly six million events. For all these stocks the number of total events exceeds 300,000 and was never less than 80 on any given day (where an event corresponds to an order placement or cancellation). Orders placed during the opening auction are removed to accomodate the fact that the model only applies for the continuous auction. See the Supplementary Material Section A.2 for more details.

### II.2 Testing procedure

¿From the point of view of the model, the order flow rates $`\mu `$, $`\alpha `$, and $`\delta `$, and the mean order size $`\sigma `$ are all free parameters. In analyzing the model we find scaling relations connecting these parameters to the average spread and the price diffusion rate, as given in Equations 1 and 2. We test the model by testing the validity of these relations, taking advantage of the fact that different stocks have different average values of these parameters. For each stock we measure the average market order arrival rate $`\mu `$, limit order rate density $`\alpha `$, cancellation rate $`\delta `$, and order size $`\sigma `$, where the averages are taken across the full time period. We then measure the average spread and volatility and compare them to the predictions of the model.

A problem occurs in measuring $`\alpha `$ and $`\delta `$ due to the simplifying assumption of a uniform distribution of prices for order flow and cancellation. In the real data order placement and cancellation are concentrated near the best prices Bouchaud02 ; Zovko02 . We cope with this by making the assumption that order placement is uniform inside a price window around the best prices, and zero outside this window. We choose the price window to correspond to roughly $`60\%`$ of limit orders at the best prices, and compute $`\alpha `$ by dividing the number of shares of limit orders placed inside the price window by the size of the price window. We do this for each day and compute the average value of $`\alpha `$ for each stock. We compute $`\delta `$ as the inverse of the average cancellation time for orders cancelled inside the same price window. See the Supplementary Material Section A.3 for details.

The scaling laws that we describe here do not make temporal predictions, but rather are restrictions of state variables. The ideal gas law, $`PV=RT`$, provides a good analogy. It predicts that pressure $`P`$, volume $`V`$, and temperature $`T`$ are constrained – any two of them determines the third. Similarly, here we are testing two relations relating properties of orders to properties of prices. We are not attempting to predict the temporal behavior of the order flows, only trying to see whether the restrictions between order flows and prices are valid.

We would like to emphasize that in testing the model we are not treating the order flow rates and order size as free parameters in the regressions. Instead, we are testing the predictions of the model based on order flow rates against the measured values in the same period. The only free parameters are in the specification of the price interval as described above (which was done more or less arbitrarily).

### II.3 Spread

To test Equation 1, we measure the average spread $`\overline{s}`$ across the full time period for each stock, and compare to the predicted average spread $`\widehat{s}`$ based on order flows. Spread is measured as the daily average of $`\mathrm{log}b(t)\mathrm{log}a(t)`$. The spread is measured after each event, with each event given equal weight. The opening auction is excluded.

To test our hypothesis that the predicted and actual values coincide, we perform a regression of the form $`\mathrm{log}\overline{s}=A\mathrm{log}\widehat{s}+B`$. We used logarithms because the spread is positive and the log of the spread is approximately normally distributed. We use the free parameters $`A`$ and $`B`$ for hypothesis testing. Based on the model we predict that the comparison should yield a straight line with $`A=1`$ and $`B=0`$, but because of the degree of freedom in choosing the price interval as described above, the value of $`B`$ is somewhat arbitrary.

The least squares regression, shown together with the data comparing the predictions to the actual values in Fig. 2, gives $`A=0.99\pm 0.10`$ and $`B=0.06\pm 0.29`$. We thus strongly reject the null hypothesis that $`A=0`$, indicating that the predictions are far better than random. More importantly, we are unable to reject the null hypothesis that $`A=1`$. In fact, we are also unable to reject $`B=0`$, but this is probably largely a matter of luck in our choice of the price interval. The regression has $`R^2=0.96`$, so the model explains most of the variance. Note that because of long-memory effects and cross-correlations between stocks the errors in the regression are larger than they would be for IID data (see the discussion in the Supplemenary Material Section A.5).

### II.4 Price diffusion rate

As for the spread, we compare the predicted price diffusion rate based on order flows to the actual price diffusion rate $`\overline{D}_i`$ for each stock averaged over the 21 month period, and regress the logarithm of the predicted vs. actual values, as shown in Fig. 3.

The regression gives $`A=1.33\pm 0.25`$ and $`B=2.43\pm 1.75`$. Thus, we again strongly reject the null hypothesis that $`A=0`$. We are still unable to reject the null hypothesis that $`A=1`$ with $`95\%`$ confidence, though there is some suggestion that the scaling of the model and the actual values are not quite the same. (This could happen if, for example, the scaling exponent predicted by the model of one or more of the order flow rates is wrong; however this suggests that it is at least quite close). Although the results are not as good as for the spread, $`R^2=0.76`$, so the model still explains most of the variance.

## III Average market impact

Market impact is practically important because it is the dominant source of transaction costs for large traders, and conceptually important because it provides a convenient probe of the revealed supply and demand functions in the limit order book. When a market order of size $`\omega `$ arrives, if sufficiently large, it will remove all the stored limit orders at the best bid or ask, causing a change in the midpoint price $`m(t)(a(t)+b(t))/2`$. The average market impact function $`\varphi `$ is the average logarithmic midpoint price shift $`\mathrm{\Delta }p`$ conditioned on order size, $`\varphi (\omega )=E[\mathrm{\Delta }p|\omega ]`$.

A long-standing mystery about market impact is that it is highly concave Hausman92 ; Farmer96 ; Torre97 ; Kempf98 ; Plerou01 ; Bouchaud02 ; Lillo03 ; Gabaix03 . This is unexpected since simple arguments would suggest that because of the multiplicative nature of returns, market impact should grow at least linearly Smith03 . The model we are testing predicts a concave average market impact function, with the concavity becoming more pronounced for small values of $`ϵ=\sigma \delta /\mu `$. However, these predictions are not in good detailed agreement with the data, in that the model predicts a larger variation with $`ϵ`$ than what is actually observed. However, the model is still useful for understanding market impact, as described below.

### III.1 Collapse in non-dimensional coordinates

A surprising regularity of the average market impact function is uncovered by simply plotting the data in non-dimensional coordinates, as shown in Fig. 4. See the Supplementary Material Section A.1 for a discussion of how the nondimensional coordinates are derived from the model. Each market order $`\omega _i`$ causes a possible change $`\mathrm{\Delta }p_i`$ in the midquote price. If we bin together events with similar $`\omega `$ and plot the mean order size as a function of the mean price impact $`\mathrm{\Delta }p`$, we typically see highly variable behavior for different stocks, as shown in Fig. 4(b). We have also explored other ways of renormalizing the order size, such as taking the ratio of each order’s size to the daily or full-sample mean, but they give similar behavior, as shown in the Supplementary Material Section A.7.

