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# On the age and mass function of the globular cluster M 4: a different interpretation of recent deep HST observationsBased on observations with the NASA/ESA Hubble Space Telescope, obtained at the Space Telescope Science Institute, which is operated by AURA for NASA under contract NAS5-26555

## 1 Introduction

Stars in the metal-poor globular clusters (GCs) of our Galaxy’s halo are currently the oldest objects known whose age can be determined by present means, thereby setting a firm lower limit on the age of the Universe and allowing independent confirmation by other means of the age recently obtained with WMAP (Bennett et al. 2003). The best measurements so far based on main sequence (MS) fitting yield a value of the age of the oldest GC of $`12.5`$ Gyr with a $`95\%`$ confidence range of $`2.5`$ Gyr (Krauss 2001; Gratton et al. 2003), with the largest contribution to the measurement error coming from the distance uncertainty. Taken at face value, this number compares favourably with the expansion age of the Universe implied by WMAP (Bennett et al. 2003) and by the most recent $`H_\mathrm{O}`$ and geometry measurements ($`13\pm 3`$ Gyr; Lahav 2001) as well as with the results of radioactive dating of a very metal-poor star ($`12.5\pm 3.0`$ Gyr; Cayrel et al. 2001).

A comparison between the measured expansion age of the universe and the GC limit will also shed light on the presently uncertain and controversial issue of the time of formation of the oldest halo GCs (Gnedin, Lahav & Rees 2001). Current estimates of the epoch of formation of these objects range from a minimum of $`10100`$ Myr, if they were formed at the epoch of recombination, to a maximum of 5 Gyr, if they were formed as the result of thermal instabilities in the Galactic halo (Fall & Rees 1985). This enormous range can be significantly reduced with a precise measurement of a GC age which, in turn, might help us to determine, for example, whether the Galactic halo formed from the accretion of dwarf galaxies or from protogalactic cloud collapse (Mould 1998). What is really needed is a GC age measurement in the range $`1015`$ Gyr with a $`2\sigma `$ uncertainty of $`10\%`$ or less, comparable to the current precision on $`H_\mathrm{O}`$.

Since the main obstacle by far to a more precise determination of GC ages lies in the uncertainty on their distance, the situation is unlikely to change significantly until well after the launch of GAIA and SIM in the next decade. In this regard, WDs could play an important rôle both as distance indicators and as cosmo-chronometers and allow measurements more accurate than the MS turn-off method. As recognised early on by Mestel (1952), the decrease of the WD brightness with time is the result of a cooling process so that the luminosity of a WD indicates its age. Unlike the turn off age–luminosity relationship, the cooling timescale is independent of the original chemical composition of the progenitor star. Cooling is generally rather fast, except during the crystallisation of the core that lasts for several Gyr. Thus, a pile up of WDs is expected in the CMD of an old stellar system. In practice, the WD luminosity function (LF) should present a peak corresponding to the portion of WDs close to the end of their crystallisation phase, followed by a sharp cutoff. The luminosity of this peak is a powerful age indicator that has been already used to date the Galactic disc (Leggett et al. 1998) as well as some open clusters (Von Hippel & Gilmore 2000; Richer et al. 1998). Owing to the intrinsic faintness at which the WD LF peaks in very old stellar systems, the extension of this method to most GCs has remained thus far just a dream (see Fontaine, Brassard & Bergeron 2001 for a detailed discussion of the present state of the art). At least for the nearest GCs, however, this goal is within the reach of the HST. Indeed, using deep observations of the WD cooling sequence of M 4 obtained with the WFPC2 camera, Hansen et al. (2002) have reported a determination of the age of the cluster M 4 to be 12.7 Gyr to within $`\pm 0.7`$ Gyr at the $`2\sigma `$ level, thus attaining that accuracy needed to set meaningful constraints on the age of the universe, as well as concordance with it.

Obviously, reliable ages can be obtained only if an adequate calibration of the age–luminosity relationship is available. This problem has been recently reviewed by Prada Moroni & Straniero (2002; hereafter PMS02). They showed that, although in principle cosmo-chronology based on WDs is a promising tool, in practice the large discrepancies amongst the recently published theoretical cooling sequences imply that a firm calibration of the age–luminosity relationship is not yet available, especially for the range of ages suitable for GCs. The main reason for the quoted discrepancies is the large uncertainty in the input physics needed to model the WD structure and its evolution. In particular, models depart progressively from one another at low luminosities (see Figure 1 in PMS02), where they are very sensitive to the details of the physics of WD interiors and, thus, provide ages that can vary by as much as 3 Gyr at $`\mathrm{log}L/L_{}=5.5`$. The key issue is that, since the cooling ages predicted by different models begin to depart considerably from one another for luminosities $`\mathrm{log}L/L_{}4.5`$, any hope to discriminate between competing theories by verifying the validity of their predictions rests on our ability of securing a statistically complete sample of WDs fainter than that luminosity.

We have, therefore, subjected the same data used by Hansen et al. (2002) to an independent scrutiny to verify at which level of significance they allow one to accept or reject a different set of WD cooling models, namely those of PMS02.

## 2 The data

The data used in this paper have been obtained with the WFPC2 on board the HST as part of programme 8679 and are briefly described in Richer et al. (2002). The target is a region located $`5^{}`$ E of the nominal centre of M 4 and has been imaged through the F606W filter (98 images of duration 1300 s each) and in the F814W filter (148 images each of duration 1300 s). Displacements of a fraction of a pixel (dithering) have been applied between subsequent exposures in order to improve the sampling of the point spread function (PSF) and to mitigate the effects of cosmetic defects (Hook & Fruchter 2000). We have retrieved the complete dataset from the ESO/ST-ECF archive by making use of the recalibration on-the-fly and automated association options (Micol & Durand 2002) to register and combine all images in the same bandpass in a fully automated way. The accuracy of the registration and combination procedures has been verified by comparing the properties of the PSF in the individual images and in the combined ones. We find that the full width at half maximum (FWHM) of stars in the frame increases by about 15 %, as is typical of any shift-and-add operation conducted on undersampled images. A known feature of this automated processing is the incorrect subtraction of a constant sky from the final image, which has, however, no effect on the accuracy of our measurements, since the latter have been carried out via aperture photometry with the background estimated locally in an annulus surrounding each object.

The equivalent exposure time of the final combined images (127,400 s in F606W and 192,400 s in F814W) is such that stars with colour $`m_{606}m_{814}1`$ have similar signal-to-noise ratio (SNR) in both bands. To make the detection of both blue and red stars more robust, we have registered the final images with one another and run the IRAF apphot.daofind routine on the averaged frame. It is our practice to conservatively set the detection threshold at $`5\sigma `$ above the local average background level to ensure that most noise spikes and PSF artefacts are automatically rejected. In this case, however, since we had combined the final F606W and F814W frames, we decided to lower the limit to $`4\sigma `$ so as to avoid that very blue or very red stars would be missed in the average image which could have otherwise been detected at the $`5\sigma `$ level in at least one of the two individual frames. We then carefully examined by eye each individual object detected by daofind and discarded saturated stars, a number of features even above $`4\sigma `$ (PSF tendrils, noise spikes, etc.) that daofind had interpreted as stars, as well as several extended objects (with FWHM larger than twice that typical of point sources). The number of well defined objects detected in this way amounts to $`1730`$ in the three WF chips (we did not reduce the PC frame for it contains very few stars and would add minimally to the statistics).

Crowding not being severe, stellar fluxes were measured by using the standard digiphot.apphot IRAF aperture photometry routine, following the prescription of the “core aperture photometry” technique described in De Marchi et al. (1993). In particular, we adopted an aperture radius of 2 pixel and a background annulus extending from 3 to 5 pixel in radius. Aperture corrections were calculated for an infinite aperture and the instrumental magnitudes calibrated in the HST magnitude system (VEGAMAG) by adopting the zero points listed in the January 2002 edition of the HST Data Handbook (Mobasher et al. 2002). The photometric uncertainty ranges from $`0.01`$ mag at $`m_{606}19`$, $`m_{814}18`$ to $`0.35`$ mag at $`m_{606}28.5`$ and $`0.25`$ mag at $`m_{814}27`$. The photometric uncertainties in each band, combined in quadrature, provide the error error on the colour.

To assess in a statistical way the completeness of our photometry, we have run artificial star tests by adding, in repeated trials, several fake stars of known brightness and subjecting each artificial image to the same star finding and aperture photometry routines used for the science frames. Because of the conservative detection threshold adopted ($`4\sigma `$ above the local background), an artificial star is always recovered unless it overlaps with a brighter feature, such as another star, an extended object, a spider ghost, a noise spike or other feature. The completeness is, therefore, set at any magnitude by the fraction of area which is free of brighter objects. The recovery fraction is always larger than $`95\%`$ above $`m_{814}=24.5`$ and slowly decreases to $`80\%`$ at $`m_{814}=25.7`$ and to $`50\%`$ at $`m_{814}=26.8`$. The difference between the input and recovery magnitudes is consistent with the photometric errors quoted above.

## 3 The main sequence colour–magnitude diagram and luminosity function

From the photometry obtained as explained in the previous section, we derive the colour–magnitude diagram (CMD) shown in Figure 1. The dashed lines mark, for both bands, the magnitude limit at which the photometry reaches the $`50\%`$ completeness level and happen to correspond, in this particular case, to those objects whose central PSF pixel rises above the local background level by 5 times the standard deviation of the latter. This condition is, therefore, more stringent than that set by the $`4\sigma `$ detection limit and suggests that we exclude from the analysis that follows the objects below the dashed lines, since their statistical significance would be anyhow too uncertain. The cluster MS is narrow and well defined in the range $`17.5m_{814}23`$. At the bright end, the MS is truncated because of saturation (which, at least for the central PSF pixel, extends up to $`m_{814}19.3`$), whilst below $`m_{814}23.5`$ it becomes practically indistinguishable from field stars (which, at that magnitude, span rather uniformly the colour range $`1m_{606}m_{814}3`$ to the left of the MS), well before the onset of any significant appreciable photometric incompleteness.

The solid line drawn next to the MS represents the theoretical isochrone for an age of 10 Gyr and metallicity of $`[M/H]=1`$ as obtained by Baraffe et al. (1997) in the specific bandpasses used here for a distance modulus $`(mM)_V=12.83`$ and colour excess $`E(BV)=0.36`$ (Harris 1996), which in turn imply $`(mM)_I=12.25`$. As already noticed by Bedin et al. (2001), who analysed shallower exposures of the same area of M 4 collected with the WFPC2 in the F555W and F814W filters, the match between the observed and predicted MS is rather poor. They attribute this discrepancy to the inadequate treatment of the atmospheric opacity in the V band (F555W) compared to redder colours, yet we find that the situation does not improve even when the redder F606W band is used instead of the F555W one. By shortening the distance modulus of about $`0.5`$ mag, one could better fit the lower portion of the MS, but the isochrone would then fail to reproduce the observations at the bright end, where models are known to be accurate. Adopting a different set of theoretical models (Cassisi et al. 2000; Montalban, D’Antona & Mazzitelli 2000) does not improve the fit. Certainly, a trustworthy isochrone drawn in the plane of the observed colours would facilitate the selection of true MS stars even at faint magnitudes, below $`m_{814}23`$, where the MS ridge line becomes increasingly uncertain. Sophisticated techniques exist which use proper motion information from data collected at different epochs to isolate bona-fide cluster objects from field stars (see e.g. King et al. 1998 and Richer et al. 2002 for the same dataset discussed here). As we show in the following, even with this technique, the sparseness of the MS and the lack of knowledge of its colour hamper the characterisation of its lower end.

