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# Coherence in Microchip Traps

Present address: \]Varian Physics 220, Stanford University, Stanford, CA 94305, U.S.A.

## Abstract

We report the coherent manipulation of internal states of neutral atoms in a magnetic microchip trap. Coherence lifetimes exceeding 1 s are observed with atoms at distances of $`5130\mu `$m from the microchip surface. The coherence lifetime in the chip trap is independent of atom-surface distance within our measurement accuracy, and agrees well with the results of similar measurements in macroscopic magnetic traps. Due to the absence of surface-induced decoherence, a miniaturized atomic clock with a relative stability in the $`10^{13}`$ range can be realized. For applications in quantum information processing, we propose to use microwave near-fields in the proximity of chip wires to create potentials that depend on the internal state of the atoms.

magnetic microtraps, atom chip, coherence, atomic clocks, quantum gates

Magnetic microchip traps provide one of the few available techniques for manipulating neutral atoms on the micrometer scale, and the only technique so far that enables nonperiodic, built-to-purpose micron-sized potentials ReichelFolman02 . The on-chip creation of Bose-Einstein condensates Ott01 ; Haensel01b  and the highly controlled manipulation of atomic motion in ‘atomic conveyor belts’, waveguides, and thermal beam splitters ReichelFolman02  are examples of the versatility of such ‘atom chips’. Due to these possibilities, chip traps are promising candidates for the implementation of quantum gates Calarco00 , quantum simulations Jane03 , and interferometric sensors Kasevich02 . The ability to manipulate superpositions of internal states of the trapped atoms is essential for most of these applications. In quantum information processing (QIP), two internal states $`|0`$ and $`|1`$ of the atom serve as qubit states. To perform gate operations, long coherence lifetimes of the superposition states $`\alpha |0+\beta |1`$ are required and therefore decoherence processes have to be avoided. Atoms in chip traps, however, can potentially suffer from a reduction of the coherence lifetime due to interaction with the surface of the chip Henkel03 , in addition to other decoherence mechanisms which are also present in macroscopic traps Harber02 .

In this letter, we demonstrate coherent manipulation of internal atomic states in a magnetic microchip trap. We create superpositions of two hyperfine ground states of 87Rb atoms in a thermal ensemble close to quantum degeneracy and perform Ramsey spectroscopy to determine the coherence lifetime (Fig. 1). With atoms at distances of $`5130\mu `$m from the surface of the chip, we observe coherence lifetimes exceeding 1 s. These lifetimes are independent of the atom-surface distance, and agree well with those observed in macroscopic magnetic traps Harber02 .

The observed robustness of the superposition states is an extremely encouraging result for atom chip applications in QIP and opens a new perspective on applications in precision metrology. We demonstrate an atomic clock in the chip trap and measure the relative stability of its transition frequency. Our measurements show that a portable atom chip clock with a relative stability in the $`10^{13}\tau ^{1/2}/\sqrt{\text{Hz}}`$ range is a realistic goal.

To realize the collisional phase gate proposed in Calarco00 , a state-selective potential is needed. We point out that state selectivity for our state pair can be provided by microwave potentials. These potentials, considered in the early 90s Agosta89 ; Spreeuw94  but abandoned later, gain new actuality as near-field traps on atom chips.

To achieve long coherence lifetimes with magnetically trapped atoms in the proximity of the chip surface, we choose the $`|F=1,m_F=1|0`$ and $`|F=2,m_F=1|1`$ hyperfine levels of the $`5S_{1/2}`$ ground state of 87Rb. The magnetic moments of the two states are approximately equal. At a magnetic field of $`B_03.23`$ G, both states experience the same first-order Zeeman shift and the remaining magnetic field dependence of the transition frequency $`\nu _{10}`$ is minimized Harber02 . In all of our experiments, we therefore adjust the field in the center of the trap to $`B_0`$. This greatly reduces spatial inhomogeneities of $`\nu _{10}`$ in the trap, since both states experience the same potential to good approximation. Furthermore, superpositions of this state pair are particularly robust against decoherence due to magnetic field noise. Thermal magnetic near-field noise has been predicted to be a relevant atom-surface coupling mechanism in the regime of distances studied here Henkel03 . For our state pair, this source of decoherence is suppressed by more than $`10^6`$ (the squared ratio of electron and nuclear magnetic moment) and we expect surface decoherence rates to be negligible.

Our experimental setup has been previously described Reichel99 ; Haensel01b . The magnetic potentials are created by sending currents through microscopic gold conductor patterns on a substrate and superposing a homogeneous bias field (Fig. 2). The preparation of the atomic ensemble proceeds in a multi-step sequence involving loading of the microtrap from a mirror-MOT, compression of the trap and evaporative cooling Haensel01b . By the end of this sequence, a Ioffe-type ‘measurement trap’ centered at the position C2 in Fig. 2a contains a thermal atomic ensemble of typically $`1.5\times 10^4`$ atoms in state $`|0`$ at a temperature of $`0.6\mu `$K.