Plotting the data in non-dimensional units tells a simpler story. This involves normalizing the price shift and order size by appropriate dimensional scale factors based on the daily order flow rates. In particular, $`\mathrm{\Delta }p\mathrm{\Delta }p\alpha _t/\mu _t`$ and $`\omega \omega \delta _t/\mu _t`$, where $`\alpha _t`$, $`\mu _t`$, and $`\delta _t`$ are the average order flow rates for day $`t`$. The data collapses onto roughly a single curve, as shown in Fig. 4(a). The variations from stock to stock are quite small; on average the corresponding bins for each stock deviate from each other by about $`8\%`$, roughly the size of the statistical sampling error. We have made an extensive analysis, but due to problems caused by the long-memory property of these time series and cross correlations between stocks, it remains unclear whether these differences are statistically significant. In contrast, using standard coordinates the differences are highly statistically significant. This collapse illustrates that the non-dimensional coordinates dictated by the model provide substantial explanatory power: We can understand how the average market impact varies from stock to stock by a simple transformation of coordinates. Plotting in double logarithmic scale shows that the curve of the collapse is roughly a power law of the form $`\omega ^{0.25}`$ (see Supplementary Material, Section A.7). This provides a more fundamental explanation for the empirically constructed collapse of average market impact for the New York Stock Exchange found earlier Lillo03 .

## IV Conclusions

The model we have presented here does a good job of predicting the average spread, and a decent job of predicting the price diffusion rate. Also, by simply plotting the data in non-dimensional coordinates we get a better understanding of the regularities of market impact. These results are remarkable because the underlying model completely drops agent rationality, instead focusing all its attention on the problem of understanding the constraints imposed by the continuous double auction.

The approach taken here can be viewed as a divide and conquer strategy. Rather than attempting to explain the properties of the market from fundamental assumptions about utility maximization by individual agents, we divide the problem into two parts. The first and much easier problem, addressed here, is that of understanding the characteristics of the market given the order flows. The second (and harder) problem, which remains to be investigated, is that of explaining why order flow varies as it does. Explaining order flow involves behavioral and/or strategic issues that are likely to be much more difficult to understand.

The model that we test succeeds in part because it takes explicit advantage of information that is available in a continuous double auction, that is not available in a standard Walrasian auction. By measuring the rate of market order placement vs. limit order placement, and the rate of order cancellation, we are able to measure how patient or impatient traders are. A higher ratio of market orders to limit orders, or a higher rate of cancellation implies a less patient, and therefore more volatile market, with larger spreads. The model makes this quantitative. The agreement with the model indicates that the degree of patience is an important determinant of market behavior. This is potentially compatible with either a rationality-based explanation in terms of information arrival, or a behavioral-based explanation driven by emotional response, but in either case it suggests that patience is a key factor.

This is part of a broader research program that might be characterized as the “low-intelligence” approach to economics: We begin with zero-intelligence agents to get a good benchmark of the effect of market institutions, and once this benchmark is well-understood, add a little intelligence, moving toward market efficiency. We thus start from zero rationality and work our way up, in contrast to the canonical approach of starting from perfect rationality and working down. Follow-up research will examine the effects of adding bounded rationality. See Ref. Farmer03c .

These results have several practical implications. For market practitioners, understanding the spread and the market impact function is very useful for estimating transaction costs and for developing algorithms that minimize their effect. For regulators they suggest that it may be possible to make prices less volatile and lower transaction costs by creating incentives for limit orders and disincentives for market orders. These scaling laws might be used to detect anomalies, e.g. a higher than expected spread might be due to improper market maker behavior.

The model we test here was constructed before looking at the data Daniels03 ; Smith03 , and was designed to be as simple as possible for analytic analysis. A more realistic (but necessarily more complicated) model would more closely mimic the properties of real order flows, which are price dependent and strongly correlated both in time and across price levels, or might incorporate elements of the strategic interactions of agents. An improved model would hopefully be able to capture more features of the data than those we have studied here. We know there are ways in which the current model is inappropriate, e.g., predicts unrealistically strong negative autocorrelations in prices, allowing arbitrage opportunities that do not exist in the real market. Nonetheless, as we have shown above, this extremely simple model does a good job of explaining some important properties of markets, such as transaction costs, price diffusion and market impact. It does this by focusing on the way order placement and price formation interact to alter the accumulation of stored supply and demand. For the phenomena studied here this appears to be the dominant effect. We do not mean to claim that market participants are unintelligent: Indeed, one of the virtues of this model is that it provides a benchmark to separate properties that are driven by the statistical mechanics of the market institution from those that are driven by conditional strategic behavior. It is surprising that such a simple model can explain anything at all about a system as complex as a market.

We would like to thank Credit Suisse First Boston, the James S. McDonnell Foundation, the McKinsey Corporation, Bob Maxfield, and Bill Miller for their support of this project. We would also like to thank Sam Bowles, Supriya Krishnamurthy, Fabrizio Lillo, and Eric Smith for useful discussions, and Mark Bieda, David Krakauer, Harold Morowitz and Elizabeth Wood for comments on the manuscript.

## Appendix A Supplementary Material

### A.1 Additional background information on the model

One of the virtues of this model is that we can make approximate predictions of several of its properties with almost no work using dimensional analysis. This also greatly simplifies the analysis and understanding of the model, and is particularly useful for understanding market impact.

There are three fundamental dimensional quantities describing everything in this model: *shares*, *price*, and *time*. There are five parameters defined in the model. When the dimensional constraints between the parameters are taken into account, this leaves only two independent degrees of freedom. It turns out that the order flow rates $`\mu `$, $`\alpha `$, and $`\delta `$ are more important than the discreteness parameters $`\sigma `$ and $`dp`$, in the sense that the properties of the model are much more sensitive to variations in the order flow rates than they are to variations in $`\sigma `$ or $`dp`$. It therefore natural to construct non-dimensional units based on the order flow parameters alone. There are unique combinations of the three order flow rates with units of *shares*, *price*, and *time*. This gives characteristic scales for price, shares, and time, that are unique up to a constant. In particular, the characteristic number of shares $`N_c=\mu /\delta `$, the characteristic price interval $`p_c=\mu /\alpha `$, and the characteristic timescale $`t_c=1/\delta `$.

These characteristic scales can be used to define non-dimensional coordinates based on the order flow rates. These are $`\widehat{p}=p/p_c`$ for price, $`\widehat{N}=N/N_c`$ for shares, and $`\widehat{t}=t/t_c`$ for time. The use of non-dimensional coordinates has the great advantage that it reduces the number of degrees of freedom from five to two, and many quantities are much more well-behaved and easily understood when plotted in non-dimensional coordinates than they are otherwise.

The remaining two degrees of freedom are naturally discussed in terms of non-dimensional versions of the discreteness parameters. A non-dimensional scale parameter based on order size is constructed by dividing the typical order size $`\sigma `$ (with dimensions of *shares*) by the characteristic number of shares $`N_c`$. This gives the non-dimensional parameter $`ϵ\sigma /N_c=\delta \sigma /\mu `$, which characterizes the granularity of the order flow. A non-dimensional scale parameter based on tick size is constructed by dividing the tick size $`dp`$ by the characteristic price, i.e. $`dp/p_c=\alpha dp/\mu `$. The usefulness of this is that the properties of the model only depend on the two non-dimensional parameters, $`ϵ`$ and $`dp/p_c`$: Any variations of the parameters $`\mu `$, $`\alpha `$, and $`\delta `$ that keep these two non-dimensional parameters constant gives exactly the same market properties. One of the interesting results that emerges from analysis of the model is that the effect of the granularity parameter $`ϵ`$ is generally much more important than the tick size $`dp/p_c`$. For a more detailed discussion, see reference Smith03 .