We use the colour and magnitude information contained in the CMD shown in Figure 1 to measure the LF for MS stars. We first determine the MS ridge line by searching for the mode of the colour distribution as a function of the magnitude. We use magnitude bins whose size increases progressively from $`0.2`$ mag at $`m_{814}=19`$ to $`0.4`$ mag at $`m_{814}=23.5`$ and a step along the magnitude axis equal to half the size of the bin. The size of the bins has been selected in this way so that the number of stars sampled is approximately constant, thus minimising statistical fluctuations. An eye-ball fit through the ridge line points found in this way is shown in Figure 2 a (thick solid line). To count the number of stars along the MS we define a band, around the ridge line, whose width is $`\pm 4\sigma `$ (thin solid lines). For $`m_{814}>21`$, we take $`\sigma `$ to be the uncertainty on the $`m_{606}m_{814}`$ colour, whereas at brighter magnitudes we take $`\sigma =0.013`$, namely the colour uncertainty at $`m_{814}=21`$. To account for field star contamination, the number of objects found inside this band is reduced by the number of those detected within the surrounding bands (dashed lines in Figure 2 a), each $`4\sigma `$ in width.

The LF obtained in this way is plotted in Figure 3 (squares) as a function of the apparent (lower axis) and absolute (upper axis) $`m_{814}`$ magnitude. No correction for incompleteness is applied, since the latter is negligible, as stated in Section 2. Error bars reflect the Poisson statistics of the counting process, both on the MS and contaminating stars. As previously noted, at magnitudes fainter than $`m_{814}23.5`$ the increasing photometric error as well as the paucity of cluster stars in the CMD make it impossible to locate the continuation of the MS amidst field stars. For all practical purposes, then, here the MS becomes statistically indistinguishable from field stars and the LF goes to zero.

To overcome this statistical indetermination, we have retrieved from the ESO/ECF archives a set of shallower images of the same cluster region, obtained in 1995 with the WFPC2 in the F555W and F814W bands, in an attempt to separate cluster and field stars through their proper motion. These data, pertaining to HST programme 5461, are described in Ibata et al. (1999). We have subjected these, first epoch, frames to the same automated calibration and registration procedures used for the deeper, second epoch, exposures described above, forming in this way two combined frames with equivalent exposure time of 29,400 s in F555W and 7,200 s in F814W, respectively. Due to the large proper motion of M 4, in the course of the six years between the two epochs cluster objects should have moved, relative to background objects, by about $`0\stackrel{}{.}1`$, or about a whole WF pixel. To measure this displacement, we have followed the approach outlined in King et al. (1998) and have determined the offset of each star in the reference frame defined by some brighter ($`19<m_{814}<21`$) MS objects in its neighborhood. The latter have initially been selected by virtue of their position in the CMD but, through an iterative procedure, eventually only objects moving less than $`0.2`$ pixel with respect to the average of their peers have been retained as reference MS stars. The coordinates of each object are those of its centroid as determined by the standard IRAF centering procedure (apphot.center). They are very robust since, even near the bottom of the MS, at $`m_{814}24`$, the peak of the typical star is detected at the $`50\sigma `$ and $`20\sigma `$ level above the surrounding background, respectively in the first and second epoch F814W combined frame. Furthermore, at both epochs the combined images are well sampled thanks to the many dithered frames concurring to form them.

Figure 2 b shows the CMD of those stars whose position has changed by less than $`0.3`$ pixel between the two epochs (the scatter on the position of the bona-fide MS stars defined above being $`0.1`$ pixel). Overplotted is the same MS band ($`\pm 4\sigma `$ wide) shown in Figure 2 a, which was used to identify obvious outliers not to be included in the counts to derive the LF. The latter is shown as diamonds in Figure 3, also not corrected for incompleteness, and agrees remarkably well with that determined above (boxes) over the common magnitude range. Below $`m_{814}23.5`$, where the LF derived with the MS-width method goes statistically to zero, there are still a few data points in the CMD (Figure 2 b), which we have assumed to be all MS objects if located more or less along the ideal extension of the ridge line. Considering, however, that at about $`1.5`$ mag brighter there are some objects in the same colour range which proper motion attributes to the cluster but which cannot be considered MS stars, it is fair to wonder whether that assumption is correct. For this reason, we consider the corresponding counts in the LF as upper limits.

Also shown in Figure 3 is the LF obtained by Bedin et al. (2001) by combining the first epoch data discussed above with some shallower WFPC2 exposures (5,300 s long) in the F814W band alone, collected in the year 2000 (crosses). We do not plot their error bars so as not to clutter the graph further, but the agreement is remarkable, thus independently confirming the validity of proper motion studies, even when one of the two epochs only provides information in one band.

Deriving the properties of the mass function (MF) underlying the LF shown in Figure 3 requires the use of a mass–luminosity (M–L) relationship appropriate for the metallicity of the cluster. As mentioned in Section 2 (see Figure 1), no isochrones today exist that can reproduce the shape of the observed MS in the $`VI,I`$ CMD. It is, however, believed (Baraffe et al. 1998; Delfosse et al. 2000; Chabrier 2001) that the I band and near infrared colours are not affected by the same shortcoming in the treatment of the atmospheric opacity mentioned above because the latter is limited to visible colours. Thence, the discrepancy shown in Figure 1 should not prevent us from obtaining a meaningful MF from the LF measured in the F814W band.

It is, unfortunately, customary to try and fit the observed LF by means of a power-law MF. As Paresce & De Marchi (2000a) have shown, however, the stellar LF of most GCs measured to date with the HST reveals more structure than that expected if the underlying MF were a simple power-law. According to their analysis of 12 halo GC, the rapid drop of the number counts seen in the LF at $`m_{814}8.5`$ is not just the result of the changing source of opacity in the stellar atmosphere (D’Antona 1998) but an inflection in the MF is also needed at $`0.3`$$`M_{}`$. Paresce & De Marchi (2000a) propose that, over the limited mass range covered by GC stars, a log-normal distribution peaked at $`0.3`$$`M_{}`$is more appropriate to describe the MF. Alternatively, De Marchi, Paresce & Portegies Zwart (2003; see also Paresce & De Marchi 2000b) propose a tapered power-law (TPL), namely a Salpeter-like distribution which tapers off below a characteristic mass. Analytically, the number of stars per unit mass can be expressed as:

$$f\left(m\right)=\frac{dN}{dm}m^\alpha \left[1e^{(m/m_p)^\beta }\right]$$
(1)
where $`m_p`$ is the peak mass, $`\alpha `$ the index of the power-law portion for high masses and $`\beta `$ the tapering exponent which causes the MF to flatten and drop below the peak mass $`m_p`$. For the 12 halo GC studied by Paresce & De Marchi (2000a), the average values of these parameters are $`\alpha =2.3`$, $`\beta =2.6`$, $`m_p=0.35`$$`M_{}`$. By folding a function of this type through the M–L relationship of Baraffe et al. (1997) for the metallicity $`[M/H]=1`$, we are able to reproduce rather well the LF over the entire range spanned by the observations with $`m_p=0.35`$$`M_{}`$, $`\alpha =2.1\pm 0.1`$ and $`\beta =2.7\pm 0.1`$ (solid line in Figure 3). It should be noted that the shape of the LF in the magnitude range only accessible to the proper motion technique does not set any constraints on the value of these parameters, which are already defined by the brighter portion of the LF.

It has been suggested by Richer et al. (2002) that the MF of M 4 is consistent with a power-law distribution of index $`\alpha =0.75`$ over the entire range covered by these observations. A function of this type, folded through the derivative of the Baraffe et al.’s (1997) M-L relation, is shown as a dashed line in Figure 3 and, regardless of the arbitrary registration along the vertical axis, it does not provide a good fit to the data. The dropping portion alone of the LF can be represented with a power-law of index $`\alpha =0.3`$ (dotted line in Figure 3). Because of the sign of its index, such a MF increases with mass, thus implying that the number of stars per unit mass does indeed decrease below $`0.3`$$`M_{}`$. When this model MF is extended to higher masses, however, it fails to reproduce the LF at $`M_{814}8`$. To make this discrepancy more evident, we complement our data at the bright end by showing, as circles, the LF of M 4 as measured by Kanatas et al. (1995) in the V band, after conversion to the I band using the V, V-I CMD of Richer et al. (2002) as a reference.

## 4 The white dwarf cooling sequence and the age of the cluster

Besides the MS, the other notable cluster feature in the CMD of Figure 1 is the WD cooling sequence, at magnitudes $`m_{814}23`$ and colours $`0m_{606}m_{814}2`$. The sequence is sparse, yet narrow and well defined down to $`m_{814}25`$, where it broadens because of the increasing photometric uncertainty on the colour, which rapidly grows from $`0.1`$ mag at $`m_{814}=25`$ to $`0.4`$ mag at $`m_{814}=27`$. The photometric completeness in this region of the CMD decreases accordingly, as indicated above. The sequence tapers off rapidly at $`m_{814}27`$ where the completeness reaches the 50 % level.

A comprehensive analysis of the observed WD cooling sequence requires suitable theoretical models. We base our investigation on the DA WD models recently computed by us (PMS02), which include the latest improvements in the description of the physics of high density matter. As discussed in that paper, theoretical uncertainties are still rather large and they mainly affect the age–luminosity relationship for ages in excess of $`67`$ Gyr. These uncertainties should be carefully considered when dating an old WD sequence.

To translate the theoretical luminosity and temperature into magnitude and colour for comparison with the HST observations, we used proper WD model atmospheres computed by Bergeron, Leggett & Ruiz (2001). An interesting prediction of the theory of the atmospheres of cool WD below $`T_{eff}5000`$ K is the onset of collision-induced absorption, due to H<sub>2</sub>-H<sub>2</sub> and H<sub>2</sub>-He collisions at such high densities (Bergeron, Saumon & Wesemael 1995; Jorgensen et al. 2000). As several authors have shown (Hansen 1998, 1999; Saumon & Jacobson 1999; Chabrier et al. 2000; Fontaine et al. 2001), the near infrared colours of very cold WDs whose atmosphere contains Hydrogen should be significantly affected by this source of absorption, with the peak of their spectral energy distribution shifting to the blue. A comparison between our adopted evolutionary track of 0.6 M and those obtained by Richer et al. (2000) and Chabrier et al. (2000) is shown in Figure 4 for the Johnson/Cousin photometric system. All three models present an evident turn to the blue (“blue hook”) occurring at nearly the same luminosity. The reddest colour is about $`0.1`$ mag bluer for the sequence of Richer et al. (2000). After the “blue hook,” the three sequences evolve at different luminosity, with that of Richer et al. (2000) being the brightest and that of Chabrier et al. (2000) the faintest. For example, at $`VI=0.5`$ the relative difference in the $`I`$ band is about half a magnitude. We note here that, by adopting for M 4 the same distance modulus used for MS stars, namely $`(mM)_I=12.25`$, the discrepancy between these three theoretical cooling sequences is definitely smaller than the photometric errors at the same magnitude level. In other words, the present CMD does not permit a clear discrimination between the different theoretical prescriptions and any conclusion should be independent of the adopted set of WD models. In Section 6 we elaborate further on this issue.

The coloured lines over-plotted on the WD sequence in Figure 1 represent the theoretical isochrones, as calculated from the WD models of PMS02 for ages of 8, 10 and 12 Gyr. The initial–final mass relationship and the age of the progenitors have been derived according to the evolutionary models of low and intermediate mass stars with Z=0.001 (Dominguez et al. 1999; Straniero et al. 1997), a metallicity in agreement with the latest measurements<sup>1</sup><sup>1</sup>1Carretta & Gratton (1997) find $`[Fe/H]=1.19\pm 0.03`$ and Carney (1996) gives $`[\alpha /Fe]=0.3\pm 0.03`$. This would imply $`[M/H]=0.98`$ or $`Z=0.0018`$. of heavy element abundances of giant stars in the field of M 4.