The measurement trap is created by the currents $`I_0`$, $`I_1`$, and $`I_{M2}`$ and the bias field $`𝐁=(B_x,B_y,0)`$ shown in Fig. 2a. By adjusting all three currents and $`B_y`$, the atoms can be placed at distances $`d=0130\mu `$m from the chip surface (see Fig. 2b) with only small changes in the shape of the magnetic potential. For each experimentally studied distance, the field $`𝐁_{\text{min}}`$ at the center of the trap was calibrated spectroscopically Harber02  and set to $`|𝐁_{\text{min}}|=B_0`$ by adjusting $`B_x`$. Typical experimental parameters are $`I_0=500`$ mA, $`I_1=120`$ mA, $`I_{M2}=700`$ mA, $`B_y=5.50`$ G, and $`B_x=2.18`$ G, leading to trap frequencies $`(f_x,f_y,f_z)=(50,350,410)`$ Hz at $`d=9\mu `$m. The atoms are held in the measurement trap while the coherent internal state manipulation is performed. After the manipulation, the trap is switched off within $`150\mu `$s and the atoms are detected after a time of flight of typically 4 ms. Atoms are detected by absorption imaging on the $`F=2F^{}=3`$ transition. This allows direct determination of the number of atoms in state $`|1`$, $`N_1`$. To alternatively determine the number of atoms in state $`|0`$, $`N_0`$, we first blow away all atoms in $`|1`$ with the resonant probe light. The $`|0`$ atoms are then optically pumped to $`|F=2,m_F=+2`$ and imaged as before.

Coherent internal state manipulation is achieved by coupling $`|0`$ and $`|1`$ through a two-photon microwave-radio frequency transition. The microwave frequency $`\nu _{\text{mw}}`$ is detuned $`1.2`$ MHz above the $`|F=2,m_F=0`$ intermediate state and radiated from a sawed-off waveguide outside the vacuum chamber. The radio frequency $`\nu _{\text{rf}}`$ is either applied to the same external coil that is used for evaporative cooling, or to a wire on the chip. $`\nu _{\text{mw}}`$ and $`\nu _{\text{rf}}`$ are phase locked to an ultrastable 10 MHz quartz oscillator (Oscilloquartz OCXO 8607-BM, cf. Fig. 4). By applying the two-photon drive for a variable time and detecting the number of atoms transferred to $`|1`$, we observe Rabi oscillations with a resonant two-photon Rabi frequency of $`0.5`$ kHz. In this way, single-qubit rotations can be realized. The $`\pi `$-pulse transition probability is $`N_1/(N_0+N_1)=95\pm 5`$ %.

To test for decoherence of the superposition states, we perform Ramsey spectroscopy: The atoms in state $`|0`$ are held in the measurement trap for a time $`T_H`$ before a first $`\pi /2`$-pulse creates a superposition of $`|0`$ and $`|1`$. After a delay $`T_R`$, a second $`\pi /2`$-pulse is applied, and the resulting state is probed. Time-domain Ramsey fringes are recorded by varying $`T_R`$ while keeping $`\mathrm{\Delta }_R=\nu _{\text{mw}}+\nu _{\text{rf}}\nu _{10}`$ fixed ($`\mathrm{\Delta }_R\nu _{10}6.8`$ GHz). Alternatively, frequency-domain Ramsey fringes are recorded by scanning $`\mathrm{\Delta }_R`$ with constant $`T_R`$. Loss of coherence can show up in different ways in the Ramsey signal. A spatial variation of $`\nu _{10}`$ across the atomic ensemble leads to a decay of the fringe contrast, while temporal fluctuations of $`\nu _{10}`$ lead to increasing phase noise as $`T_R`$ is increased.

Figure 1 shows time-domain Ramsey fringes. The number of atoms detected in state $`|1`$ oscillates at the frequency difference $`\mathrm{\Delta }_R=6.4`$ Hz, while the interference contrast decays with a coherence lifetime of $`\tau _c=2.8\pm 1.6`$ s. The measurement of Fig. 1 was performed at $`d=9\mu `$m from the room-temperature chip surface. In Harber02 , similar coherence lifetimes are reported for the same state pair, but with atoms in a macroscopic magnetic trap, far away from any material objects. This suggests that atom-surface interactions indeed do not limit the coherence lifetime in our experiment.

To further probe for surface effects, we study decoherence as a function of atom-surface distance $`d`$ (Fig. 3). At each distance, we record frequency-domain Ramsey oscillations for several values of $`T_R`$ and determine the contrast $`C(T_R)`$ of each oscillation. Figure 3 shows the result for $`T_R=50`$ ms and $`T_R=1`$ s. Within the experimental error, the contrast does not show a dependence on atom-surface distance. Additionally, we have compared the signal-to-noise ratio $`S/N`$ of the interference signals at different $`d`$. We typically observe $`S/N=6`$ for $`T_R=1`$ s, where $`S`$ is the peak-to-peak amplitude of the sinusoidal fit to the Ramsey oscillation and $`N`$ is the standard deviation of the fit residuals over one oscillation period. $`S/N`$ is independent of $`d`$ within experimental error, indicating that the processes causing amplitude and phase fluctuations of the interference signal do not depend on atom-surface distance on this time scale.

The observed decoherence is mainly due to a combination of the residual differential Zeeman shift and the density-dependent collisional shift of $`\nu _{10}`$ across the ensemble Harber02 . Consequently, we observe a dependence of $`\tau _c`$ on the temperature $`T`$ and on the peak density $`n_0`$ of the atoms. To avoid systematic errors, we have checked that there is no systematic variation of $`T`$ and $`n_0`$ as $`d`$ is varied (see Fig. 3). The observed noise on the Ramsey oscillation is mostly phase noise and can be attributed to ambient magnetic field fluctuations (see below). For $`T_R>1`$ s the phase noise increases and obscures the oscillation even before the contrast has completely vanished.

To calibrate the atom-surface distance $`d=d_wh_e`$ (see Fig. 2b), we use two methods: For $`d>10\mu `$m, we apply a technique described in Schneider03  in which the imaging beam is slightly tilted towards the chip surface. For $`d<10\mu `$m, the distance $`d`$ can no longer be resolved by our imaging system. In this case, $`d_w`$ can be determined from a simulation of the trapping potential, but $`d`$ is affected by uncertainties in $`h_e`$, which was not well-controlled during manufacture. To determine $`h_e`$, we move the atoms close to the surface and measure the remaining atom fraction after 10 ms as a function of $`d_w`$ Lin03 . Using a model for atom loss due to the attractive Casimir-Polder surface potential Lin03 , which contains $`h_e`$ as the only free parameter, we determine $`h_e=27.1\mu `$m with a statistical error of $`0.1\mu `$m. Including errors in the model parameters, such as trap frequencies and temperature, we estimate an uncertainty in $`d`$ of $`\pm 1\mu `$m (error bars in Fig. 3).