While $`a(t)`$ and $`b(t)`$ make random walks, the increments of their random walks are strongly anti-correlated. This is a good example of how the properties of this model are not simple to understand. One might naively think that under IID Poisson order flow, price increments should also be IID. However, due to the coupling of boundary conditions for the buy market order/sell limit order process to those of the sell market order/buy limit order process, this is not the case. Because of the fact that supply and demand tend to build as one moves away from the center of the book, price reversals are more common than price changes in the same direction. As a result, the price increments generated by this model are more anti-correlated than those of real price series. This has an interesting consequence: If we add the assumption of market efficiency, and assume that real price increments must be white, it implies that real order flow should be positively autocorrelated in order to compensate for the anticorrelations induced by the continuous double auction. This has indeed been observed to be the case Bouchaud03.2 ; Lillo03.2 .

This is of course also a criticism of the model, since it implies a lack of arbitrage efficiency. However, we wish to stress that we make no claims that this model explains everything about the market; just that it explains a few things fairly well.

### A.2 The London Stock Exchange (LSE) data set

The London Stock Exchange is composed of two parts, the electronic open limit order book, and the non-electronic upstairs market, which is used to facilitate large block trades. During the time period of our dataset 40% to 50% of total volume was routed through the electronic order book and the rest through the upstairs market. It is believed that the limit order book is the dominant price formation mechanism of the London Stock Exchange: about 75% of upstairs trades happen between the current best prices in the order book LSEbulletin . Our analysis involves only the data from the electronic order book. We chose this data set to study because we have a complete record of every action taken by every participating institution, allowing us to measure the order flows and cancellations and estimate all of the necessary parameters of our model.

We used data from the time period August 1st 1998 - April 30th 2000, which includes a total of 434 trading days and roughly six million events. We chose 11 stocks each having the property that the number of total number of events exceeds 300,000 and was never less than 80 on any given day. Some statistics about the order flow for each stock are given in table 1.

The trading day of the LSE starts at 7:50 with a roughly 10 minute long opening auction period (during the later part of the dataset the auction end time varies randomly by 30 seconds). During this time orders accumulate without transactions; then a clearing price for the opening auction is calculated, and all opening transactions take place at this price. Following the opening at 8:00 the market runs continuously, with orders matched according to price and time priority, until the market closes at 16:30. In the earlier part of the dataset, until September 22nd 1999, the market opening hour was 9:00. During the period we study there have been some minor modifications of the opening auction mechanism, but since we discard the opening auction data anyway this is not relevant.

Some stocks in our sample (VOD for example) have stock price splits and tick price changes during the period of our sample. We take splits into account by transforming stock sizes and prices to pre-split values. In any case, since all measured quantities are in logarithmic units, of the form $`\mathrm{log}(p_1)\mathrm{log}(p_2)`$, the absolute price scale drops out. Our theory predicts that the tick size should change some of the quantities of interest, such as the bid-ask spread, but the predicted changes are small enough in comparison with the effect of other parameters that we simply ignore them (and base our predictions on the limit where the tick size is zero). Since granularity is much more important than tick size, this seems to be a good approximation.

### A.3 Measurement of model parameters

Our goal is to compare the predictions of the model with real data. The parameters of the model are stated in terms of order arrival rates, cancellation rate, order size, and tick size. We choose an appropriate time interval and measure the parameters over that interval, and then compare to the properties of the market over that same interval.

Reconstructing the limit order book on a moment-by-moment basis makes it clear that the properties of the market tend to be relatively stationary during each day, changing more dramatically at the beginning and at the end of day. It is therefore natural to measure each parameter for each stock on each day. Since the model does not take the opening auction into account, we simply neglect orders leading up to the opening auction, and base all our measurements on the remaining part of the trading day, when the auction is continuous. Averaging daily parameters, rather than computing the parameters directly across the whole period, has the important advantage in computing volatility, of neglecting the effect of overnight price movements, which our model does not attempt to explain.

In order to treat simply and in a unified manner the diverse types of orders traders can submit in a real market (for example, crossing limit orders, market orders with limiting price, ‘fill-or-kill, execute & eliminate) we use redefinitions based on whether an order results in an immediate transaction, in which case we call it an *effective market order*, or whether it leaves a limit order sitting in the book, in which case we call it an *effective limit order*. Marketable limit orders (also called crossing limit orders) are limit orders that cross the opposing best price, and so result in at least a partial transaction. The portion of the order that results in an immediate transaction is counted as a effective market order, while the non-transacted part (if any) is counted as a effective limit order. Orders that do not result in a transaction and do not leave a limit order in the book, such as for example, failed fill-or-kill orders, are ignored altogether. These have no affect on prices, and in any case, make up only a very small fraction of the order flow, typically less than 1%. Note that we drop the term “effective”, so that e.g. “market order” means “effective market order”.

A limit order can be removed from the book for many reasons, e.g. because the agent changes her mind, because a time specified when the order was placed has been reached, or because of the institutionally-mandated $`30`$ day limit on order duration. We will lump all of these together, and simply refer to them as “cancellations”.

Our measure of time is based on the number of events, i.e., the time elapsed during a given period is just the total number of events, including effective market order placements, effective limit order placements, and cancellations. We call this *event time*. Price intervals are computed as the difference in the logarithm of prices, which is consistent with the model, in which all price intervals are assumed to be logarithmic in order to assure prices are always positive.

We measure the average value of the five parameters of the model, $`\mu `$, $`\alpha `$, $`\delta `$, $`\sigma `$, and $`dp`$ for each day. This has the advantage that it allows us to skip over the opening auction, but is not essential for this analysis. $`\mu `$, $`\sigma `$, and $`dp`$ are straightforward to measure, but there are problems in measuring $`\alpha `$ and $`\delta `$ that must be understood in order to properly interpret our results.

The parameter $`\mu _t`$, which characterizes the average market order arrival rate on day $`t`$, is straightforward to measure. It is just the ratio of the number of shares of effective market orders (for both buy and sell orders) to the number of events during the trading day. Similarly, $`\sigma _t`$ is the average limit order size222The model assumes that the average size of limit orders and market orders is the same. For the real data this is not strictly true, though as seen in Table 1, it is a good approximation to within about $`20\%`$. For the purposes of the analysis we use the limit order size as the measure because for theoretical reasons we think this is more important than the market order size, but because the two are approximately the same, this will not make a significant difference in the results. in shares for that day.

Measuring the cancellation rate $`\delta _t`$ and the limit order rate density $`\alpha _t`$ is more complicated, due to the highly simplified assumptions we have made for the model. In contrast to our assumption of a constant density for placement of limit orders across the entire logarithmic price axis, real limit order placement is highly concentrated near the best prices (roughly $`2/3`$ of all orders are placed at inside of the best prices), with a density that falls off as a power law as a function of the distance $`\mathrm{\Delta }`$ from the best prices Bouchaud02 ; Zovko02 . In addition, we have assumed a constant cancellation rate, whereas in reality orders placed near the best prices tend to be cancelled much faster than orders placed far from the best prices. We cope with these problems as described below.