The three isochrones overlap one another over most of the magnitude range. In a similar way as for the MS turn-off, the detection of the “blue hook” of the WD cooling sequence in the CMD could provide an estimate of the cluster’s age and would represent a much needed sanity check as to the correctness of the models, thus allowing one to rely more heavily on their predictions. Unfortunately, no such feature is visible in Figure 1 with any statistical significance. To prove this, we show in Figure 5 an enlargement of the WD region of the CMD of Figure 1. Although all data points within the indicated colour and magnitude limits are plotted, we only consider here those marked with a stronger print and which comprise the WD region. The thick solid line cutting through the data shows the ridge of the WD cooling sequence as estimated by us. Above $`m_{814}=25.5`$ this line is simply an eye-ball fit to the points. Below that threshold, however, any evidence of a ridge suddenly vanishes, so there we plot the average colour as a function of the magnitude, surrounded by its standard deviation (the horizontal error bars). Below $`m_{814}26`$, the average colour appears to remain constant or even possibly bluer with increasing magnitude. Given the conspicuous size of the error bars, however, this inflection cannot be interpreted, with any statistical confidence, as the presence of a “blue hook.” It could likely suggest a change in the slope of the cooling sequence, but we should point out that an even more likely origin for this effect can be traced in the onset of considerable photometric incompleteness in the F606W band. As in Figure 1, the dashed lines in Figure 5 mark the 50 % completeness limits and it is clear that below $`m_{814}26`$ an increasingly larger fraction of redder objects must be missing, thus skewing the distribution to the blue.

If the “blue hook” level is defined as the magnitude of the reddest point in the WD isochrone (in the same way that the MS turn-off is the bluest), for a cluster age of 8 Gyr one should expect to find it at $`m_{814}26.8`$, near the 50 % completeness lines, whereas for 10 and 12 Gyr it should take place at $`m_{814}27.2`$ and $`m_{814}27.5`$, respectively, i.e. more than half a magnitude below our $`50\%`$ completeness lines<sup>2</sup><sup>2</sup>2Our adopted distance modulus, $`(mM)_{814}=12.25`$, has been used to translate the isochrones onto the observational plane.. In any case, because of the large uncertainties in the data, none of the three isochrones (coloured lines in Figure 5) can be ruled out, nor can their validity be assessed. Barring the odds that Nature has played tricks on us, i.e. that she has placed the “blue hook” precisely at the detection limit, it would be safer to conclude from this simple test that M 4 must be older than 8 Gyr. As disappointing as it may seem, this is the only sound conclusion that one can infer from the available CMD.

## 5 The white dwarf luminosity function and the age of the cluster

With the above caveat in mind, one could turn to the LF of the WDs for more hints on their age. Several sources of uncertainty come into play here. Firstly, the LF of the cooling sequence depends on assumptions on the relationship between the mass of the progenitors and that of the WD, the time spent by the progenitor on the MS and the initial MF (see e.g. Chabrier 1999). The WD LF is particularly sensitive to the shape of the latter since, although the location of the peak of the WD LF depends only mildly on the slope of the MF (Richer et al. 2000), the rate at which the LF rises to its peak changes dramatically with it (Chabrier 1999), thereby casting serious doubts on conclusions based on a WD LF whose peak is not reached. A sharp maximum is indeed expected in the WD LF of old stellar systems, a characteristic pile up that marks their age (see the recent review by Fontaine et al. 2001). As in the case of the “blue hook,” only when the photometry is deep enough to clearly reveal the peak of the LF can one safely constrain the cluster’s age. Otherwise, one can only provide a lower limit to it.

Secondly, the WD LF is only meaningful if it is cleaned of as many contaminating field stars as possible. The density of objects seen in the CMD of Figure 1 between the MS and WD sequence leaves no doubt that the contamination is strong. To clean the WD sequence one should then resort to using the same proper motion technique adopted successfully for MS stars. The problem here is that, the first epoch’s exposures being considerably less deep than those of the second, the magnitude range over which one can study the WD LF with some reliability is further reduced. As mentioned above, the dashed lines in Figures 1 and 5 mark the magnitude at which, on average, the peak of a star on the combined images drops below the level corresponding to 5 times the standard deviation of the surrounding background. If the same criterion were applied to the combined F814W image of the first epoch (the deepest of the two filters), the same $`5\sigma `$ line should be drawn at $`m_{814}25.6`$. By relaxing the requirement to just $`3\sigma `$ for the first epoch alone, one can lower the limit to $`m_{814}26.5`$. Below such a threshold, most stars detected in the second epoch do not have a corresponding match in the first one. We show this graphically in Figure 6, where the same area of the combined F606W+F814W frame is compared at the two epochs, with the same scale of gray levels. Membership can easily be assessed for object nr. 1 (a MS star with $`m_{814}22`$), nr. 4 (a WD with $`m_{814}25`$) and nr. 5 (a field star with $`m_{814}25`$). However, with magnitudes around $`m_{814}27`$, the objects marked nr. 3 and 4 are well visible at the second epoch (left panel) but they are unmeasurable in the first by any statistically acceptable means at the level of at least $`2\sigma `$ in the peak.

Furthermore, since the first epoch combined F814W image (despite being deeper than the F555W one) is the result of only 9 images each of duration 800 s, the background is considerably noisier than in the second epoch F814W frame. It is, thus, possible that one finds there a lump of counts near the position required to match an object in the second epoch, yet there is no guarantee that such a lump represent indeed a true star and, accepting it as such, would require one to make uncertain assumptions about the physical nature of the sources detected in the deeper exposure, thus invalidating the basis on which proper motion studies rest. For this reason, we believe that it is safer to consider as valid only stars which can be detected as such (at least at the $`3\sigma `$ level) in the first epoch.

In Figure 7 we show the CMD of the objects in the WD region. Solid points mark all the stars detected in the second epoch (the same as Figure 5), whereas the squares indicate the objects which were found in the first epoch as well and whose displacement is smaller than $`0.3`$ pixel with respect to the nearby bona fide MS stars. (This is the same selection criterion adopted for Figure 2). The thick solid line cutting through the WD sequence is the ridge line, determined as in Figure 5. Although the ridge line begins to steepen at $`m_{814}25.5`$, its shape is fully compatible with that of Figure 5 (thin solid line) within the errors. Consequently, not even in this case (i.e. by using only the bona fide cluster stars) is it possible to discriminate amongst the isochrones corresponding to the three ages mentioned above. The broadening of the cooling sequence with increasing magnitude, witnessed by the growing size of the error bars, is totally compatible with the photometric error. Thus, within such an uncertainty, there is once again no indication of a turn to the blue.

To measure the WD LF, we counted the number of objects in Figure 7 which are within $`4\sigma `$ of the ridge line, where $`\sigma `$ is the photometric uncertainty on the colour indicated on the left-hand side of the graph. The LF so derived is listed in Table 1.

For an improved comparison between theory and observations, we have produced a set of synthetic CMDs and LFs for WD stars, as explained in the following. Firstly, we assume an age and the index of a power-law MF ($`\alpha `$) for the cluster. The minimum mass of the WD progenitors depends on the assumed age, whereas the maximum mass is fixed according to the detection limit, namely $`m_{814}=27`$ for the available photometry. We, therefore, use a Monte Carlo method to generate values of the progenitor’s initial mass, distributed according to the assumed MF. The relationship between initial and final mass then gives the mass of the corresponding WD, whose location in the CMD is obtained by interpolating on the grid of models of PMS02. Finally, photometric errors are applied according to a gaussian distribution, similar to the one observed. The extraction of the MS mass values is iterated until the number of WDs having $`m_{814}<26.5`$, or $`M_{814}<14.25`$ with our adopted distance modulus, matches the one inferred from the observed CMD after correction for incompleteness, namely 112. An example of such a synthetic CMD is shown in Figure 8, for an age of 12 Gyr and $`\alpha =2.3`$. Synthetic LFs are shown for various values of $`\alpha `$ in Figure 9, and for different ages in Figure 10. The agreement with the measured LF (open squares) is excellent, in all cases except 8 Gyr (see Figure 10).

The good match between theory and observation provides an important confirmation of the validity of the theoretical models of the WD cooling sequence at least up to $`M_{814}14`$. The brightest and the faintest WD in the synthetic CMD shown in Figure 8 have a model mass of $`0.5566`$ and $`0.5901`$ M, respectively, which correspond to progenitor masses of $`0.8660`$ and $`1.2028`$ M on the MS, respectively. A look at the internal structure of the models close to the faint end of the observed sequence also provides interesting information: the Oxygen component of the core is almost fully crystallised, whilst only 20-25% (in mass) of the Carbon is in the solid phase (the rest being liquid). Furthermore, for the faintest WDs observed (at $`M_{814}14`$), the so called “convective coupling” (see e.g. Fontaine et al. 2001) has just begun. This phenomenon occurs when the base of the convective envelope reaches the inner regions of the star, where heat transport is dominated by electronic conduction. We recall that both the release of latent heat caused by the liquid/solid phase transition and the convective coupling induce a substantial decrease of the cooling timescale and, in turn, affect the age–luminosity relationship. This delay of the cooling is responsible for the expected pile up of white dwarfs. Figures 9 and 10 show that the rate of growth of the observed number of WDs brighter than $`m_{814}26.5`$ ($`M_{814}14.25`$) does not depend on the initial MF nor on the age. Therefore, the very good agreement between theoretical and observed LF down to the detection limit in M 4 strongly supports our description of the complex physical phenomena operating in extreme conditions (high pressure and low temperature).

Unfortunately, in spite of this confirmation, little can be concluded from this data set about the cluster properties such as its age and initial MF. In fact, it is immediately evident that, within the uncertainties, all ages displayed in Figure 10 are compatible with the data, although for an age of 8 Gyr a very steep initial MF ($`\alpha >3.5`$) would be required to reproduce the WD number counts in the faintest magnitude bin. Thus, one may tentatively conclude that M 4 is older than $`910`$ Gyr (although also these values are model-dependent), thence placing a slightly improved lower limit with respect to that already derived by means of the isochrone fitting method. No evidence of a maximum of the LF is obtained and, in turn, no upper limit for the age of M 4 can be set on the basis of these data.

## 6 Comparison with previous analyses

As mentioned in the Introduction, a previous analysis of these same data by Richer et al. (2002) arrived at the rather different result that the age of M 4 is $`12.7\pm 0.7`$ Gyr (Hansen et al. 2002). Although we are not able to reconcile completely our result with theirs, we offer here some considerations that might indicate where the origin of this discrepancy lies.

The first notable difference is in the assumed distance modulus for M 4, which we took from Harris (1996) to be $`(mM)_V=12.83`$ with colour excess $`E(BV)=0.36`$, which in turn imply $`(mM)_I=12.25`$. The other widely used catalogue of GC parameters, that of Djorgovski (1993), gives $`(mM)_V=12.75`$ and $`A_V=1.24`$, which translate into $`(mM)_I=12.11`$. Hansen et al. (2002) used $`(mM)_V=12.51`$ based on MS fitting with subdwarfs of known parallax (see Richer et al. 1997). The application of such a subdwarf-fitting method requires great caution. Amongst the many sources of uncertainty, the most severe is related to the colour shifts that must be applied owing to the differences in reddening and metallicity between cluster and subdwarf stars (see e.g. Gratton et al. 1997; Pont et al. 1998; Carretta et al. 2000; Gratton et al. 2003). For example, an error in the global cluster metallicity (\[M/H\]) of just $`0.1`$ dex implies a change of the estimated distance modulus of about $`0.1`$ mag. In this context, the metallicity adopted by Richer et al. (1997) in their application of the subdwarf fitting method, namely $`[Fe/H]=1.3`$ without any account for $`\alpha `$-elements enhancement, is at odds with the $`[M/H]=1`$ value implied by the high resolution spectroscopy quoted above (Carretta & Gratton 1997; Carney 1996). By adopting this latter value for the global metallicity of M 4, the subdwarf fitting method would give a distance modulus of $`(mM)_V=12.86`$, perfectly in line with the one that we assumed.