Thermal magnetic field noise driving spin-flip transitions to untrapped states Henkel03  and surface evaporation have been observed to limit the lifetime $`\tau _N`$ of the atomic *population* near a surface Jones03 ; Harber03 ; Lin03 . We also observe these effects. The trap lifetime in state $`|0`$ decreases from $`\tau _N=11`$ s for $`d>20\mu `$m to $`\tau _N=1.6`$ s for $`d=5\mu `$m ($`\tau _N`$ for state $`|1`$ is slightly lower due to stronger coupling to the surface Henkel03  and dipolar relaxation). For $`d<5\mu `$m, this atom loss prohibits coherence measurements with $`T_R1`$ s. To distinguish loss of population from loss of *coherence*, $`T_H+T_R`$ is kept constant during the Ramsey scan by appropriately adjusting the hold time $`T_H`$ for each value of $`T_R`$. Thus, the overall time the atoms spend close to the surface is independent of $`T_R`$. $`N_0+N_1`$ at the time of detection therefore remains approximately constant. The small lifetime difference of the two states reduces $`C(T_R=1\text{s})`$ by less than $`5`$ %.

One motivation for atom chip research is the perspective of creating miniaturized cold-atom devices. Due to the long coherence lifetime, it is natural to consider utilizing the $`|0|1`$ transition in an atomic clock on the chip. We demonstrate the principle of such a clock and measure its frequency stability relative to the quartz reference oscillator. Figure 4a shows frequency-domain Ramsey fringes for $`T_R=1`$ s. We set the two-photon drive to the slope of the Ramsey resonance (arrow in the figure), and repeat the experiment many times with a cycle period of 23 s. Any temporal drift $`\delta \nu `$ of $`\nu _{10}`$ with respect to the reference will change $`\mathrm{\Delta }_R`$ and therefore show up as a variation $`\delta N`$ of $`N_1`$. From repeated measurements of $`\delta N`$ we determine the relative frequency fluctuations $`\delta \nu /\nu _{10}`$. In Fig. 4b we plot the Allan standard deviation $`\sigma (\tau )`$ Santarelli99  of $`\delta \nu /\nu _{10}`$ as a function of averaging time $`\tau `$.

For short $`\tau `$, $`\sigma (\tau )`$ decreases as $`\sigma (\tau )=1.7\times 10^{11}\tau ^{1/2}/\sqrt{\text{Hz}}`$, corresponding to shot-to-shot fluctuations of $`\delta \nu =24`$ mHz r.m.s. For $`\tau >6\times 10^2`$ s, the long-term drift of the reference leads to a departure from the $`\tau ^{1/2}`$ line. We have modeled the frequency fluctuations and can account for the observed value of $`\delta \nu `$. It is dominated by ambient magnetic field fluctuations of $`5`$ mG. Smaller contributions are due to $`4`$ % variations in total atom number leading to variations of the collisional shift Harber02 , and due to imperfections of the detection system. We estimate that realistic improvements — magnetic shielding, operation in a shallower trap at lower atomic density, shot-noise limited detection, and a 6 s cycle (which is realistic in a chip trap Haensel01b ) — will lead to a frequency stability in the $`10^{13}\tau ^{1/2}/\sqrt{\text{Hz}}`$ range. While this does not reach the stability level of fountain clocks, a chip-based clock has the advantage of a simple, compact and portable setup.

Applications of magnetic microtraps in QIP require long coherence lifetimes of the qubit in the presence of unavoidable magnetic field noise. A state pair with equal magnetic moments is therefore much better suited than any other combination of ground state sublevels. In Calarco00 , a phase gate with atoms in a magnetic microtrap was proposed, and a gate time of $`0.4`$ ms was estimated. Implementing this gate with atoms in states $`\{|0,|1\}`$ located $`5\mu `$m above a chip with micron-sized wires, $`10^3`$ gate operations could be performed before decoherence from magnetic noise occurs. The gate requires state-dependent potentials. However, a combination of static magnetic and electric fields, as considered in Calarco00 ; Krueger03 , does not provide state-selectivity for our state pair, whose magnetic moments and electrostatic polarizabilities are equal. Instead, we propose to apply tailored microwave near-fields and make use of the AC Zeeman effect (the magnetic analog of the AC Stark effect). In 87Rb, AC Zeeman potentials derive from magnetic dipole transitions near $`\omega _0/2\pi =6.835`$ GHz between the $`F=1`$ and $`F=2`$ hyperfine manifolds of the ground state. The magnetic component of a microwave field of frequency $`\omega _0+\mathrm{\Delta }`$ couples the $`|F=1,m_F`$ to the $`|F=2,m_{F}^{}{}_{}{}^{}`$ sublevels and leads to energy shifts that depend on $`m_F`$ and $`m_{F}^{}{}_{}{}^{}`$. In a spatially varying microwave field, this results in a state-dependent potential landscape.