In order to estimate the limit order rate density for day $`t`$, $`\alpha _t`$, we make an empirical estimate of the distribution of the relative price for effective limit order placement on each day. For buy orders we define the relative price as $`\mathrm{\Delta }=mp`$, where $`p`$ is the logarithm of the limit price and $`m`$ is the logarithm of the midquote price. Similarly for sell orders, $`\mathrm{\Delta }=pm`$. We then somewhat arbitrarily choose $`Q_t^{\text{lower}}`$ as the 2 percentile of the density of $`\mathrm{\Delta }`$ corresponding to the limit orders arriving on day $`t`$, and $`Q_t^{\text{upper}}`$ as the 60 percentile of $`\mathrm{\Delta }`$. Assuming constant density within this range, we calculate $`\alpha _t`$ as $`\alpha _t=L/(Q_t^{\text{upper}}Q_t^{\text{lower}})`$ where $`L`$ is the total number of shares of effective limit orders within the price interval $`(Q_t^{\text{lower}},Q_t^{\text{upper}})`$ on day $`t`$. These choices are made in a compromise to include as much data as possible for statistical stability, but not so much as to include orders that are unlikely to ever be executed, and therefore unlikely to have any effect on prices.

Similarly, to cope with the fact that in reality the average cancellation rate $`\delta `$ decreases Bouchaud02  with the relative price $`\mathrm{\Delta }`$, whereas in the model $`\delta `$ is assumed to be constant, we base our estimate for $`\delta `$ only on canceled limit orders within the range of the same relative price boundaries $`(Q_t^{\text{lower}},Q_t^{\text{upper}})`$ defined above. We do this to be consistent in our choice of which orders are assumed to contribute significantly to price formation (orders closer to the best prices contribute more than orders that are further away). We then measure $`\delta _t`$, the cancellation rate on day $`t`$, as the inverse of the average lifetime of a canceled limit order in the above price range. Lifetime is measured in terms of number of events happening between the introduction of the order and its subsequent cancellation. Some simple diagnostics of the parameter estimates are presented in Fig. 5.

### A.4 Measuring the price diffusion rate

The measurement of the price diffusion rate requires some discussion. We measure the intraday price diffusion by computing the variance $`V(\tau )`$ of $`m(i\tau )m(i)`$, averaged over different intraday events $`i`$. Here an event is anything that changes the midpoint price $`m`$. If we assume that the events are asymptotically IID, then the estimated slope of the variance plot is the diffusion rate $`D_t`$ for day $`t`$. To compute this we regress $`V(\tau )`$ against $`\tau `$, using the assumption $`V(\tau )=D_t\tau `$. We use an ordinary least squares regression to estimate $`D_t`$, weighting each value of $`\tau `$ by the square root of the number of independent observations. An example of this procedure is given in Fig. 6.

One must bear in mind that the price diffusion rate from day to day has substantial correlations, as illustrated in Fig. 7.

### A.5 Estimating the errors for the regressions

The error bars presented in the text are based on a bootstrapping method. We are driven to use this method for two reasons: First, the spread, price diffusion rates, and parameters are highly cross-correlated between stocks, and second, because order flow variables, spread, and price diffusion rates all have slowly decaying positive autocorrelation functions. Indeed, it has recently been shown that order sign, order volume and liquidity as reflected by volume at the best price, are long-memory processes Bouchaud03.2 ; Lillo03.2 . These effects complicate the statistical analysis, and make the assignment of error bars difficult.

The method we use is inspired by the variance plot method described in Beran beran , Section 4.4. We divide the sample into blocks, apply the regression to each block, and then study the scaling of the deviation in the results as the blocks are made longer to coincide with the full sample. We divide the $`N`$ daily data points for each stock into $`m`$ disjoint blocks, each containing $`n`$ adjacent days, so that $`nN/m`$. We use the same partition for each stock, so that corresponding blocks for each stock are contemporaneous. We perform an independent regression on each of the $`m`$ blocks, and calculate the mean $`M_m`$ and standard deviation $`\sigma _m`$ of the $`m`$ slope parameters $`A_i`$ and intercept parameters $`B_i`$, $`i=1,\mathrm{},m`$. We then vary $`m`$ and study the scaling as shown in Figs. 8 and 9.

Figs. 8(a) and (b) illustrate this procedure for the spread, and Figs. 9(a) and (b) illustrate this for the price diffusion rate. Similarly, panels (c) and (d) in each figure show the mean and standard deviation for the intercept and slope as a function of the number of bins. As expected, the standard deviations of the estimates decreases as $`n`$ increases. The logarithm of the standard deviation for the intercept and slope as a function of $`\mathrm{log}n`$ is shown in panels (e) and (f). For IID normally distributed data we expect a line with slope $`\gamma =1/2`$; instead we observe $`\gamma >1/2`$. For example for the spread $`\gamma 0.19`$. $`|\gamma |<1/2`$ is an indication that this is a long memory process; see the discussion in Section (A.7).

This method can be used to extrapolate the error for $`m=1`$, i.e. the full sample. This is illustrated in panels (e) and (f) in each figure. The inaccuracy in these error bars is evident in the unevenness of the scaling. This is particularly true for the price diffusion rate. To get a feeling for the accuracy of the error bars, we estimate the standard deviation for the scaling regression assuming standard error, and repeat the extrapolation for the one standard deviation positive and negative deviations of the regression lines, as shown in panels (e) and (f) of Figs. 8 and 9 The results are summarized in Table 2.

One of the effects that is evident in Figs. 8(c-d) and 9(c-d) is that the slope coefficients tend to decrease as $`m`$ increases. We believe this is due to the autocorrelation bias discussed in Section (A.6).

### A.6 Longitudinal vs. cross-sectional tests

It is possible to test this model either longitudinally (across different time intervals for a given stock) or cross-sectionally (across different stocks over the same time period). We have applied tests of both types, but due to the very strong autocorrelations of the order flow rates, spread, and price diffusion rates, there are difficulties in getting a clean test of the model longitudinally. In this section we discuss these problems, and discuss some of our results on the longitudinal tests.

*A priori* we would expect to do a better job making cross-sectional rather than longitudinal predictions. Indeed, it is not clear that this model should predict anything at all about longitudinal variations. To see why, imagine that the assumptions of the model are satisfied perfectly, and suppose that the five parameters of the order flow process ($`\mu `$, $`\alpha `$, etc.) for a given stock are fixed in time. Then the only daily variations we would observe in testing the model would be due to sample errors in the estimation process. Even though the assumptions are satisfied perfectly, we would find no correlation between predicted and actual values. To observe such a correlation requires real variations in the parameters of the order flow process. There are also possible problems with relaxation times: If a parameter is suddenly changed, according to the model it takes the system time to reach a new steady state behavior. There are two characteristic times in the model: $`\sigma /\mu `$, which is the characteristic time for removal of limit orders by market orders, and $`1/\delta `$, which is is the characteristic time for spontaneous removal of limit orders. For the data here it appears that $`\sigma /\mu `$ is typically less than a minute, whereas $`1/\delta `$ ranges from a few minutes to a few hours. Thus, $`1/\delta `$ is the slowest relaxation time, and in some cases at least it is potentially problematic for a daily analysis. In addition, there is the very significant problem that real order flows are strongly autocorrelated, discussed below.

Cross-sectionally, in contrast, we expect *a priori* that different stocks should have different parameters. There are likely to be larger variations in the parameters between stocks than in the parameters for a given stock at different times. In addition, for a cross-sectional analysis there are no problems with relaxation times, and in any case averaging over longer periods of time reduces the sampling error. Thus cross-sectional analysis is expected to be more promising and more reliable.