The second difference is the adopted photometric system. We simply calibrated our instrumental magnitudes in the HST in-flight system (VEGAMAG), which only requires the application of a zero point. Richer et al. (2002), however, translated their photometry into the Johnson/Cousin ground-based system and notice a large colour term in the conversion from F606W to $`V`$. Thus, it cannot be excluded that, there not being observed spectra for WD of the type studied here, the uncertainty in the conversion is very large. On the other hand, we used for the WDs the models of PMS02, which were generated in the same VEGAMAG system by using the atmospheres of Bergeron et al. (2001), whilst Hansen et al. (2002) used the models computed by Hansen (1999) for the Johnson/Cousin system.

In order to make it possible to compare our results with those of Hansen et al. (2002), we measured the WD LF in F606W and attempted to convert it into Johnson’s $`V`$ band. There not being in these bands observations of spectro-photometric WDs with the mass, gravity and age of relevance here, we were forced to base this translation on the theoretical WD isochrones of PMS02, which, besides mass and gravity, provide the magnitudes of the cooling WDs in various bands of the VEGAMAG and Johnson’s photometric systems. It is, thus, possible to derive the $`V`$ magnitude of each bin of the WD LF directly from the mass corresponding to the observed F606W magnitude. Given the remarkably good agreement between the observed and predicted WD cooling sequence (see Figure 1) as well as the fact that the F606W and $`V`$ band span a very similar wavelength range, the colour term is practically negligible.. The $`V`$-band WD LF so obtained is shown in Figure 11 (crosses), where it can be directly compared with that published by Hansen et al. (2002, squares). Both LFs are corrected for photometric incompleteness (never exceeding 50 % for ours). As expected, since our proper motion selection is more conservative than that of Hansen et al. (2002; see Figure 5), our $`V`$-band LF does not reach as deep as theirs. The comparison is further hampered by the fact that Hansen et al. (2002) do not show the LF for $`V<26`$. Over the common magnitude range, however, the two LFs aagree to within $`2\sigma `$. We underline here, however, that given the uncertainties of the conversion from F606W to $`V`$, Figure 11 is only meant to show the comparison between our LF and that of Hansen et al. (2002). The most reliable LF still remains that in the F814W band.

Besides directly comparing the two $`V`$-band LFs, it is also possible to compare the WD LF as predicted by our models (PMS02) in that band with the measurements of Hansen et al. (2002). We do so in Figure 12, where the squares indicate the WD LF of M 4 as measured by Hansen et al. (2002), corrected for incompleteness. We note that the theoretical WD LF of the same authors reproduces the observations stunningly well for an age of $`12.5`$ Gyr, a distance modulus $`(mM)_V=12.51`$ and a power-law initial MF of intermediate index ($`\alpha 1`$). With the same distance modulus and MF index, the LF predicted by PMS02 departs significantly from the observations, regardless of the adopted age. In particular, we are unable to reproduce the ratio between the bright and the faint end of the WD LF as derived by Hansen et al. (2002). To reduce the discrepancy, we should be forced to use an unphysically flat MF ($`\alpha =0`$) which, however, still gives a rather unsatisfactory fit even for an age of 13 Gyr (see dotted line in Figure 11). However, it did not escape our attention that the contamination from non cluster members at the faint end of the LF (not unlikely, given the conditions under which Hansen et al. 2002 have assessed cluster membership for the faintest objects; see Section 5) may indeed mimic the effect of a flat initial MF. In fact, the photometric completeness of the data-point at $`V=29`$ does not reach 40 %.

A disagreement is, thus, evident between the two sets of theoretical LFs, which, however, does not correspond to a difference in the cooling sequences, as witnessed by Figure 4. To investigate further the origin of this discrepancy, we have compared the theoretical WD LFs of PMS02 with those tabulated of Richer et al. (2000), which are based on the models of Hansen (1999). An example is shown in Figure 13 for an age of 12 Gyr, $`\alpha =2.3`$ and progenitors of solar composition: although the peaks of the two LFs are displaced by $`0.5`$ mag, the rise and drop are quite similar. In particular, no plateau is seen at the faint end such as the one obtained by Hansen et al. (2002). Thus, it seems that the difference between our fit to the WD LF of M 4 and that of Hansen et al. (2002) cannot be attributed to the different theoretical prescriptions for the physics of the cooling process. We can only speculate that the discrepancy could be due to differences in the adopted progenitor ages and/or in the initial–final mass relationship.

Nevertheless, a general comment on the comparison between theory and observation can still be done: since the number of WDs is still rising in the faintest available bin of the observed LF (both in ours in the F814W band and in that of Hansen et al. in the $`V`$ band), only a lower limit to the age can be derived. Once again we emphasise that a clear identification of the WD LF peak is a mandatory requirement for a reliable determination of the cluster’s age.

Deeper observations, with the sensitivity and accuracy now attainable with the Advanced Camera for Surveys (ACS) on board the HST, would dramatically improve this situation. Synthetic CMDs provide us with a powerful tool to check the effectiveness of measurements at fainter limits. In Figure 14 we show a synthetic CMD in which the detection limits have been moved down to $`m_{814}30`$. Photometric errors have been re-scaled in such a way that they coincide, at the faint limit, with the photometric errors of the present photometry. As expected, for the adopted age of 13 Gyr and $`\alpha =2.3`$, a clump around $`m_{814}=28`$ appears. At fainter magnitudes, owing to both the steepness of the initial MF and the acceleration of the cooling time, only few stars are predicted, scattered by the large photometric errors. Since the field of view of the ACS is about $`2.3`$ times larger than that of the WFPC2, we have supposed that 260 WDs (instead of 112) should be found for $`m_{814}<26.5`$. Figure 15 illustrates the expected variation of the LF for different ages, after proper normalisation to the total number of stars observed. Interestingly, the peak of the WD LF is extremely sensitive to the age, shifting at a rate of $`0.5`$ mag/Gyr (for ages ranging between 10 and 13 Gyr), whereas the corresponding variation of the MS turn-off luminosity is only $`0.1`$ mag/Gyr (for an age of 12 Gyr). This implies that the age estimated by means of the WD LF is considerably less sensitive to the uncertainty on the distance than the latter. On the basis of these simulations, we conclude that the peak of the WD LF in M 4 should be clearly identifiable by means of the ACS in a reasonable exposure time, if the cluster’s age were $`<13.5`$ Gyr as expected from the recent WMAP measurements.

## 7 Summary

The main results of this paper can be summarised as follows.

1. We have reduced and analysed a set of deep observations of the GC M 4 obtained in 2001 with the WFPC2 camera on board the HST. This data set includes 98 images in the F606W filter and 148 images in the F814W band, each of duration 1300 s. All the frames have been subjected to the standard HST pipeline which resulted in two calibrated, registered and coadded images (one per filter) on which standard aperture photometry was run. We show that stars can be reliably measured down to the 50 % completeness limit at $`m_{606}28`$, $`m_{814}27`$. Above magnitudes brighter than $`m_{814}19`$ the photometry is not reliable because of saturation.
2. We derive a CMD (Figure 1) which reveals a narrow and well defined stellar MS extending to $`m_{814}23`$, where it becomes indistinguishable from field stars. The WD cooling sequence is also visible and extends from $`m_{814}22.5`$ through to the detection limit where it broadens considerably due to the increasing photometric uncertainty and where field star contamination is most severe. The signature of the Galactic disc and bulge is clearly visible in the CMD as a cloud of points occupying the region between the WD cooling sequence and the MS.
3. The shape of the cluster MS differs from that predicted by the models of Baraffe et al. (1997) for any choice of distance modulus. This shortcoming in the theoretical description of low-mass stars has already been noted by Bedin et al. (2001) and stems from the inadequacy of the available treatment of the TiO molecule opacity (Chabrier 2001) in the F606W and bluer bands. We derive the LF of MS stars in the F814W band, where uncertainties in model atmospheres are smaller, by imposing a colour selection around the MS ridge line on the CMD down to $`m_{814}=23.5`$ or $`M_{814}=11`$ (Figure 2). We show that the LF is not compatible with a single power-law underlying MF, regardless of the adopted index. Instead, the observations are well reproduced by a tapered power-law MF with peak mass $`m_p=0.35`$$`M_{}`$, index $`\alpha =2.1`$ and tapering exponent $`\beta =2.7`$ (Figure 3). For comparison, the average parameters for 12 halo GCs studied with the HST are $`m_p=0.34`$, $`\alpha =2.3`$, $`\beta =2.6`$.
4. Adopting the canonical distance modulus for M 4 of $`(mM)_I=12.25`$, our theoretical WD isochrones overlap remarkably well with the observed cooling sequence (Figure 5). The data, however, do not reach the magnitude domain where isochrones of different ages depart significantly from one another, nor that where the rapid turn to the blue of the sequences (“blue hook”) caused by collision-induced absorption is expected to take place. Therefore, only a lower limit of $`8`$ Gyr can be set to the age of M 4 from the CMD alone.
5. To set more stringent constraints on cluster membership than those allowed by the colour of the stars in the CMD and, thus, derive accurate LFs for both MS stars and WDs, we have reduced and analysed a set of shallower observations of the same cluster field obtained in 1995 with the WFPC2 with the aim of measuring proper motions. The considerably shorter exposure times (particularly in the F814W band) forced us to restrict this study to objects brighter than $`m_{814}26.5`$, since fainter objects are not detectable by any statistical means at the level of at least $`3\sigma `$ and, therefore, their presence, position and nature cannot be securely confirmed (Figure 6). Above this limit, cluster members can rather easily be separated from field stars since their displacement amounts to $`0\stackrel{}{.}1`$ between the two epochs, or a full WF pixel.
6. The LF of MS stars, selected this time via their proper motions, agrees remarkably well with that obtained through colour selection in the CMD over the common magnitude range. The former, however, extends further to $`m_{814}=25`$ or $`M_{814}=12.25`$ where the number of MS star is consistent with being zero. The underlying MF that best fits this LF is the same tapered power-law distribution mentioned above, thus suggesting that, although important for obtaining information on the faint MS end, the availability of proper motions does not substantially improve our understanding of the number and distribution of low mass stars. In fact, we stress that the known shortcomings in modelling the atmosphere of very low mass objects (see Figure 1) make it difficult to decide whether and where one has reached the bottom of the MS.
7. On the other hand, knowing which objects belong to M 4 makes it possible to study the LF of the WDs, whose location in the CMD is severely contaminated by field stars. However, the shallower photometric depth of the first epoch’s data limits this investigation to $`M_{814}<14.5`$, thereby preventing us from exploring the domain where the WD LF is most sensitive to the cluster’s age and to its initial MF. Our models show that MF indices in the range $`0<\alpha <3.5`$ and ages in the range $`814`$ Gyr are all consistent with the data (Figures 9 and 10), although for an age of 8 Gyr an unrealistically steep MF ($`\alpha >3.5`$) would be required to reproduce the number counts in the faintest bin of the LF. On the basis of these data and our models, we can set a lower limit of $`9`$ Gyr to the age of M 4. We underline here that an upper limit to the age can only be set when the sharp maximum of the WD LF is detected which results from the characteristic pile up of old WDs along their cooling sequence (Fontaine et al. 2001). No such feature is seen in the presently available data and, therefore, only a lower limit to the age can be set.
8. We have compared our results with those of Hansen et al. (2002) who, using the same data set, derived for M 4 an age of $`12.7\pm 0.7`$ Gyr from the WD LF in the $`V`$ band. We are unable to reproduce satisfactorily their observations with our theoretical $`V`$-band LF for any physically meaningful value of the WD progenitors’ initial MF index $`\alpha `$. In particular, we are not aware of models predicting a plateau in the LF such as the one obtained by Hansen et al. (2002) for $`V28`$. The latter could be the consequence of an excess of spurious WDs at the faint end of the LF arising from uncertainties in the proper motions of objects which are difficult to detecte in the first epoch. Nevertheless, since the WD LF of Hansen et al. (2002) is still rising at the faintest bin, no upper limit to the age can anyhow be set.
9. We have used synthetic CMDs to simulate deeper GC observations such as those today attainable with the ACS on board the HST. The combination of a wide field of view and excellent sensitivity in the F606W and F814W bands make it possible for this instrument to study the physical properties of old WDs, to detect the “blue hook” in their cooling sequences and to locate with accuracy the peak of their LF, thereby determining their age, if M 4 is younger than $`13.5`$ Gyr as the recent WMAP measurements indicate. Since the peak of the LF moves by $`0.5`$ mag per Gyr of age (for ages ranging between 10 and 13 Gyr; Figure 15), the latter can be measured with an accuracy comparable with that of $`H_0`$, thus setting robust cosmological constraints to the time of GC formation.