A microwave trap based on AC Zeeman potentials was proposed in Agosta89  and experimentally demonstrated in Spreeuw94 . This trap employed microwave radiation in the far field of the source. Due to the centimeter wavelength $`\lambda _{\text{mw}}`$ of the radiation, field gradients were weak and structuring the potential on the micrometer scale is impossible. In a chip trap, on the other hand, atoms are trapped at distances $`d\lambda _{\text{mw}}`$ from the chip wires. Thus, they can be manipulated with microwave near fields, generated by microwave currents in the wires, which may be fed from a stripline Edwards81 . In the near field of the currents, the magnetic component of the microwave field has the same position dependence as a static magnetic field created by equivalent dc currents. In this way, state-dependent AC Zeeman potentials varying on the micrometer scale can be created. In combination with state-independent static magnetic traps, the potential geometries required for QIP can be realized.

To be specific, we consider a static-field trap at $`d=10\mu `$m from an additional chip wire carrying a microwave current of 20 mA$`_{\text{pp}}`$. The wire is oriented such that the magnetic component of the microwave field at the position of the atoms is polarized parallel to the local static magnetic field. The microwave couples $`|0|F=2,m_F=1`$ and $`|F=1,m_F=1|1`$ with identical resonant Rabi frequencies $`\mathrm{\Omega }_R/2\pi =2.4`$ MHz. The Zeeman splitting due to the static field (a few MHz) prevents two-photon transitions to other sublevels driven by polarization impurities. For $`\mathrm{\Delta }/2\pi =50`$ MHz, $`\mathrm{\Omega }_R\mathrm{\Delta }`$ and the coupling changes the static magnetic moment of the qubit states by only $`10^4\mu _\mathrm{B}`$ such that both states still experience the same static-field potentials. The microwave, on the other hand, leads to a differential energy shift of $`|0`$ and $`|1`$, $`U_{\text{mw}}\mathrm{}\mathrm{\Omega }_R^2/2\mathrm{\Delta }=h58`$ kHz, sufficiently large for the state-selective manipulation required in QIP. Besides this application, AC Zeeman potentials can be used to create microtraps for atoms in hyperfine sublevels such as $`m_F=0`$, which cannot be trapped in a static magnetic trap.

In conclusion, we have performed coherent internal state manipulation in a magnetic microchip trap with coherence lifetimes exceeding 1 s at distances down to $`5\mu `$m from the chip surface. This paves the way for a variety of applications, most notably chip-based quantum gates and atomic clocks.

We thank T. Udem and M. Zimmermann for the crystal reference oscillator. Work supported in part by the EU’s IST program (ACQP, IST-2001-38863).


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# Untitled Document

CUQM-101HEPHY-PUB 774/03UWThPh-2003-XXmath-ph/0311032 November 2003

The energy of a system of relativistic massless bosons

bound by oscillator pair potentials

Richard L. Hall1, Wolfgang Lucha2, and Franz F. Schöberl3

(1)Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Boulevard West, Montréal, Québec, Canada H3G 1M8 (2)Institut für Hochenergiephysik, Österreichische Akademie der Wissenschaften, Nikolsdorfergasse 18, A-1050 Wien, Austria (3)Institut für Theoretische Physik, Universität Wien, Boltzmanngasse 5, A-1090 Wien, Austria

rhall@mathstat.concordia.ca, wolfgang.lucha@oeaw.ac.at, franz.schoeberl@univie.ac.at

Abstract

We study the lowest energy $`E`$ of a semirelativistic system of $`N`$ identical massless bosons with Hamiltonian

$$H=\underset{i=1}{\overset{N}{}}\sqrt{\text{p}_i^2}+\underset{j>i=1}{\overset{N}{}}\gamma |\text{r}_i\text{r}_j|^2,\gamma >0.$$

We prove

$$A\left(\gamma N^2(N1)^2\right)^{\frac{1}{3}}EB\left(\gamma N^2(N1)^2\right)^{\frac{1}{3}},$$

where $`A=2.33810741`$ and $`B=\left(\frac{81}{2\pi }\right)^{\frac{1}{3}}=2.3447779.`$ The average of these bounds determines $`E`$ with an error less than $`0.15\%`$ for all $`N2.`$

PACS: 03.65.Ge, 03.65.Pm, 11.10.St One of the advantages of studying the semirelativistic “spinless-Salpeter” Hamiltonian  is that it captures some aspects of a full relativistic treatment and at the same time allows us to express the many-body problem in a tractable form. The principal source of mathematical difficulty is the kinetic-energy operator $`\sqrt{m^2+\text{p}^2}`$, which is defined in momentum space as a multiplicative operator , and becomes, via the Fourier transform, a non-local operator in configuration space. We have earlier found energy bounds  for systems of $`N`$ bosons in the case $`m0.`$ In the nonrelativistic limit $`m\mathrm{}`$ the kinetic energy has the Schrödinger asymptotic form $`\sqrt{m^2+\text{p}^2}m+\frac{\text{p}^2}{2m}.`$ Since the Schrödinger many-body harmonic-oscillator problem is exactly soluble \[5-7\], we were able to derive energy bounds that are asymptotically exact as $`m\mathrm{}.`$ The bounds were weakest in the ultrarelativistic limit $`m0.`$ It is the purpose of this paper to present accurate bounds for this limiting case $`m=0.`$ The Hamiltonian for the system we study is given by

$$H=\underset{i=1}{\overset{N}{}}\sqrt{\text{p}_i^2}+\underset{j>i=1}{\overset{N}{}}\gamma |\text{r}_i\text{r}_j|^2,\gamma >0.$$
$`(1)`$
We shall prove that the lowest energy $`E`$ of this system satisfies the inequalities

$$A\left(\gamma N^2(N1)^2\right)^{\frac{1}{3}}EB\left(\gamma N^2(N1)^2\right)^{\frac{1}{3}},$$
$`(2)`$
where the coefficients $`A`$ and $`B`$ are given by