As noted, for the daily analysis, and even for cross-sectional analysis over long periods of time, there are problems caused by the long range autocorrelations of real order flow, spreads, and price diffusion rates. Autocorrelations can remain strongly positive on the order of 50 days. This creates problems in performing the regression, and can result in a systematic bias in the estimated parameters. It causes severe systematic biases and interpretation problems for a daily analysis.

To produce estimates of the average values of the parameters and of the price diffusion and spread across the full 21 month period for the cross-sectional regressions, we have used the event-weighted average of the daily values. The alternative would have been to repeat the measurements as done for the daily data on a 21 month rather than a daily time-scale. However, this latter approach would run into problems because of the opening auction, which is not treated by our model. There are price changes driven by the orders received during the opening auction, and if we measured price diffusion across the full period we would be including these as well as the intra-day price movements. As a simple solution to this problem we use an event-weighted 21 month average of daily values to compute values for each of the order flow parameters, and then make predictions for each stock based on the average values. The weighting is done by the number of events in a day, which for simple quantities such as the market impact rate reduces to something that is equivalent to applying the analysis over the full period. Similarly, to get the 21 month average of the spread and price diffusion we simply compute an event-weighted average of their daily values. We have tried several variations on this procedure and the differences appear to be inconsequential.

When we perform longitudinal regressions at a daily time-scale we get values for the slope coefficient of the regressions that are less than one, often by a statistically significant amount. We believe this is caused by the strong autocorrelation. For example, consider a time series process of the form

$$y_t=ax_t+\rho y_{t1}+n_t$$
(3)
where $`n_t`$ is an IID noise process. In case $`x_t`$ are i.i.d., regressing $`y_t`$ against $`x_t`$ will result in coefficients that are systematically too small, due to the fact that the $`y_{t1}`$ term damps the response of $`y_t`$ to changes in $`x_t`$. Of course, one can fix this in the simple example above by simply including $`y_{t1}`$ in the regression greene . For the real data, however, the autocorrelation structure is more complicated – indeed we believe it is a long-memory process – which is not well modeled by an AR process in the above form. Without finding a proper characterization of the autocorrelation structure, we are likely to make errors in estimating the dependence of the predicted and actual values. This is borne out in the error analysis presented in Section (A.5), where we see that as we break the data into shorter subsamples, the estimated slope coefficients systematically decrease for the spread and the price diffusion.

If we fit a function of the form $`\varphi (\omega )=K\omega ^\beta `$ to the market impact curve, we get $`\beta =0.26\pm 0.02`$ for buy orders and $`\beta =0.23\pm 0.02`$ for sell orders, as shown in Fig. 10. The functional form of the market impact we observe here is not in agreement with a recent theory by Gabaix et al. Gabaix03 , which predicts $`\beta =0.5`$. While the error bars given are standard errors, and are certainly too optimistic, it is nontheless quite clear that the data are inconsistent with $`\beta =1/2`$, as discussed in Ref. Farmer03 . This relates to an interesting debate: The theory for average market impact put forth by Gabaix et al. follows traditional thinking in economics, and postulates that agents optimize their behavior to maximize profits, while the theory we test here assumes that they behave randomly, and that the form of the average market impact function is dictated by the statistical mechanics of price formation.

### A.7 Market impact

The market impact function is closely related to the more familiar notions of supply and demand. We have chosen to measure average market impact in this paper rather than average relative supply and demand for reasons of convenience. Measuring the average relative supply and demand requires reconstructing the limit order book at each instant, which is both time consuming and error prone. The average market impact function, in contrast, can be measured based on a time series of orders and best bid and ask prices.

At any instant in time the stored queue of sell limit orders reveals the quantity available for sale at each price, thus showing the supply, and the stored buy orders similarly show the revealed demand. The price shift caused by a market order of a given size depends on the stored supply or demand through a moment expansion Smith03 . Thus, the collapse of the market impact function reflects a corresponding property of supply and demand. Normally one would assume that supply and demand are functions of human production and desire; the results we have presented here suggest that on a short timescale in financial markets their form is dictated by the dynamical interaction of order accumulation, removal by market orders and cancellation, and price diffusion.

### A.8 Alternative market impact collapse plots

We have demonstrated a good collapse of the market impact using nondimensional units. However, in deciding what “good” means, one should compare this to the best alternatives available. We compare to three such alternatives. In figure 11, the top left

pane shows the collapse when using non-dimensional units derived from the model (repeated from the main text). The top right plot shows the average market impact when we instead normalise the order size by its sample mean. Order size is measured in units of shares and market impact is in log price difference. The bottom left attempts to take into account daily variations of trading volume, normalising the order size by the average order size for that stock on that day. In the bottom right we use trade price to normalise the order sizes which are now in monetary units (British Pounds). We visually see that none of the alternative rescalings comes close to the collapse we obtain when using non-dimensional units; because of the much greater dispersion, the error bars in each case are much larger.

### A.9 Error analysis for market impact

Assigning error bars to the average market impact is difficult because the absolute price changes $`\mathrm{\Delta }p`$ have a slowly decaying positive autocorrelation function. This may be a long-memory process, although this is not as obvious as it is for other properties of the market, such as the volume and sign of orders Bouchaud03.2 ; Lillo03.2 . The *signed* price changes $`\mathrm{\Delta }p`$ have an autocorrelation function that rapidly decays to zero, but to compute market impact we sort the values into bins, and all the values in the bin have the same sign. One might have supposed that because the points entering a given bin are not sequential in time, the correlation would be sufficiently low that this might not be a problem. However, the autocorrelation is sufficiently strong that its effect is still significant, particularly for smaller market impacts, and must be taken into account.

To cope with this we assign error bars to each bin using the variance plot method described in, for example, Beran beran , Section 4.4. This is a more straightforward version of the method discussed in Section (A.5). The sample of size $`N=434`$ is divided into $`m`$ subsamples of $`n`$ points adjacent in time. We compute the mean for each subsample, vary $`n`$, and compute the standard deviation of the means across the $`m=N/n`$ subsamples. We then make use of theorem 2.2 from Beran beran  that states that the error in the $`n`$ sample mean of a long-memory process is $`\widehat{e}=\sigma n^\gamma `$, where $`\gamma `$ is a positive coefficient related to the Hurst exponent and $`\sigma `$ is the standard deviation. By plotting the standard deviation of the $`m`$ estimated intercepts as a function of $`n`$ we estimate $`\gamma `$ and extrapolate to $`n=\text{sample length}`$ to get an estimate of the error in the full sample mean. An example of an error scaling plot for one of the bins of the market impact is given in Fig. 12.

A central question about Fig. 4 is whether the data for different stocks collapse onto a single curve, or whether there are statistically significant idiosyncratic variations from stock to stock. From the results presented in Fig. 4 this is not completely clear. Most of the stocks collapse onto the curve for the pooled data (or the pooled data set with themselves removed). There are a few that appear to make statistically significant variations, at least if we assume that the mean value of the bins for different order size levels are independent. However, they are most definitely *not* independent, and this non-independence is difficult to model. In any case, the variations are always fairly small, not much larger than the error bars. Thus the collapse gives at least a good approximate understanding of the market impact, even if there are some small idiosyncratic variations it does not capture.