###### Acknowledgements.

In this work we have made extensive use of the ESO/ST-ECF archival facilities. It is our pleasure to thank an anonymous referee for providing us with comments that have considerably strengthened the presentation of this work.


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# References

hep-th/0310075

October 2003

Vacuum Polarization in an Anti-de Sitter Space

as an Origin for a Cosmological Constant

in a Brane World

Li-Xin Li

Harvard-Smithsonian Center for Astrophysics, Cambridge, MA 02138, USA
lli@cfa.harvard.edu

Abstract

In this Letter we show that the vacuum polarization of quantum fields in an anti-de Sitter space naturally gives rise to a small but nonzero cosmological constant in a brane world living in it. To explain the extremely small ratio of mass density in the cosmological constant to the Planck mass density in our universe ($`10^{123}`$) as suggested by cosmological observations, all we need is a four-dimensional brane world (our universe) living in a five-dimensional anti-de Sitter space with a curvature radius $`r_010^3`$cm and a fundamental Planck energy $`M_\mathrm{P}10^9`$GeV, and a scalar field with a mass $`mr_0^110^2`$eV. Probing gravity down to a scale $`10^3`$cm, which is attainable in the near future, will provide a test of the model.

Much attention has recently been paid to the idea that our universe is a four-dimensional brane (three dimensions of space plus one dimension of time) embedded in a five-dimensional bulk universe. This fact is mainly caused by the discoveries that by confining the standard model particles on a brane the extra dimensions can be larger than previously anticipated then the very large hierarchy between the electroweak and the Planck energy scales is relaxed , and that on a brane embedded in a five-dimensional anti-de Sitter space Newton’s gravitational law can be recovered on distances larger than submillimeter as required by the gravity experiments that have been taken so far . A lot of work has since then been done on brane cosmology, and people have shown that in the case when the bulk universe is empty away from the brane the cosmology on the brane deviates from that given by the standard general relativity only in the epoch before the cosmic nucleosynthesis when the energy density in the universe is sufficiently high ( and references therein). Observational test of brane models by supernovae has also been discussed .

Despite the remarkable success of the brane model, the cosmological constant problem remains unsolved . In the brane scenario, it is usually assumed that the tension of the brane exactly cancels the effect of the negative cosmological constant in the bulk universe, giving rise to a zero cosmological constant in the brane universe. However, observations of gravitational lensing, high redshift type Ia supernova, cosmic microwave background, and cluster counts consistently show that the universe is in all likelyhood flat and accelerating, with the present mass density being composed of about 70% of cosmological constant (or dark energy), 30% of dark and ordinary matter . In Planck units $`\mathrm{}=c=1`$, the cosmological constant is extremely small: $`\rho _\mathrm{\Lambda }/\rho _\mathrm{P}10^{123}`$, where $`\rho _\mathrm{\Lambda }`$ is the mass density in the cosmological constant, $`\rho _\mathrm{P}`$ is the Planck mass density in our four-dimensional universe. The existence of such a small but nonzero cosmological constant is usually called the cosmological constant problem and continues to be a big mystery for modern cosmology and theories of elementary particles . For current efforts toward solving this problem, see  and references therein.

In this Letter we propose an explanation for the existence of a small but nonzero cosmological constant in the brane world scenario. For simplicity, we assume that the bulk spacetime is a five-dimensional anti-de Sitter space. We show that the vacuum polarization of a massive scalar field in the bulk spacetime has a stress-energy tensor that behaves like a small positive cosmological constant. As in the standard scenario of a brane world we assume that the brane tension cancels the effect of the bare cosmological constant in the anti-de Sitter space, then on the brane a small but nonzero cosmological constant exists, which we will show is consistent with cosmological observations if the mass of the scalar field is $`r_0^1`$ where $`r_0`$ is the curvature radius of the anti-de Sitter space.

An anti-de Sitter space is a spacetime that has the maximal symmetry and a negative constant curvature, supported by a negative cosmological constant . For an $`N`$-dimensional anti-de Sitter space, its curvature radius is related to the cosmological constant by $`r_0=\left[(N1)(N2)/(2\mathrm{\Lambda })\right]^{1/2}`$. The Riemann curvature tensor is $`R_{abcd}=2\mathrm{\Lambda }(g_{ac}g_{bd}g_{ad}g_{bc})/[(N1)(N2)]`$. The corresponding Ricci tensor $`R_{ab}=2\mathrm{\Lambda }g_{ab}/(N2)`$ satisfies the $`N`$-dimensional Einstein equation $`R_{ab}(1/2)Rg_{ab}+\mathrm{\Lambda }g_{ab}=8\pi M_\mathrm{P}^{2N}T_{ab}`$ when the $`N`$-dimensional stress-energy tensor $`T_{ab}=0`$, where $`R=g^{ab}R_{ab}=2\mathrm{\Lambda }N/(N2)`$, $`M_\mathrm{P}`$ is the $`N`$-dimensional Planck mass.

Quantum fields in an anti-de Sitter space have been studied extensively . For a quantum state that is maximally symmetric (i.e., anti-de Sitter-invariant), the two-point function $`G(x,x^{})`$ depends only on the geodesic distance $`\mu (x,x^{})`$ between $`x`$ and $`x^{}`$. For a massive scalar field $`\varphi (x)`$ in an $`N`$-dimensional anti-de Sitter space of radius $`r_0`$, the two-point function for a maximally symmetric vacuum state, $`G(x,x^{})=0|\varphi (x)\varphi (x^{})|0`$, is given by

$`G(x,x^{})=G(\mu )=A\mathrm{cosh}^{2\alpha }\left({\displaystyle \frac{\mu }{2r_0}}\right)F(\alpha ,\alpha {\displaystyle \frac{N}{2}}+1;2\alpha N+2;\mathrm{cosh}^2{\displaystyle \frac{\mu }{2r_0}}),`$ (1)
where

$`\alpha {\displaystyle \frac{1}{2}}\left[N1+\sqrt{(N1)^2+4m^2r_0^2}\right],A{\displaystyle \frac{\mathrm{\Gamma }(\alpha )r_0^{2N}}{2^{2\alpha +1}\pi ^{(N1)/2}\mathrm{\Gamma }\left(\alpha \frac{N}{2}+\frac{3}{2}\right)}}.`$ (2)
Here $`F`$ denotes the hypergeometric function, $`\mathrm{\Gamma }`$ denotes the Gamma function, and $`m`$ is the mass of the scalar field particle.

The two-point function given by Eq. (1) satisfies the following two conditions: (a) falls off as fast as possible at spatial infinity $`\mu ^2\mathrm{}`$, and (b) has the same strength $`\mu ^20`$ singularity as in a flat space. It is worth to note that the two-point function so defined can be obtained from the continuation of a Euclidean Green function on $`H^N`$—an $`N`$-dimensional hyperbolic Euclidean space, but cannot be obtained from the continuation of a Euclidean Green function on $`S^N`$—an $`N`$-dimensional sphere .

For $`N<2`$ the limit $`\mu 0`$ in Eq. (1) is finite, and we have

$`G(x,x)={\displaystyle \frac{\mathrm{\Gamma }\left(1\frac{1}{2}N\right)\mathrm{\Gamma }(\alpha )}{2^N\pi ^{N/2}\mathrm{\Gamma }\left(\alpha N+2\right)}}r_0^{2N}.`$ (3)
$`G(x,x)`$ is analytic in the complex $`N`$-plane apart from simple poles. Therefore, it may be extended throughout the whole complex $`N`$-plane  (see also ). Especially, when $`N`$ is odd, the $`G(x,x)`$ given by Eq. (3) is finite and can be taken to be the regularized value for $`\varphi (x)^2`$, according to the dimensional regularization procedure .

For a vacuum state that is maximally symmetric the expectation value of its stress-energy tensor must be given by $`T_{ab}=Tg_{ab}/N`$, where $`T=g^{ab}T_{ab}`$ is the trace . For a massive scalar field whose $`G(x,x)`$ is given by Eq. (3), which is finite and constant when $`N`$ is odd, we have $`T=m^2\varphi (x)^2=m^2G(x,x)`$. Then we have

$`T_{ab}={\displaystyle \frac{\mathrm{\Gamma }\left(1\frac{1}{2}N\right)\mathrm{\Gamma }(\alpha )}{N2^N\pi ^{N/2}\mathrm{\Gamma }\left(\alpha N+2\right)}}m^2r_0^{2N}g_{ab},`$ (4)
which is the renormalized stress-energy tensor when $`N`$ is odd .111In this Letter we focus on the case when $`N`$ is odd since we have assumed the bulk space has five dimensions. When $`N`$ is even, further care must be taken to remove the poles in the Gamma function, see . The stress-energy tensor in Eq. (4), which describes the vacuum polarization effect of a massive scalar field in an odd $`N`$-dimensional anti-de Sitter space, corresponds to a cosmological constant

$`\mathrm{\Lambda }^{}={\displaystyle \frac{\mathrm{\Gamma }\left(1\frac{1}{2}N\right)\mathrm{\Gamma }(\alpha )}{N2^{N3}\pi ^{(N2)/2}\mathrm{\Gamma }\left(\alpha N+2\right)}}m^2\left(M_\mathrm{P}r_0\right)^{2N}.`$ (5)
When $`N=5`$—the case that is of particular interest in this Letter, we have

$`\mathrm{\Lambda }^{}={\displaystyle \frac{m^2}{15\pi M_\mathrm{P}^3r_0^3}}\left(3+m^2r_0^2\right)\sqrt{4+m^2r_0^2},`$ (6)
which is positive when $`m^2r_0^2>0`$ or $`4<m^2r_0^2<3`$, negative when $`3<m^2r_0^2<0`$, zero when $`m^2r_0^2=0,3`$, or $`4`$.