$$A=\mathrm{Ai}(0)=2.33810741,\mathrm{and}B=\left(\frac{81}{2\pi }\right)^{\frac{1}{3}}=2.3447779.$$
$`(3)`$
The energy $`E`$ of the $`N`$-body system is therefore determined by the average of the bounds in Eq. (2) for all couplings $`\gamma >0,`$ and all $`N2,`$ with an error less than $`0.15\%.`$ In order to establish the energy bounds we must consider two fundamental symmetries: translational invariance, and boson permutation symmetry. The Hamiltonian $`H`$ includes the kinetic energy of the centre of mass. Therefore we choose a set of relative coordinates so that the kinetic energy of the centre of mass can be eliminated. The most convenient relative coordinates for our purposes are Jacobi coordinates defined in terms of the (column) vector $`[\text{r}]`$ of individual-particle coordinates by an orthogonal matrix $`R.`$ Thus we write $`[\rho ]=R[\text{r}].`$ Since $`R`$ is orthogonal, the conjugate momenta $`[\pi ]`$ are given in terms of the individual momenta $`[\text{p}]`$ by the expression $`[\pi ]=R[\text{p}].`$ The first of the Jacobi coordinates, $`\rho _1,`$ is proportional to the centre-of-mass variable, so that the elements of the first row are all equal to $`1/\sqrt{N}.`$ The other two coordinates which we shall need to refer to specially are $`\rho _2`$ and $`\text{p}_N`$ which are given explicitly in terms of the ‘other set’ by

$$\rho _2=\frac{\text{r}_1\text{r}_2}{\sqrt{2}},\text{p}_N=\frac{1}{\sqrt{N}}\pi _1\sqrt{\frac{N1}{N}}\pi _N.$$
$`(4)`$
The expression of the boson permutation-symmetry constraint in terms of Jacobi coordinates can be a source of complication. But we do not need to face this difficulty here: we simply exploit the ‘reducing power’ of the necessary boson symmetry to relate the $`N`$-body problem to a scaled two-body problem. Let us assume that $`\mathrm{\Psi }`$ is a normalized boson wave function of the $`N1`$ relative coordinates $`\{\rho _i\}_{i=2}^N.`$ By Lemma (1) established in Ref. , we know that an operator acting on $`\mathrm{\Psi }`$ with leading term $`\pi _1,`$ may be replaced by zero, even when the term is inside the kinetic-energy square root. This will be important later. We shall also use another important relation \[4, Eq. (2.5)\], namely

$$(\mathrm{\Psi },\rho _i^2\mathrm{\Psi })=(\mathrm{\Psi },\rho _2^2\mathrm{\Psi }),2iN.$$
$`(5)`$
An arbitrary boson wave function is not necessarily symmetric in the $`\{\rho _i\}_{i=2}^N,`$ but Eq. (5) is generally true, and is very useful. A special boson wave function which certainly is symmetric in the $`\{\rho _i\}_{i=2}^N`$ is the Gaussian function $`\mathrm{\Psi }_g`$ which also has another unique  and useful property, namely it factors into single-variable Gaussians $`\psi _g`$ as follows:

$$\mathrm{\Psi }_g(\rho _2,\rho _3,\mathrm{},\rho _N)=\underset{i=2}{\overset{N}{}}\psi _g(\rho _i),\psi _g(r)=\left(\frac{a}{\pi }\right)^{\frac{3}{4}}\mathrm{exp}\left(\frac{ar^2}{2}\right),a>0.$$
$`(6)`$
That $`\mathrm{\Psi }_g`$ has the correct boson symmetry follows immediately from the following identity valid for Jacobi relative coordinates

$$N\underset{i=2}{\overset{N}{}}\rho _i^2=\underset{1=i<j}{\overset{N}{}}|\text{r}_i\text{r}_j|^2.$$
$`(7)`$
In momentum space the Gaussian transforms to a Gaussian by the three-dimensional Fourier transform $`_3`$ as follows:

$$\varphi _g=_3(\psi _g),\varphi _g(k)=\left(\frac{1}{a\pi }\right)^{\frac{3}{4}}\mathrm{exp}\left(\frac{k^2}{2a}\right).$$
$`(8)`$
The lower energy bound is found by the following argument. We suppose that $`\mathrm{\Psi }`$ is the exact ground-state wave function for the $`N`$-body system corresponding to energy $`E`$ and, using the necessary boson symmetry, we write

$$E=(\mathrm{\Psi },H\mathrm{\Psi })=(\mathrm{\Psi },\left\{N\sqrt{\text{p}_N^2}+\left(\genfrac{}{}{0pt}{}{N}{2}\right)\gamma |\text{r}_1\text{r}_2|^2\right\}\mathrm{\Psi }).$$

By employing (4) and (5) in succession, and noting that the lemma allows us to remove the operator $`\pi _1`$ from the square root, we arrive at the relation

$$E=(\mathrm{\Psi },H\mathrm{\Psi })=(\mathrm{\Psi },\left\{\alpha ^{\frac{1}{2}}\sqrt{\pi _N^2}+\alpha \gamma \rho _N^2\right\}\mathrm{\Psi }),\mathrm{where}\alpha =N(N1).$$

Thus the $`N`$-body energy $`E`$ is bounded below by the lowest energy $`^L`$ of the one-body Hamiltonian

$$=\alpha ^{\frac{1}{2}}\sqrt{\text{p}^2}+\alpha \gamma \text{r}^2\genfrac{}{}{0pt}{}{_3}{}\alpha ^{\frac{1}{2}}r+\alpha \gamma \text{p}^2.$$

But $`_3()`$ is the Hamiltonian for the Schrödinger problem of a single particle moving in a linear potential $`r.`$ Thus we find

$$E^L=A(\gamma \alpha ^2)^{\frac{1}{3}},\mathrm{where}A=\mathrm{Ai}(0)2.33810741$$

is the first zero of Airy’s function, and is also exactly the bottom of the spectrum of $`\text{p}^2+r`$ in three dimensions. This establishes the lower energy bound.