### A.10 Extending the model

In the interest of full disclosure, and as a stimulus for future work, in this section we detail the ways in which the current model does not accurately match the data, and sketch possible improvements. This model was intended to describe a few average statistical properties of the market, some of which it describes very well. However, there are several aspects that it does not describe well, such as the scale-free power law properties. This would require a more sophisticated model of order flow, including a more realistic model of price dependence in order placement and cancellations Bouchaud02 ; Zovko02 , long-memory properties Bouchaud03.2 ; Lillo03.2  and the relationship of the different components of the order flow to each other. This is a much harder problem, and is likely to require a more complicated model. While this would have some advantages, it would also have some disadvantages.

Some market properties that might profit from such an improved model are detailed below.

* *Price diffusion.* The variance of real prices obeys the relationship $`\sigma ^2(\tau )=D\tau ^{2H}`$ to a good approximation for all values of $`\tau `$, with $`H`$ close to and typically a little greater than $`0.5`$. In contrast, under Poisson order flow, due to the dynamics of the double continuous auction price formation process, prices make a strongly anti-correlated random walk, so that the function $`\sigma ^2(\tau )`$ is nonlinear. Asymptotically $`H=0.5`$, but for shorter times $`H<0.5`$. Alternatively, one can characterize this in terms of a timescale-dependent diffusion rate $`D(\tau )`$, so that the variance of prices increases as $`\sigma ^2(\tau )=D(\tau )\tau `$. Refs. Daniels03 ; Smith03  showed that the limits $`\tau 0`$ and $`\tau \mathrm{}`$ obey well-defined scaling relationships in terms of the parameters of the model. In particular, $`D(0)\mu ^2\delta /\alpha ^2ϵ^{1/2}`$, and $`D(\mathrm{})\mu ^2\delta /\alpha ^2ϵ^{1/2}`$. Interestingly, and for reasons we do not fully understand, the prediction $`D(0)`$ does a good job of matching the real data, as we have shown here, while $`D(\mathrm{})`$ does a poor job. Note that it is very interesting that the double continuous auction produces anti-correlations in prices, even with no correlation in order flow. One can turn this around: Given that prices are uncorrelated, there must be correlations in order flow. And indeed this is observed to be the case Bouchaud03.2 ; Lillo03.2 .
* *Market efficiency*. The question of market efficiency is closely related to price diffusion. The anti-correlations mentioned above imply a market inefficiency. We are investigating the addition of “low-intelligence” agents to correct this problem.
* *Correlations in spread and price diffusion.* We have already discussed in Section (A.6) the problems that the autocorrelations in spread and price diffusion create for comparing the theory to the model on a daily scale.
* *Lack of dependence on granularity parameter.* In Section (A.7) we discuss the fact that the model predicts more variation with the granularity parameter than we observe. Apparently the Poisson-based non-dimensional coordinates work even better than one would expect. This suggests that there is some underlying simplicity in the real data that we have not fully captured in the model.

Although in this paper we are stressing the fact that we can make a useful theory out of zero-intelligence agents, we are certainly not trying to claim that intelligence doesn’t play an important role in what financial agents do. Indeed, one of the virtues of this model is that it provides a benchmark to separate properties that are driven by the statistical mechanics of the market institution from those that are driven by conditional intelligent behavior.


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# Magnon-Hole Scattering and Charge Order in 𝐒𝐫_{𝟏𝟒-𝐱}𝐂𝐚_𝐱𝐂𝐮_𝟐𝟒𝐎_𝟒𝟏

## Abstract

The magnon thermal conductivity $`\kappa _{\mathrm{mag}}`$ of the hole doped spin ladders in $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ has been investigated at low doping levels $`x`$. The analysis of $`\kappa _{\mathrm{mag}}`$ reveals a strong doping and temperature dependence of the magnon mean free path $`l_{\mathrm{mag}}`$ which is a local probe for the interaction of magnons with the doped holes in the ladders. In particular, this novel approach to studying charge degrees of freedom via spin excitations shows that charge ordering of the holes in the ladders leads to a freezing out of magnon-hole scattering processes.

The interplay between charge and spin degrees of freedom is a crucial aspect of the physics of transition metal oxides. For example, the pairing mechanism in high-temperature superconductors is most likely related to magnetic excitations. Moreover, the competition between charge mobility and magnetic interactions appears to be the source of charge ordering phenomena Kivelson et al. (1998); Moreo et al. (1999); Zaanen (1999), such as stripes in cuprates and nickelates or phase separation in manganites. Experimental studies yield in particular clear-cut evidence that static stripe order and superconductivity are competing ground states in two dimensional cuprates Zaanen (1999); Klauss et al. (2000). A similar competition has been predicted from theoretical analysis of hole doped S=1/2 spin ladders as a one-dimensional model system Dagotto et al. (1992); Dagotto and Rice (1996). Such hole-doped spin ladders are realized in the compound $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$, where via Ca-doping the hole-doping level in the ladders can be controlled since holes are redistributed between the ladders and the also-present spin chains Nücker et al. (2000); Osafune et al. (1997). At first sight, the available experimental data on this material seem to support the predicted scenario of competing charge ordering and superconducting ground states: charge order, which has been reported in the chemically undoped compound $`\mathrm{Sr}_{14}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ Takigawa et al. (1998); Regnault et al. (1999); Kataev et al. (2001); Blumberg et al. (2002); Gorshunov et al. (2002), gradually destabilizes upon Ca-doping Matsuda et al. (1999); Kataev et al. (2001); Vuletić et al. (2003) and superconductivity eventually occurs at high doping levels if high external pressure is applied Uehara et al. (1996). However, it is difficult to experimentally prove the existence of charge order in the ladders, since $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ also contains hole doped spin chains, whose charge ordered ground state is well established Takigawa et al. (1998); Regnault et al. (1999); Kataev et al. (2001). Moreover, no direct information currently exists concerning the interplay between charge dynamics and magnetic excitations in the ladders.

In general, transport experiments are an excellent tool for investigating the interplay between different degrees of freedom since they probe the scattering and dissipation of excitations. Electron-phonon, electron-electron and electron-magnon scattering, for example, can be studied via electrical resistivity $`\rho `$. In the case of charge ordering, however, the drastic change of charge mobility rather than scattering dominates the anomalies of electrical transport. We therefore use a novel approach and study electronic degrees of freedom via the electron-magnon interaction by measuring the transport and scattering of magnetic excitations. As has been demonstrated in Ref. Hess et al. (2001); Sologubenko et al. (2000); Hess et al. (2003), the thermal conductivity $`\kappa `$ is a valuable tool for this purpose, since magnetic contributions to this quantity yield the mean free path of magnetic excitations. In $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$, magnon heat transport along the ladders generates a strong anisotropy in the $`\kappa `$ tensor. While conventional phonon heat conduction is observed perpendicular to the ladders, $`\kappa `$ is much larger and often exhibits a high-temperature peak due to magnon contributions Hess et al. (2001); Sologubenko et al. (2000); Hess et al. (2002).