The gravitational equation on a brane in the five-dimensional anti-de Sitter space is then (see, e.g., )

$`{}_{}{}^{(4)}R_{ab}^{}{\displaystyle \frac{1}{2}}{}_{}{}^{(4)}R{}_{}{}^{(4)}g_{ab}^{}+{\displaystyle \frac{1}{2}}\left(\mathrm{\Lambda }+\mathrm{\Lambda }^{}\right){}_{}{}^{(4)}g_{ab}^{}`$ $`=`$ $`{\displaystyle \frac{16\pi ^2}{3}}M_\mathrm{P}^6\sigma ^2{}_{}{}^{(4)}g_{ab}^{}+{\displaystyle \frac{32\pi ^2}{3}}M_\mathrm{P}^6\sigma {}_{}{}^{(4)}T_{ab}^{}`$ (7)
$`+\left[\text{higher order terms}\right],`$
where the index “(4)” on the left shoulder denote a quantity defined on the four-dimensional brane world, $`\sigma `$ is the tension of the brane, $`{}_{}{}^{(4)}T_{ab}^{}`$ is the stress-energy tensor of matter (with the tension term subtracted) on the brane, and “higher order terms” stands for terms quadratic in $`{}_{}{}^{(4)}T_{ab}^{}`$ that are important only in sufficiently high energy regime. Following the standard procedure in the brane world scenario, let us set

$`{\displaystyle \frac{16\pi ^2}{3}}M_\mathrm{P}^6\sigma ^2={\displaystyle \frac{1}{2}}\mathrm{\Lambda },{\displaystyle \frac{32\pi ^2}{3}}M_\mathrm{P}^6\sigma =8\pi m_\mathrm{P}^2,`$ (8)
where $`m_\mathrm{P}=G^{1/2}`$ is the Planck mass in the four-dimensional space. Then, the standard Einstein equation (without a cosmological constant) is recovered if $`\mathrm{\Lambda }^{}=0`$ and higher orders terms are neglected. By the second equation of (8), $`\sigma `$ must be positive, i.e. the brane must have a positive tension.

If $`\mathrm{\Lambda }^{}0`$ and is given by Eq. (6), then there is a cosmological constant in the brane world, whose value is

$`{}_{}{}^{(4)}\mathrm{\Lambda }={\displaystyle \frac{m^2}{30\pi M_\mathrm{P}^3r_0^3}}\left(3+m^2r_0^2\right)\sqrt{4+m^2r_0^2}.`$ (9)
Of course, one can argue that Eq. (8) can be modified to cancel $`\mathrm{\Lambda }^{}`$ then the cosmological constant in the brane world will be zero. However, doing so would introduce more fine tune to the theory as Eq. (8) is already a fine tune. We think the true question is, for reasonable values of parameters, if the $`{}_{}{}^{(4)}\mathrm{\Lambda }`$ given by Eq. (9) is consistent with the value of a cosmological constant that has been implied by the cosmological observations. In the rest of the Letter we will show that the answer to this question is “Yes”.

By construction, there are two fundamental energy scales in the five-dimensional anti-de Sitter bulk space: $`M_\mathrm{P}`$ and $`r_0^1`$. The four-dimensional Planck mass $`m_\mathrm{P}`$ and the brane tension $`\sigma `$ are derived from $`M_\mathrm{P}`$ and $`r_0^1`$ by Eq. (8):

$`m_\mathrm{P}^2=M_\mathrm{P}^3r_0,\sigma ={\displaystyle \frac{3}{4\pi }}M_\mathrm{P}^3r_0^1,`$ (10)
where $`\mathrm{\Lambda }=6/r_0^2`$ has been used. The requirement to recover Newton’s gravitational law down to scales of the submillimeter order (see ) puts a stringent constraint on $`r_0`$: $`r_0<10^2`$cm, which by Eq. (10) implies that $`M_\mathrm{P}>5.4\times 10^{11}m_\mathrm{P}6.7\times 10^8`$GeV and $`\sigma >\left(2.8\times 10^{16}m_\mathrm{P}\right)^4\left(3000\mathrm{G}\mathrm{e}\mathrm{V}\right)^4`$.

The four-dimensional cosmological constant $`{}_{}{}^{(4)}\mathrm{\Lambda }`$ depends on another parameter: the mass of the scalar field, $`m`$, which in principle should be constructed from $`M_\mathrm{P}`$ and/or $`r_0^1`$. Since $`M_\mathrm{P}r_0^1`$ \[otherwise Eq. (10) would imply $`m_\mathrm{P}<M_\mathrm{P}`$\], a natural possibility would be $`mr_0^1`$, not $`mM_\mathrm{P}`$.

An elegant argument for a discrete mass spectrum for a scalar field in an anti-de Sitter space was given by Allen and Jacobson . In an anti-de Sitter space, which has topology $`S^1\times ^{N1}`$ and contains closed timelike curves, the two-point function should be invariant under the transformation $`\mu \mu +i\mathrm{\hspace{0.17em}2}\pi r_0j`$,222Note, when $`x`$ and $`x^{}`$ are timelikely separated $`\mu `$ is an imaginary number. where $`2\pi r_0`$ is the timelike circumference at the “neck” of the anti-de Sitter space, $`j`$ is any integer. From Eq. (1) we have

$`G(\mu +i\mathrm{\hspace{0.17em}2}\pi r_0j)=\mathrm{exp}(i\mathrm{\hspace{0.17em}2}\pi j\alpha )G(\mu ),`$ (11)
then $`\alpha `$ must be an integer so that $`G(\mu +i\mathrm{\hspace{0.17em}2}\pi r_0j)=G(\mu )`$. Let $`\alpha =n+4`$, where $`n`$ is an integer, then from Eq. (2) we have

$`m^2={\displaystyle \frac{n(n+4)}{r_0^2}},`$ (12)
where we have set $`N=5`$. When $`n=0,1,2,3`$, or $`4`$, $`m^20`$ and from Eq. (9) we have $`{}_{}{}^{(4)}\mathrm{\Lambda }=0`$. When $`n1`$ or $`n5`$, $`m^2>0`$ and from Eq. (9) we have $`{}_{}{}^{(4)}\mathrm{\Lambda }>0`$. Since $`m^2<0`$ leads to the existence of tachyons which are usually thought unphysical, we restrict our treatment to the case of $`m^20`$ and assume $`n=0,1,2,\mathrm{}`$ in Eq. (12). \[Since Eq. (12) is invariant under the transformation $`nn4`$, $`n=4,5,6,\mathrm{}`$ give same values of $`m^2`$ as $`n=0,1,2,\mathrm{}`$.\] The above argument supports the assumption that $`r_0^1`$ is the natural scale for the mass $`m`$.

Of course, one can avoid closed timelike curves by “unwrapping” the $`S^1`$ dimension, or equivalently, considering the universal covering space of an anti-de Sitter space with topology $`^N`$. Then, the mass spectrum of the scalar field will be continuous and Eq. (11) gives an explicit expression for $`G(x,x^{})`$ when $`x`$ and $`x^{}`$ are separated by $`j`$ sheets . However, we point out that in the brane world scenario it is not necessary to go to the universal covering space to avoid closed timelike curves in the brane space where we live in. Since all ordinary matter is assumed to be trapped on the brane, ordinary particles and photons cannot leave the brane to enter orbits with closed timelike or null curves. So, the closed timelike curves in the bulk anti-de Sitter space will not bother us. (Certainly gravitons can leave the brane and enter the region with closed timelike curves.)

From Eq. (9) we obtain the ratio of the mass density in the cosmological constant to the Planck mass density in the brane universe

$`{\displaystyle \frac{\rho _\mathrm{\Lambda }}{\rho _\mathrm{P}}}={\displaystyle \frac{f(mr_0)}{40\pi ^2}}\left(M_\mathrm{P}r_0\right)^6={\displaystyle \frac{f(mr_0)}{40\pi ^2}}\left({\displaystyle \frac{M_\mathrm{P}}{m_\mathrm{P}}}\right)^{12},`$ (13)
where $`\rho _\mathrm{\Lambda }={}_{}{}^{(4)}\mathrm{\Lambda }/8\pi m_\mathrm{P}^2`$, $`\rho _\mathrm{P}=m_\mathrm{P}^4`$, and $`f(x)x^2\left(1+x^2/3\right)\sqrt{1+x^2/4}`$ . Because of the high power dependence of $`\rho _\mathrm{\Lambda }/\rho _\mathrm{P}`$ on $`M_\mathrm{P}/m_\mathrm{P}`$ \[$`\rho _\mathrm{\Lambda }/\rho _\mathrm{P}\left(M_\mathrm{P}/m_\mathrm{P}\right)^{12}`$\], an extremely small ratio of $`\rho _\mathrm{\Lambda }/\rho _\mathrm{P}`$ is easily generated if $`M_\mathrm{P}/m_\mathrm{P}1`$. For example, if $`M_\mathrm{P}/m_\mathrm{P}10^{10}`$ and $`f(mr_0)1`$, then $`\rho _\mathrm{\Lambda }/\rho _\mathrm{P}10^{123}`$, in agreement with the observation value.

In Fig. 1, we plot $`M_\mathrm{P}`$ as a function of $`mr_0`$, by setting $`\rho _\mathrm{\Lambda }/\rho _\mathrm{P}=10^{123}`$, the value indicated by the observations (assuming the Hubble constant $`H_0=65\mathrm{km}\mathrm{s}^1\mathrm{Mpc}^1`$). The limit given by the current gravity experiment  is shown with a horizontal line, with an upward arrow indicating that is a lower bound. In  no deviation from Newton’s gravitational law was observed down to a distance of $`d=108\mu `$m. We convert this distance to a limit on $`r_0`$ by $`r_0=(3/2)^{1/2}d`$ . The circles on the curve in Fig. 1 correspond to the mass given by Eq (12), for $`n=1,2,3,4,5,6`$, and $`10`$ (downward). For the case with a discrete mass spectrum, which corresponds to an anti-de Sitter space with closed timelike curves, the limit given by  excludes all solutions with $`n5`$. For the case with a continuous mass spectrum, which corresponds to the universal covering space of an anti-de Sitter space without closed timelike curves, the limit given by  excludes all solutions with $`m>6.3/r_0`$. In both cases the solutions being excluded would produce a too large cosmological constant if the limit from the gravity experiment is satisfied. However, Fig. 1 shows that, there exist a range of solutions that are within the limit given by the gravity experiment and give rise to a cosmological constant with $`\rho _\mathrm{\Lambda }/\rho _\mathrm{P}10^{123}`$ in the brane universe. These solutions correspond to $`n=1,2,3`$, or $`4`$ for the case with a discrete mass spectrum, or $`m<6.3/r_0`$ for the case with a continuous mass spectrum.

To conclude, we have shown that the vacuum polarization effect of quantum fields in an anti-de Sitter space naturally gives rise to a small but nonzero cosmological constant in a brane universe living in the anti-de Sitter space. If our four-dimensional universe is embedded in a five-dimensional anti-de Sitter space with a curvature radius $`r_010^3`$cm and a fundamental Planck mass $`M_\mathrm{P}10^9`$GeV, then the stress-energy tensor arising from the vacuum polarization of a scalar field with a mass $`mr_0^110^2`$eV in the bulk anti-de Sitter space behaves like a cosmological constant in our brane universe with a value in agreement with that suggested by current cosmological observations. Probing gravity down to a scale $`10^3`$cm (which is becoming possible ) will provide a test for the model presented in this Letter.


text:
# Anomalous waiting times in high-frequency financial data

## 1 Introduction

Recently, various authors have discussed the application of the continuous-time random walk (CTRW)  to finance (see Sec. 2 for details). The basic point is that, in financial markets, not only returns, but also waiting times between two consecutive trades can be considered as random variables. To our knowledge, the application of CTRW to economics dates back, at least, to the 1980s. In 1984, Rudolf Hilfer published a book on the application of stochastic processes to operational planning, where CTRWs were used for sale forecasts . The (revisited) CTRW formalism has been applied to the high-frequency price dynamics in financial markets by our research group since 2000, in a series of three papers . Other scholars have recently used this formalism . However, CTRWs have a famous precursor. In 1903, the PhD thesis of Filip Lundberg presented a model for ruin theory of insurance companies, which was further developed by Cramér . The underlying stochastic process of the Lundberg-Cramér model is a particular example of CTRW.