The upper bound is found by means of the Gaussian ‘trial’ function $`\mathrm{\Psi }_g`$ discussed above. We have

$$E^U(a)=(\mathrm{\Psi }_g,H\mathrm{\Psi }_g)=\alpha ^{\frac{1}{2}}(\varphi _g,k\varphi _g)+\alpha \gamma (\psi _g,r^2\psi _g).$$

That is to say

$$^U(a)=\left(\frac{4\alpha a}{\pi }\right)^{\frac{1}{2}}+\frac{3\alpha \gamma }{2a}.$$

By minimizing with respect to the variational parameter $`a>0`$ we obtain

$$E^U=B(\gamma \alpha ^2)^{\frac{1}{3}},\mathrm{where}B=\left(\frac{81}{2\pi }\right)^{\frac{1}{3}}2.3447779.$$

This result establishes the upper bound. It is perhaps tempting to try to improve the upper bound by the use of a more flexible trial function. However, it is not trivially easy to accomplish this, and to keep the calculation and result simple, since we must use a translation-invariant boson function.

It is interesting that there is a relationship between the problem discussed in this paper and the corresponding Schrödinger problem with a linear potential and $`m>0.`$ To be more precise, if we consider the nonrelativistic problem with Hamiltonian $`\stackrel{~}{H}`$ given by

$$\stackrel{~}{H}=\underset{i=1}{\overset{N}{}}\frac{\text{p}_i^2}{2m}+\underset{j>i=1}{\overset{N}{}}\lambda |\text{r}_i\text{r}_j|,\lambda >0,$$
$`(9)`$
then we have shown \[10, Eq. (4.16)\] that the lowest energy $`\stackrel{~}{E}`$ of $`\stackrel{~}{H}`$ is bounded by the inequalities

$$A\left(N^2(N1)^3\frac{\lambda ^2}{4m}\right)^{\frac{1}{3}}\stackrel{~}{E}B\left(N^2(N1)^3\frac{\lambda ^2}{4m}\right)^{\frac{1}{3}},$$
$`(10)`$
where the coefficients $`A`$ and $`B`$ are exactly as given in Eq. (3) above. The two problems are brought more nearly into ‘coincidence’ if we set $`2m=1.`$ The remaining differences, involving $`N`$ and $`\lambda `$, can then be understood if one notes that the $`\left(\genfrac{}{}{0pt}{}{N}{2}\right)`$ factor must be associated with the ‘potential terms’ in each case, and, similarly, the $`\lambda `$ and $`\gamma `$ couplings must be made to ‘correspond’ by scaling, as the Fourier transformation, which relates the two systems, is applied. With the aid of such arguments, the ‘almost equivalence’ of the problems could eventually be used formally to extract our main result. However, we present these considerations here merely as a confirmation of our results; we prefer to develop more widely applicable direct approaches for the semirelativistic many-body problem itself, valid for all $`m0.`$

Acknowledgements

Partial financial support of this work under Grant No. GP3438 from the Natural Sciences and Engineering Research Council of Canada, and the hospitality of the Institute for High Energy Physics of the Austrian Academy of Sciences in Vienna, is gratefully acknowledged by one of us \[RLH\].

References

 E. E. Salpeter and H. A. Bethe, Phys. Rev. 84, 1232 (1951).

 E. E. Salpeter, Phys. Rev. 87, 328 (1952).

 E. H. Lieb and M. Loss, Analysis (American Mathematical Society, New York, 1996). The definition of the Salpeter kinetic-energy operator is given on p. 168.

 R. L. Hall, W. Lucha, and F. F. Schöberl, J. Math. Phys. 43, 1237 (2002); Erratum ibid. 44, 2724 (2003).

 W. M. Houston, Phys. Rev. 47, 942 (1935).

 H. R. Post, Proc. Phys. Soc. London 66, 942 (1953).

 R. L. Hall, Phys. Rev. A 51, 3499 (1995).

 R. L. Hall, Can. J. Phys. 50, 305 (1972).

 R. L. Hall, Aequ. Math. 8, 281 (1972).

 R. L. Hall, J. Math. Phys. 29, 990 (1988).


text:
# Ideal kink instability of a magnetic loop equilibrium

## 1 Introduction

Magnetic loops are the elementary building block of the solar corona and of low-plasma-beta environments of astrophysical objects in general. Understanding their instabilities is one of the fundamental problems in corona physics. Due to the small plasma beta ($`\beta =P_{\mathrm{kin}}/P_{\mathrm{mag}}10^3\mathrm{}10^2`$ in the inner solar corona), the magnetic configuration of stable loops must be nearly force free. Any instability must be caused by currents flowing mainly along the loops. A sigmoidal (S- or inverse-S) shape of the projection of loops onto the solar surface is regarded as a signature of such currents, and indeed, a strong sigmoidal shape of soft X-ray loops correlates with eruptive activity (Canfield et al., 1999).