In this letter we utilize this magnon heat transport to selectively investigate the interaction between magnons and holes in the ladders by means of magnon hole scattering. We show that the temperature dependence of the magnon mean free path $`l_{\mathrm{mag}}`$ in the ladders is unambiguously correlated with the mobility of holes. Charge ordering in the ladders is accompanied by a drastic enhancement of $`l_{\mathrm{mag}}`$: the scattering probability, which is close to unity for mobile holes, vanishes in the charge ordered state.

We have measured $`\kappa `$ and $`\rho `$ of $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ ($`x=0`$, 2, 3, 4, 5) single crystals with standard four probe techniques Hess et al. (1999, 2001). Details of the sample preparation were published in Ref. Ammerahl et al. (1998).

In Fig. 1 we present the $`T`$-dependence of the thermal conductivity parallel ($`\kappa _c`$) and perpendicular ($`\kappa _a`$, $`\kappa _b`$) to the ladders of $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ ($`x=0`$, 2, 3, 4, 5). The signature of the one-dimensional magnetic heat transport is most evident for $`x=0`$. Here, a typical phonon thermal conductivity is found for $`\kappa _a`$ and $`\kappa _b`$. In addition to such a phononic background in $`\kappa _c`$, a huge peak due to magnons is present at higher $`T`$. Similar magnon peaks are also observed for the Ca-doped materials with $`x3`$. It is, however, evident that with increasing $`x`$ the peak shifts gradually towards lower $`T`$ and its maximum strongly decreases. It is eventually absent completely for $`x=4`$ and $`x=5`$. Nevertheless, there is a pronounced anisotropy between $`\kappa _a`$ and $`\kappa _c`$ also at this higher doping level: for $`T20`$ K $`\kappa _a`$ monotonically decreases whereas $`\kappa _c`$ exhibits a minimum around 100 K and increases with further rising $`T`$, exceeding the phononic $`\kappa _a`$ by up to a factor of five at room temperature. We thus conclude that magnon heat conduction still contributes significantly to $`\kappa _c`$ also in these cases Hess et al. (2002).

Due to the large spin gap Eccleston et al. (1998); Katano et al. (1999) the magnon thermal conductivity $`\kappa _{\mathrm{mag}}`$ is negligible below $`T40`$ K Hess et al. (2001). This can be used to separate the phonon and magnon contributions. We fitted $`\kappa _c`$ for $`T40`$ K with a usual Debye model Callaway and von Baeyer (1960) and extrapolated this fit up to $`T=300`$ K in order to obtain the phonon thermal conductivity $`\kappa _{\mathrm{ph}}`$ (solid lines in Fig. 1). Subtraction of $`\kappa _{\mathrm{ph}}`$ from $`\kappa _c`$ yields $`\kappa _{\mathrm{mag}}`$ which is shown in the top panel of Fig. 2.

Prior to discussing the effect of Ca-doping on $`\kappa _{\mathrm{mag}}`$ we briefly review the differences between $`\kappa _{\mathrm{mag}}`$ of $`\mathrm{Sr}_{14}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ and $`\kappa _{\mathrm{mag}}`$ of $`\mathrm{La}_5\mathrm{Ca}_9\mathrm{Cu}_{24}\mathrm{O}_{41}`$, which is also shown in the top panel of Fig. 2 Hess et al. (2001). It is known from spectroscopic experiments that the La-based compound contains undoped ladders, in contrast to $`\mathrm{Sr}_{14}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ where the hole-content in the ladders is finite Osafune et al. (1997); Nücker et al. (2000). The effect of hole-doping on $`\kappa _{\mathrm{mag}}`$ can therefore immediately be observed. For $`T100`$ K $`\kappa _{\mathrm{mag}}`$ increases with $`T`$ almost identically for both compounds. Pronounced differences occur only at higher $`T`$: $`\kappa _{\mathrm{mag}}`$ of $`\mathrm{La}_5\mathrm{Ca}_9\mathrm{Cu}_{24}\mathrm{O}_{41}`$ exhibits a large peak ($`140\mathrm{Wm}^1\mathrm{K}^1`$ at $`180`$ K) and stays very large even at room temperature ($`100\mathrm{Wm}^1\mathrm{K}^1`$). In contrast, the peak is much smaller in the case of $`\mathrm{Sr}_{14}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ ($`75\mathrm{Wm}^1\mathrm{K}^1`$ at $`150`$ K). Here $`\kappa _{\mathrm{mag}}`$ decreases much more strongly at high $`T`$ and saturates at $`\kappa _{\mathrm{mag}}10\mathrm{Wm}^1\mathrm{K}^1`$ for $`T240`$ K.

The strong suppression of $`\kappa _{\mathrm{mag}}`$ in $`\mathrm{Sr}_{14}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ at high temperatures must be related to scattering of the magnons on holes, since structural defects due to different ions on the Sr-site are known to not influence $`\kappa _{\mathrm{mag}}`$ and therefore the hole doping is the only difference with respect to the undoped ladders. Since both $`\kappa _{\mathrm{mag}}`$ curves are almost identical below $`T_0100`$ K, this scattering mechanism obviously becomes completely unimportant below $`T_0`$ and unfurls its full strength above a characteristic temperature $`T^{}240`$ K. The comparison with $`\kappa _{\mathrm{mag}}`$ of the Ca-doped samples (see Fig. 2, top panel) reveals that $`T_0`$ and $`T^{}`$ are gradually shifted towards lower $`T`$; i.e., the temperature region where $`\kappa _{\mathrm{mag}}`$ is suppressed extends and magnon-hole-scattering also becomes important at low $`T`$. Apparently, at $`x=4`$, 5 this region becomes so wide that even the peak at low $`T`$ is suppressed.

In order to elucidate the origin of this interesting observation we have analyzed $`\kappa _{\mathrm{mag}}`$ of $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ and calculated $`l_{\mathrm{mag}}`$ as a function of $`T`$. In Ref. Hess et al. (2001) $`\kappa _{\mathrm{mag}}`$ of $`\mathrm{Sr}_{14}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ and $`\mathrm{La}_5\mathrm{Ca}_9\mathrm{Cu}_{24}\mathrm{O}_{41}`$ was analyzed using a kinetic model. A different analysis of the data based on a microscopic model leads to qualitatively similar results, though the values of $`l_{\mathrm{mag}}`$ are smaller Alvarez and Gros (2002). We nevertheless use the simple kinetic approach in the following analysis, since more recent calculations Heidrich-Meisner et al. (2004) differ from the results in Alvarez and Gros (2002). Moreover, preliminary studies of impurity effects strongly support the larger $`l_{\mathrm{mag}}`$ reported in Hess et al. (2001).