Among other issues, we have studied the independence between log-returns and waiting times for the 30 Dow-Jones-Industrial-Average (DJIA) stocks traded at the New York Stock Exchange in October 1999. For instance, according to a contingency-table analysis performed on General Electric (GE) prices, the null hypothesis of independence can be rejected with a significance level of 1 % . In this letter, however, the focus is on the empirical distribution of waiting times.

¿From our study, it turns out that the marginal density for waiting times is definitely not an exponential function. After the publication of our paper series, different waiting-time scales have been investigated in different markets by various authors. All these empirical analyses corroborate the waiting-time anomalous behaviour. A study on the waiting times in a contemporary FOREX exchange and in the XIXth century Irish stock market was presented by Sabatelli et al. . They were able to fit the Irish data by means of a Mittag-Leffler function as we did before in a paper on the waiting-time marginal distribution in the German-bund future market . Kyungsik Kim and Seong-Min Yoon studied the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market and found that the survival probability displays a stretched-exponential form . Moreover, just to stress the relevance of non-exponential waiting times, ! a power-law distribution has been recently detected by T. Kaizoji and M. Kaizoji in analyzing the calm time interval of price changes in the Japanese market .

## 2 Theory

The importance of random walks in finance has been known since the seminal thesis of Bachelier  which was completed at the end of the XIXth century, more than a hundred years ago. The ideas of Bachelier were further carried out by many scholars .

The price dynamics in financial markets can be mapped onto a random walk whose properties are studied in continuous, rather than discrete, time . Here, we shall present this mapping, pioneered by Bachelier , in a rather general way. It is worth mentioning that this approach is related to those of Clark  and to the introductory notes in Parkinson’s paper . As a further comment, this is a purely phenomenological approach. No specific assumption on the rationality or the behaviour of market agents is taken or even necessary. In particular, it is not necessary to assume the validity of the efficient market hypothesis . Nonetheless, as shown below, a phenomenological model can be useful in order to empirically corroborate or falsify the consequences of behavioural or other assumptions on markets. In its turn, the model itself can be corroborated or falsified by empirical data.

As a matter of fact, there are various ways in which random walk can be embedded in continuous time. Here, we shall base our approach on the so-called continuous-time random walk in which time intervals between successive steps are random variables, as discussed by Montroll and Weiss .

Let $`S(t)`$ denote the price of an asset or the value of an index at time $`t`$. In a real market, prices are fixed when demand and offer meet and a transaction occurs. In this case, we say that a trade takes place. Returns rather than prices are more convenient. For this reason, we shall take into account the variable $`x(t)=\text{log}S(t)`$, that is the logarithm of the price. Indeed, for a small price variation $`\mathrm{\Delta }S=S(t_{i+1})S(t_i)`$, the return $`r=\mathrm{\Delta }S/S(t_i)`$ and the logarithmic return $`r_{log}=log[S(t_{i+1})/S(t_i)]`$ virtually coincide.

As we mentioned before, in financial markets, not only prices can be modelled as random variables, but also waiting times between two consecutive transactions vary in a stochastic fashion. Therefore, the time series $`\{x(t_i)\}`$ is characterised by $`\phi (\xi ,\tau )`$, the joint probability density of log-returns $`\xi _i=x(t_{i+1})x(t_i)`$ and of waiting times $`\tau _i=t_{i+1}t_i`$. The joint density satisfies the normalization condition $`𝑑\xi 𝑑\tau \phi (\xi ,\tau )=1`$.

Montroll and Weiss  have shown that the Fourier-Laplace transform of $`p(x,t)`$, the probability density function, pdf, of finding the value $`x`$ of the price logarithm (which is the diffusing quantity in our case) at time $`t`$, is given by:

$$\stackrel{~}{\widehat{p}}(\kappa ,s)=\frac{1\stackrel{~}{\psi }(s)}{s}\frac{1}{1\stackrel{~}{\widehat{\phi }}(\kappa ,s)},$$
(1)
where

$$\stackrel{~}{\widehat{p}}(\kappa ,s)=_0^+\mathrm{}𝑑t_{\mathrm{}}^+\mathrm{}𝑑x\text{e}^{st+i\kappa x}p(x,t),$$
(2)
and $`\psi (\tau )=𝑑\xi \phi (\xi ,\tau )`$ is the waiting time pdf.

The space-time version of eq. (1) can be derived by probabilistic considerations . The following integral equation gives the probability density, $`p(x,t)`$, for the walker being in position $`x`$ at time $`t`$, conditioned by the fact that it was in position $`x=0`$ at time $`t=0`$:

$$p(x,t)=\delta (x)\mathrm{\Psi }(t)+_0^t_{\mathrm{}}^+\mathrm{}\phi (xx^{},tt^{})p(x^{},t^{})𝑑t^{}𝑑x^{},$$
(3)
where $`\mathrm{\Psi }(\tau )`$ is the so-called survival function. $`\mathrm{\Psi }(\tau )`$ is related to the marginal waiting-time probability density $`\psi (\tau )`$. The survival function $`\mathrm{\Psi }(\tau )`$ is:

$$\mathrm{\Psi }(\tau )=1_0^\tau \psi (\tau ^{})𝑑\tau ^{}=_\tau ^{\mathrm{}}\psi (\tau ^{})𝑑\tau ^{}.$$
(4)
The CTRW model can be useful in applications such as speculative option pricing by Monte Carlo simulations or portfolio selection. This will be the subject of a forthcoming paper.

## 3 Empirical evidence

In Fig. 1, the waiting-time complementary cumulative distribution function (or survival function) $`\mathrm{\Psi }(\tau )=1_0^\tau \psi (t^{})𝑑t^{}`$ is plotted for three different periods of the day (morning 9:00 - 10:59; midday 11:00 - 13:59, afternoon 14:00 - 17:00) and for the GE time series of October 1999. In the above formula, $`\psi (\tau )`$ represents the marginal waiting-time probability density function. $`\mathrm{\Psi }(\tau )`$ gives the probability that the waiting time between two consecutive trades is greater than the given $`\tau `$. The lines are the corresponding standard exponential complementary cumulative distribution functions: $`\mathrm{\Psi }(\tau )=\text{exp}(\tau /\tau _0)`$, where $`\tau _0`$ is the empirical average waiting time. An eye inspection already shows the deviation of the real distribution from the exponential distribution. This fact is corroborated by the Anderson-Darling test . The Anderson-Darling (AD) $`A^2`$ values for the three daily periods are, respectively, 352, 285, and 446. Therefore, the null hypothesis of exponential distribution can be rejected at the 5 % significance level.

In Tab. 1, the values of the AD $`A^2`$ statistics are given for the 30 DJIA stocks traded in October 1999. In all these cases the null hypothesis of exponentiality can be rejected at the 5 % significance level.

## 4 Conclusions and discussion

Why should we care about these empirical findings on the waiting-time distribution? This has to do both with the market price formation mechanisms and with the bid-ask process. A priori, one could argue that there is no strong reason for independent market investors to place buy and sell orders in a time-correlated way. This leads to a Poisson process with exponential survival function for the bid-ask process. If price formation were a simple thinning of the bid-ask process, then exponential waiting times should be expected between consecutive trades as well . Eventually, even if empirical analyses should show that time correlations are already present at the bid-ask level, it would be interesting to understand why they are there. In other words, the empirical results on the survival probability set limits on statistical market models for price formation.

## Acknowledgements

We would like to acknowledge useful discussions with Sergio Focardi of The Intertek Group. This work has partially been carried out in the frame of the INTAS project 00-0847.


text:
# Direct observation of non-local effects in a superconductor

## Abstract

We have used the technique of low energy muon spin rotation to measure the local magnetic field profile $`B(z)`$ beneath the surface of a lead film maintained in the Meissner state ($`z`$ depth from the surface, $`z200`$ nm). The data unambiguously show that $`B(z)`$ clearly deviates from an exponential law and represent the first direct, model independent proof for a non-local response in a superconductor.

non-local effects in superconductors, thin-film superconductivity, low energy $`\mu `$SR, Meissner-Ochsenfeld effect

Applying a small magnetic field parallel to the surface of a superconductor results in the expulsion of the magnetic flux from its interior, except for a small region on the nm scale close to its surface where the local field $`B(z)`$, measured at a depth $`z`$ from the surface, is heavily damped (Meissner-Ochsenfeld effect). The spatial field dependence $`B(z)`$ reflects the electromagnetic response of the superconductor and yields valuable information about its nature. If the Cooper pairs can be handled as point like, the electrodynamics of the system can be treated as local and the field extends exponentially over a typical length $`\lambda `$ (London penetration depth) of the order of a few tens to hundreds nm. Non-local effects in superconductors arise when the variation of the electromagnetic field over the extent of the pairs cannot be neglected Pippard (1953); Bardeen et al. (1957). This is for instance the case in conventional superconductors with coherence length $`\xi \lambda `$ or at nodes of the energy gap of unconventional superconductors, where the $`k`$-dependent coherence length becomes effectively infinite Kosztin and Leggett (1997). In $`\mathrm{YBa}_2\mathrm{Cu}_3\mathrm{O}_{6.95}`$ indications of non-local/non-linear effects have been found in the field dependence of the effective magnetic penetration depth as determined by $`\mu `$SR measurements in the bulk of the vortex lattice Sonier et al. (1999); Amin et al. (2000).

In conventional superconductors the penetration profile of the magnetic field in the Meissner state is predicted to clearly deviate from the usual exponential decay at the surface. Though theoretical predictions are already half a century old, the direct experimental verification has been lacking. Signatures for non-local field penetration have been searched so far by induction techniques Drangeid and Sommerhalder (1962), magnetoabsorption resonance spectroscopy Doezema et al. (1984, 1986), and polarized neutron scattering reflectrometry (PNR) Nutley et al. (1994). The pioneering measurements of Drangheid and Sommerhalder Drangeid and Sommerhalder (1962) revealed that there is a sign reversal of $`B(z)`$ (as predicted by theory), but no further quantitative results could be drawn from this experiment. The magnetoabsorption resonance spectroscopy technique uses the fact that quasi-particles travelling parallel to the shielding current are bound to the surface by an effective magnetic potential. Indication of non-local effects in Al was inferred by comparing microwave induced resonant transitions between the energy levels of these bound states with transition fields calculated from the energy levels of the trapping potential, parameterized to include the shape of the non-local BCS-like potential Doezema et al. (1984, 1986). Due to the resonant character of the experiment, only few specific points of the potential are probed. In addition the normal metallic state has to be understood very well in order to interpret the data. This, together with uncertainties in modelling the surface bound states, makes the confirmation of the predicted functional form of $`B(z)`$ rather indirect. The specular reflectivity of neutrons spin polarized parallel or anti-parallel to $`𝑩`$ also depends on the field profile. However, this technique requires model-fitting of spin-dependent scattering intensities rather than giving a direct measure of the spatial variation of the magnetic field. Up to now non-local corrections have been found to lie beyond the sensitivity of PNR Nutley et al. (1994).

A direct measurement of $`B(z)`$ requires experimental probes that allow to measure microscopically the magnetic properties of the region extending only a few tens of nm away from the surface. We used the newly developed low energy muon spin rotation technique (LE-$`\mu `$SR) to map $`B(z)`$ in superconducting lead Morenzoni et al. (1994). We find that the functional dependence of $`B(z)`$ is indeed non-exponential and that it follows the predicted Pippard-BCS theory Pippard (1953); Bardeen et al. (1957); Nam (1967a, b); Halbritter (1971). We obtain a value for the London penetration depth $`\lambda _\mathrm{L}=57(2)`$ nm and a clean-limit coherence length $`\xi _0=90(5)`$ nm for Pb.