The stability of current-carrying force-free (or nearly force-free) fields was extensively studied for toroidal geometry in fusion research (see, e.g., Biskamp, 1993) and for cylindrical geometry with fixed ends in the astrophysical context. The latter is considered as an approximation to coronal loops with large aspect ratio which includes the effect of photospheric line tying (e.g., Hood & Priest, 1981; Velli et al., 1990; Mikić et al., 1990; Einaudi, 1990; Hood, 1992; Baty & Heyvaerts, 1996; Baty, 2001; Gerrard et al., 2002). It was found that the stability is mainly controlled by the total twist,

$$\mathrm{\Phi }=\frac{lB_\varphi (r)}{rB_z(r)},$$
(1)
where $`l`$ is the length of the current-carrying flux system, $`r`$ is the (minor) radius, and $`B_z`$ and $`B_\varphi `$ are the axial and azimuthal field components, respectively. In addition, the radial profile of the twist, the effect of line tying, and the ratio of radius and twist scale length ($`\lambda =2\pi l/\mathrm{\Phi }`$) are important. For example, the uniformly twisted force-free toroidal or periodic cylindrical configuration is kink-unstable for $`\mathrm{\Phi }>\mathrm{\Phi }_\mathrm{c}=2\pi `$, but line tying raises the instability threshold to $`2.5\pi `$ (Hood & Priest, 1981; Einaudi & Van Hoven, 1983). Localizing the current within a certain radius, $`a`$, and embedding it in a potential field also raises the threshold (as any substantial radial variation of the twist). Configurations of this type were found to be stable for $`\mathrm{\Phi }_{\mathrm{max}}5\pi `$, where $`\mathrm{\Phi }_{\mathrm{max}}`$ is the peak value of the twist in the configuration (Mikić et al., 1990; Baty & Heyvaerts, 1996). The instability threshold of embedded loops rises strongly if their radius becomes very small, i.e. if $`\delta =2\pi a/\lambda 1`$ (Baty, 2001). For cylindrical line-tied force-free configurations it was also shown that the longest-wavelength kink mode (azimuthal wave number $`m=1`$) becomes unstable before any other mode in the ideal MHD limit (Van der Linden & Hood, 1999).

The stability of arched magnetic loops has not yet been investigated. However, numerical studies of the injection of twist by slow vortex motions at the footpoints of an initially current-free loop-shaped flux bundle indicate that raising the twist of a loop beyond a critical value leads to destabilization (Amari et al., 1996; Török & Kliem, 2003). The critical twist lies in the range $`2.5\pi <\mathrm{\Phi }_\mathrm{c}<2.75\pi `$ for the specific initial configurations studied. The driving by photospheric vortices generally influences a large surrounding volume in addition to the twisted loop. It also causes an increase of the loop length and width with increasing twist. Clearly, a stability consideration of loops free from such additional influences is needed.

In this paper we study the stability of the loop model by Titov & Démoulin (1999), cited as T&D in the following (see their Fig. 2 for a schematic). This approximate, cylindrically symmetric, force-free equilibrium consists of a toroidal ring current of major radius $`R`$ and minor radius $`a`$, whose outward-directed Lorentz self-force is balanced with the help of a field by two fictitious magnetic charges of opposite sign which are placed at the symmetry axis of the torus at distances $`\pm L`$ to the torus plane. That axis lies below the photospheric plane $`\{z=0\}`$ at a depth $`d`$. The resulting field outside the torus is current-free and contains a concentric magnetic X line between the torus and its centre. A toroidal field component created by a fictitious line current running along the symmetry axis is added. Its strength controls the twist of the field in the torus, and it turns the X line into a hyperbolic flux tube (HFT; for a definition, see Titov et al., 2002). The existence of the HFT is generic to such force-free configurations with a net current. The accuracy of the obtained equilibrium improves with decreasing parameters $`a/R`$ and $`a/L`$. Its section in the volume $`\{z>0\}`$ is a model of a coronal magnetic loop.

T&D have investigated the stability of the torus with respect to global expansion (growing perturbations $`\delta R>0`$) and found instability for sufficiently large radii, $`R\sqrt{2}L`$. Roussev et al. (2003) confirmed this recently by numerical simulations, which also suggested that the instability threshold lies near $`5L`$ and that the slow decrease of the surrounding toroidal field with distance from the generating line current leads to saturation of the instability and prevents the loop from erupting. In the following, we investigate the stability of the configuration with respect to ideal kink modes in dependence of the twist in its coronal part.

## 2 Numerical model

Using the force-free equilibrium by T&D as the initial condition, we integrate the compressible ideal MHD equations to study whether instabilities occur. Based on the small value of the plasma beta in the inner corona, we use the simplifying assumption $`\beta =0`$ in most of our parametric study:

$`_t\rho `$ $`=`$ $`(\rho u),`$ (2)
$`\rho _tu`$ $`=`$ $`\rho (u)u+j\mathbf{\times }B+𝖳,`$ (3)
$`_tB`$ $`=`$ $`\mathbf{\times }(u\mathbf{\times }B),`$ (4)
$`j`$ $`=`$ $`\mu _0^1\mathbf{\times }B.`$ (5)
Here $`𝖳`$ denotes the viscous stress tensor ($`𝖳_{ij}=\rho \nu [u_i/x_j+u_j/x_i(2/3)\delta _{ij}u]`$) and $`\nu `$ is the kinematic viscosity, included to facilitate relaxation toward equilibrium in the stable cases.

The condition $`\beta =0`$ ensures that the numerically obtained stable equilibria are force free, and in the unstable regime it yields higher growth rates than the runs with $`\beta >0`$. Hence, the threshold for onset of instability is correctly obtained. For a few parameter sets, growth rates were also determined with the pressure gradient term, $`p`$, included in Eq. (3); a standard form of the energy equation and an adiabatic equation of state were then added to Eqs. (2-5), as e.g., in Kliem et al. (2000).

The equations are normalized in the usual manner (see, e.g., Török & Kliem, 2003) by quantites derived from a characteristic length, taken here to be $`L`$, and the magnetic field, $`B_0(0,0,Rd)`$, and Alfvén velocity, $`v_{\mathrm{a0}}(0,0,Rd)`$, at the loop axis at $`t=0`$. The loop is chosen to lie in the plane $`\{x=0\}`$. The initial density distribution is specified such that the Alfvén velocity is uniform, $`\rho _0=B_0^2`$, and in most cases the computation is started with the system at rest, $`u_0=0`$.