Firstly, $`\kappa _{\mathrm{mag}}`$ is fitted at low $`T`$ with

$$\kappa _{\mathrm{mag}}=\frac{3Nl_{\mathrm{mag}}}{\pi \mathrm{}k_BT^2}_{\mathrm{\Delta }_{\mathrm{ladder}}}^{ϵ_{\mathrm{max}}}\frac{\mathrm{exp}(ϵ/k_BT)}{(\mathrm{exp}(ϵ/k_BT)+3)^2}ϵ^2𝑑ϵ$$
(1)
where $`N`$ is the number of ladders per unit area and $`ϵ_{\mathrm{max}}200`$ meV is the band maximum of the spin excitations Eccleston et al. (1998). This yields the spin gap $`\mathrm{\Delta }_{\mathrm{ladder}}`$ and $`l_0`$, i.e., the low-$`T`$ value of $`l_{\mathrm{mag}}`$ which is assumed to be constant in the fitting range Hess et al. (2001). $`l_{\mathrm{mag}}=l_0`$ arises when scattering on quasiparticles freezes out and magnon-defect scattering dominates. The second step of the analysis comprises the calculation of $`l_{\mathrm{mag}}(T)`$ by comparing experimental and theoretical data of $`\kappa _{\mathrm{mag}}`$ using Eq. 1 with a known value for $`\mathrm{\Delta }_{\mathrm{ladder}}`$. Due to the strong suppression of $`\kappa _{\mathrm{mag}}`$ in the higher Ca-levels, such a determination of $`\mathrm{\Delta }_{\mathrm{ladder}}`$ and $`l_0`$ is only reasonable for $`x2`$. Therefore, we use $`\mathrm{\Delta }_{\mathrm{ladder}}/k_B=377`$ K as known from neutron scattering Eccleston et al. (1998); Katano et al. (1999) for the calculation of $`l_{\mathrm{mag}}(T)`$ for $`x3`$.

In order to separate scattering effects due to holes from the total $`l_{\mathrm{mag}}`$ we apply Matthiesen’s rule $`1/l_{\mathrm{mag}}=1/l_0+1/l_h`$, where $`l_h`$ denotes the hole-scattering part of $`l_{\mathrm{mag}}`$ and is a measure for the importance of magnon-hole scattering foot2a . $`l_h`$ is related to the mean distance of holes $`d_h`$ via the effective scattering probability $`\gamma _h`$ by $`l_h=d_h/\gamma _h`$. While $`l_0`$ is known from our fits of the low-$`T`$ increase of $`\kappa _{\mathrm{mag}}`$ for $`x2`$, $`l_0=3000\pm 1000`$ Å has been assumed foot2 .

$`l_h(T)`$ of $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ is depicted in the bottom panel of Fig. 2. Obviously, $`l_h`$ systematically decreases with increasing Ca-content which is strong evidence for the growing importance of magnon-hole scattering upon Ca-doping, i.e., with increasing hole content in the ladders. All curves also decrease with rising $`T`$ and saturate around 50-80 Å, which is of the same order of magnitude as the mean distance of holes $`d_h30`$ Å Nücker et al. (2000) (cf. inset of Fig. 2). At room temperature magnons appear to be strongly scattered on holes with a scattering probability $`\gamma _h=d_h/l_h=0.51`$, which is also consistent with the pronounced suppression of $`\kappa _{\mathrm{mag}}`$ above $`T^{}`$. Note that in this high-$`T`$ range the uncertainty in $`\kappa _{\mathrm{ph}}`$ leads to a relative error in $`l_h`$ of about 50% which explains the apparent non systematic high-$`T`$ behavior of $`l_h`$.

It is possible to read off the characteristic temperature $`T^{}`$ from these curves for $`x3`$, since it separates an almost constant high-$`T`$ behavior from a steep $`T`$-dependence at low $`T`$. This $`T`$-dependence is clearly correlated with the electrical resistivity $`\rho `$ as is evident from our measurements along the $`c`$-axis ($`\rho _c`$) depicted in Fig. 3. For $`x2`$ the highly similar $`T`$-dependence of $`\rho _c`$ and $`l_h`$ is apparent foot3 . In order to show this correlation of $`l_h`$ and $`\rho `$ also for higher doping levels, we compare in Fig. 4 the logarithmic derivatives of $`l_h`$ and $`\rho _c`$, i.e., $`\delta _h=\frac{d}{d(1/T)}\mathrm{ln}l_h`$ (open circles) and $`\delta _e=\frac{d}{d(1/T)}\mathrm{ln}\rho _c`$ (full circles) foot4 . As is obvious from the figure, $`\delta _h`$ and $`\delta _e`$ exhibit a very similar $`T`$-dependence for all $`x`$. This proves unambiguously that the magnon heat transport and the electric transport are closely linked to each other and that charge degrees of freedom are by far the strongest scatterers of spin excitations. Since the peaks in $`\delta _e`$ are signatures of the charge ordering in this material Carter et al. (1996), the freezing-out of magnon-hole scattering has to be attributed to the formation of this charge ordered state.

It is however very surprising that this scattering channel vanishes completely in the charge ordered state. In the framework of our model there are two possible scenarios to interprete this intriguing finding. Since $`\kappa _{\mathrm{mag}}`$ selectively probes the magnetic excitations in the ladders, either the relevant hole concentration in the ladders decreases drastically below $`T^{}`$, or the scattering probability $`\gamma _h`$ vanishes upon charge ordering in the ladders.

The first scenario seems to be supported by a recent $`{}_{}{}^{17}\mathrm{O}`$-NMR study Thurber et al. (2003). A strong change of the electrical field gradient is observed below $`T^{}`$ which the authors interpret in terms of a complete transfer of holes from the ladders to the chains below $`T^{}`$. This interpretation, however, is not supported by preliminary x-ray absorption spectroscopy (XAS) data on these compounds Nücker and C. Hess et al. (unpublished data), which clearly show that the spectra of the charge ordered state differ drastically from the spectra of undoped ladders. The XAS data do indeed exhibit some clearcut changes at $`T^{}`$; however, the change of the hole distribution between ladders and chains as signalled by these data is only subtle, if present at all.

The second scenario, i.e., the reduction of the scattering probability at constant hole content, is reasonable if the charge order is connected with a periodic modulation of the spin density. Though possible, it seems unlikely that the periodic arrangement of the holes is the only reason for the strong suppression of scattering. In order to be compatible with the large $`\kappa _{\mathrm{mag}}`$ and $`l_{\mathrm{mag}}`$ at low $`T`$ the charge order would have to be perfect on a unrealistically large lengthscale with a correlation length $`\xi l_0`$.

Further studies are necessary to clarify the origin of the drastic change of $`l_{\mathrm{mag}}`$ at $`T^{}`$. For example, one might speculate that of hole pair formation and/or a change of the orbital character of the ladder’s hole states, as could be signalled by the NMR and XAS data, play a relevant role in the magnetic heat transport. Besides these uncertainties, however, there are also clear-cut conlusions to be made from our data. Firstly, charge ordering is indeed present in the ladders of $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$. This charge ordering is strongly linked to magnetic degrees of freedom. Finally, measuring the magnon heat transport is a valuable tool to study the interaction of charge and spin degrees of freedom.

In conclusion, we have shown that the magnon heat conductivity $`\kappa _{\mathrm{mag}}`$ of $`\mathrm{Sr}_{14\mathrm{x}}\mathrm{Ca}_\mathrm{x}\mathrm{Cu}_{24}\mathrm{O}_{41}`$ is strongly affected by magnon-hole scattering. Drastic temperature and doping dependent changes have been found to be clearly correlated with anomalies of electronic transport. Our data suggest charge ordering in the ladders, which has a strong impact on magnetic degrees of freedom.

This work has been supported by the DFG through SP1073. C.H. acknowledges support by the DFG through HE3439/3-1. M.H. acknowledges support by the U.S. Department of Energy, under Contract No. DE-AC02-98CH10886. We further thank W. Brenig and F. Heidrich-Meisner for stimulating discussions and A.P. Petrovic for proofreading the manuscript.