A weak external magnetic field acts on the ground state of the superconductor as a perturbation. Within a perturbation expansion one can show Schrieffer (1964); Tinkham (1980); Poole et al. (1995) that the following non-local relation between the supercurrent density $`𝒋`$ and the vector potential $`𝑨`$ holds (in Coulomb gauge $`𝑨=0`$):

$$j_\alpha (𝒓)=\underset{\beta }{}\underset{=:K_{\alpha \beta }\left(𝒓𝒓^{}\right)}{\underset{}{\left[R_{\alpha \beta }(𝒓𝒓^{})\frac{e^2n_\mathrm{S}}{m^{}}\delta (𝒓𝒓^{})\delta _{\alpha \beta }\right]}}A_\beta (𝒓^{})d𝒓^{}$$
(1)
where $`e`$ is the electron charge, $`n_\mathrm{S}`$ the supercarrier density, $`m^{}`$ the effective electron mass, and $`𝑨=𝑩`$. The first term in the square brackets, $`R_{\alpha \beta }`$, describes the paramagnetic response, whereas the second reflects the diamagnetic one. $`K_{\alpha \beta }`$ is called the kernel. If the wave function of the electronic ground-state were “rigid” with respect to all perturbations (rather than only those which lead to transverse excitations) $`R_{\alpha \beta }`$ would be identically zero and Eq.(1) would reduce to the local $`𝒋`$-$`𝑨`$ relation

$$j_\alpha (𝒓)=\frac{1}{\mu _0\lambda _\mathrm{L}^2}A_\alpha (𝒓)$$
(2)
with $`\mu _0`$ the magnetic permeability of the vacuum. This combined with the Maxwell equation $`𝑩=\mu _0𝒋`$ yields, at a plane superconductor-vacuum interface, the result of an exponentially suppressed magnetic field

$$B(z)=B_{\mathrm{ext}}\mathrm{exp}(z/\lambda _\mathrm{L})$$
(3)
with the London penetration depth $`\lambda _\mathrm{L}=\sqrt{{\displaystyle \frac{m^{}}{\mu _0e^2n_\mathrm{S}}}}`$, which is the well known result.

However, $`R_{\alpha \beta }`$ has a range of the order of the diameter of the Cooper pairs, i.e. of the coherence length $`\xi `$. The magnetic penetration depth sets the length scale for the decay of the magnetization; for $`\lambda \xi `$ the spatial variation of the vector potential $`𝑨`$ over the superconducting pairs is negligible and the one-parameter local description of Eq.(2) holds. If $`\xi \lambda `$ the full non-local description has to be taken into account. Fourier analysis of the perturbation and of the response show that spe

$$B(z)=B_{\mathrm{ext}}\frac{q}{q^2+\mu _0K(q\xi ,T,\mathrm{})}\mathrm{sin}(qz)dq$$
(4)
where $`q`$ is the wave vector, $`T`$ the temperature, and $`\mathrm{}`$ the electron mean free path. The functional form of $`K(q\xi ,T,\mathrm{})`$ (Fourier transform of the kernel in Eq.(1)), starting from microscopic considerations, is explicitly known in the weak (BCS) Bardeen et al. (1957); Halbritter (1971) and the strong coupling limit Nam (1967a, b); Swihart and Shaw (1971). The resulting formulae are rather involved but are very close to the phenomenological expression of Pippard Tinkham (1980); Pippard (1953)

$$\mu _0K(x,T,\mathrm{})=\frac{1}{\lambda _\mathrm{L}^2}\frac{\xi (T,\mathrm{})}{\xi (0,\mathrm{})}\left[\frac{3}{2}\frac{1}{x^3}\left\{\left(1+x^2\right)\mathrm{arctan}(x)x\right\}\right]$$
(5)
with $`x=q\xi (T,\mathrm{})`$ and $`{\displaystyle \frac{1}{\xi (T,\mathrm{})}}={\displaystyle \frac{J(0,T)}{\xi _0}}+{\displaystyle \frac{1}{\mathrm{}}}`$, where $`\xi _0`$ is the clean limit coherence length and $`J(0,T)`$ is given according to Ref. Bardeen et al. (1957). The kernel has the property $`\mu _0K(x0,T0)=\lambda _\mathrm{L}^2`$ (corresponding to the local limit). This holds for the BCS kernel as well.

Fig. 1 shows the theoretical predictions in the case that $`\xi \lambda `$. The main features can be understood qualitatively. In the non-local case the perturbing field changes over the extension of the Cooper pairs; since the charges within a Cooper pair do not experience the same force, the screening response is less effective and hence the field falls initially less rapidly than in the case of a point response. With the field penetrating further, at some range Cooper pairs “overcompensate”, which accounts for the curvature of $`\mathrm{log}(B(z))`$ as well as for the field reversal of $`B(z)`$ Drangeid and Sommerhalder (1962).

We have used the 100% polarized low energy muon beam at the Paul Scherrer Institute and the muon spin rotation technique ($`\mu `$SR) to directly determine the values of the magnetic field as a function of depth underneath the surface Morenzoni et al. (1994). With a tunable energy between 0.5 and 30 keV these particles are implanted one at a time at variable depth between $`1`$ nm and a few hundreds nm beneath the surface of the specimen. The local magnetic field $`B(z)`$ at the stop position causes the muon spin to precess. The temporal evolution of the spin polarization of the muon ensemble, $`P(t)`$, is monitored by the detection of the decay positrons which are anisotropically emitted preferentially in the direction of the muon spin at the moment of the decay Blundell (1999). This quantity is directly related by a Fourier transform to the internal magnetic field distribution sensed by the muon ensemble. The field distribution $`p(B)`$ is connected to the implantation profile of the muons $`n(z,E)`$ by:

$$n(z,E)\mathrm{d}z=p(B)\mathrm{d}B$$
(6)
which states that the probability that a muon will experience a field in the interval $`[B,B+\mathrm{d}B]`$ is given by the probability that it will stop at a depth in the range $`[z,z+\mathrm{d}z]`$. Integrating Eq. (6) on both sides yields:

$$_0^zn(\zeta ,E)d\zeta =_B^{\mathrm{}}p(\beta )d\beta ,$$
(7)
which, for a chosen $`z`$, is an equation for $`B`$. We calculate $`n(z,E)`$ with the Monte Carlo code TRIM.SP Eckstein (1991), which yields reliable implantation profiles for the muons, as shown in Ref. Morenzoni et al. (2002). Since $`n(z,E)`$ is known and $`p(B)`$ is measured, $`B(z)`$ can be uniquely determined.

To search for non-local effects we investigated thin films of type-I superconducting Pb. The films were sputtered directly onto sapphire or quartz crystals mounted on a He flow cryostat. The samples had a diameter of 50 mm and thickness of 1055(50) nm (sample I) and 430(20) nm (sample II) as determined by a high sensitivity surface profiler and Rutherford backscattering (RBS). For sample I an oxide-layer of 5.8(3) nm was found by RBS, whereas sample II had an oxide-layer of 16(2) nm. The critical temperature was determined by means of resistivity and susceptibility measurements to $`T_\mathrm{c}=7.21(1)`$ K. The mean free path was estimated to be $`100`$ nm from resistivity measurements. After zero field cooling a $`B_{\mathrm{ext}}=8.82(6)`$ mT was applied parallel to the surface. In the experiment low energy muons, $`\mu ^+`$, with their spin perpendicular to the magnetic field and their momentum were implanted in the samples at variable depth up to 150 nm and the decay positrons detected by scintillation counters surrounding the sample. Details and characteristics of the low energy $`\mu ^+`$ source and spectrometer are given in Morenzoni et al. (2000). The distribution $`p(B)`$ was derived by maximum entropy Fourier analysis of the muon spin precession frequency of the decay positron histograms Skilling and Bryan (1984); Rainford and Daniell (1994); Riseman and Forgan (2000).

The measured magnetic field penetration profiles $`B(z)`$ in the Meissner state of Pb at T = 3.05(3) K and T = 6.66(3) K, respectively, are shown in the Fig. 2 and 3 (sample I). Sample II gives consistent results. The curves show clear deviations from the exponential behavior with the characteristic curvature. Qualitatively, the initial slope of the curve is determined by $`\lambda `$, whereas the $`\mathrm{log}(B(z))`$ curvature is mainly governed by the ratio $`\xi /\lambda `$. The deviations are more pronounced at lower temperature: on approaching $`T_\mathrm{c}`$ the superconductor becomes more and more local. This is a consequence of the fact that $`\lambda `$ has a pronounced temperature dependence close to $`T_\mathrm{c}`$, but $`\xi `$ has not. The reversal of the penetrating field could not be detected since the muon range in the experiment was not large enough. We would like to point out that from Eq. (7) it follows that the functional relationship $`B(z)`$ can de determined from overlapping implantation profiles $`n(z,E)`$ obtained at different energies. In order not to overload the figures only some energies are shown (displayed in different colors). Fig. 2 shows for instance curves obtained with 5.2 and 14.8 keV data. Their small relative deviation is a measure of the uncertainty in the derivation of $`B(z)`$ and is an important selfconsistency test of the reliability of the results. For a more detailed discussion and a compilation of additional data we refer to a forthcoming publication. Figs. 2 and 3 also present the results from an alternative analysis using the mean values for $`B=Bp(B)dB`$ and $`z=zn(z,E)dz`$. The points $`B`$ plotted versus $`z`$ are in very good agreement with the curve $`B(z)`$ obtained from Eq.(7). As a further cross check for the sensitivity and accuracy of the method based on Eq.(7) we reanalyzed profiles in the Meissner state of optimally doped $`\mathrm{YBa}_2\mathrm{Cu}_3\mathrm{O}_{7\delta }`$ at $`T=20`$ K ($`T_\mathrm{c}=87.5`$ K, Jackson et al. (2000)). In this extreme type-II superconductor, at this temperature, the data perfectly follow an exponential law as expected for the local electrodynamic response (Fig.2 inset) and are also in very good agreement with the results previously obtained by an iterative solution of Eq.(6). Analyzing the Pb data with the BCS and Pippard theory leads to consistent results for $`\lambda _\mathrm{L}`$ and $`\xi _0`$. The strong electron-phonon coupling in Pb can be accounted for by a renormalization of the weak coupling parameters of the form $`\lambda _{\mathrm{BCS}}\lambda _\mathrm{L}/\sqrt{Z}`$ and $`\xi _{\mathrm{BCS}}\xi _0Z`$ with $`Z=1+\lambda _{\mathrm{e}\mathrm{ph}}2.55`$ for Pb Carbotte (1990) ($`\lambda _{\mathrm{e}\mathrm{ph}}`$, the electron phonon coupling). Compiling all the data, we find a magnetic penetration depth $`\lambda _\mathrm{L}=57(2)`$ nm and a coherence length $`\xi _0=90(5)`$ nm for $`T=0`$ K.

In conclusion, by using spin polarized muons of a few keV energy as surface sensitive magnetic microprobes, we have shown that the magnetic penetration profile at the surface of superconducting Pb is non-exponential and that non-local electrodynamics effects, as predicted by Pippard and BCS theory, are responsible for this behavior. We believe that the ability to measure magnetic profiles beneath surfaces and buried interfaces on the nm scale, by means of LE-$`\mu `$SR, opens the door to explore interesting systems from fundamental as well as from applied point of view. We look forward to further measurements of magnetic fields and fluctuations in surface superconductivity (e.g. proximity effects in multilayers, surface sheath) and magnetism.

This work was performed at the Swiss Muon Source (S$`\mu `$S), Paul Scherrer Institute, Villigen, Switzerland. We thank M. Horisberger for the preparation of the samples, M. Doebeli for the RBS measurements, D. Eshchenko and D. Ucko for the help during part of the measurements.