A modified Lax-Wendroff scheme is used on a nonuniform Cartesian grid in a box $`[L_x,L_x]\times [0,L_y]\times [0,L_z]`$ with minimum grid spacing at the origin and very slowly increasing grid spacing toward the upper, side, and back boundaries. $`L_x=L_y=L_z/2=5`$ and $`\mathrm{\Delta }x_{\mathrm{min}}=\mathrm{\Delta }y_{\mathrm{min}}=\mathrm{\Delta }z_{\mathrm{min}}=0.02`$ are used. Line symmetry with respect to the $`z`$ axis is prescribed at the front boundary, $`\{y=0\}`$, in order to use the available computing resources efficiently for maximum resolution. This implies $`u_{x,y}(0,0,z)=0`$. The variables are held fixed at their initial values at all other boundaries except for the bottom, where the tangential magnetic field components are extrapolated onto the ghost points. This permits a weak evolution of the fields in the plane $`\{z=0\}`$ ($`u(t)=0`$ and $`\rho (t)=\rho _0`$ in $`\{z<0\}`$), enhancing stability in comparison to a bottom boundary with fixed variables (i.e., permitting the use of small diffusion parameters). A test run with fixed magnetic field at the bottom boundary (at $`R=2.2`$, $`\mathrm{\Phi }_{\mathrm{loop}}=4.9\pi `$) gave qualitatively identical results with a reduction of the growth rate by only 4 percent. A small amount of artificial spatial smoothing, $`1\sigma _\rho =1\sigma _u=0.005`$, is applied to the variables $`\rho `$ and $`u`$, respectively, to stabilize the scheme in addition to the stabilization by the viscosity ($`\nu =0.05`$); see Török & Kliem (2003) for a detailed description of the numerical tools.

## 3 Kink instability

We start with a parameter set that is very close to those used by T&D and yields a configuration with left-handed field line twist which is stable against both global expansion and kink modes. We choose $`d=L=1`$ (50 Mm), $`R=2.2`$, and the number of field line turns about the axis of the whole torus at its surface to be $`N_\mathrm{t}=5`$, the coronal part being $`N_{\mathrm{loop}}=1.75`$. The values of the currents and charges used by T&D and their equilibrium conditions then yield $`a=0.65`$. (The larger $`R`$, the smaller the resulting $`a/R`$, so we have chosen a value of $`R`$ not much smaller than the estimated stability limit of the global expansion mode). The resulting coronal loop is shown in Fig. 1.

The T&D equilibrium has the property that the radial variation of the twist becomes substantial for $`N_\mathrm{t}R/a`$ (Fig. 2). The average twist of this configuration is found to be $`\mathrm{\Phi }_\mathrm{t}=6.0\pi `$, the fraction in its coronal part being $`\mathrm{\Phi }_{\mathrm{loop}}=2.1\pi `$ (Table 1). Figure 1 shows that the loop is stable for these parameters and relaxes to a numerically force-free configuration very close to the approximate analytical equilibrium. The fluid velocity at the loop apex oscillates about zero with monotonically decreasing amplitude ($`<9\times 10^5`$ by $`t=78`$). The HFT collapses into a small vertical current sheet as the loop settles to the numerical equilibrium, causing its inner edge to bulge out slightly (both effects are very weak at higher $`\mathrm{\Phi }`$, as long as $`\mathrm{\Phi }_{\mathrm{loop}}<\mathrm{\Phi }_\mathrm{c}`$.)

To check the stability of the loop, we have applied velocity perturbations uniform in direction with peak magnitude $`u_1=0.05`$ in a spherical volume with radius $`a`$ and Gaussian profile at the loop apex, ramped up over 10 Alfvén times ($`\tau _\mathrm{a}=L/v_{\mathrm{a0}}`$) and then switched off. Both upward and downward directed perturbations were damped away within $`20\tau _\mathrm{a}`$.

Next we consider the case $`N_\mathrm{t}=15`$ ($`\mathrm{\Phi }_{\mathrm{loop}}=4.9\pi `$). This configuration shows the spontaneous development of the long-wavelength ($`m=1`$) kink mode very clearly (Figs. 3 and 4). The mode is initiated by the weak, downward-directed forces that result from the initial discretization errors of the current density on the grid. The figures also show a run with a small upward initial velocity perturbation applied at the apex ($`u_1=0.01`$, ramped up over $`5\tau _\mathrm{a}`$); in this case the $`m=1`$ kink mode grows in a similar manner in the linear phase, with an azimuthal phase shift of $`\pi `$ (opposite sigmoidal shape). Similar to the cylindrical case, the growth of the mode leads to the formation of a helically shaped current sheet at the interface of the perturbed loop with the surrounding magnetofluid. The upward directed kink instability of the loop forms a second, nearly vertical current sheet, at the HFT underneath, which does not occur in the cylindrical kink. The peak current density in these sheets rises exponentially in the linear phase of the instability and exceeds that in the kinked loop in the nonlinear stage. The implications of the helical kinking and current sheet formation for the interpretation of sigmoidal structures in the solar corona have been discussed in Kliem et al. (2003).

Figure 4 shows that the apex displacement grows exponentially: an instability occurs. The total kinetic energy in the box grows exponentially as well. Upward perturbations grow at a slightly higher rate because the restoring forces due to the toroidal field by the line current, the inertia of the fluid, and the effect of approach to a closed boundary are all weaker than for downward displacements. We expect that the kink mode with a sideward directed perturbation at the loop apex, which can in a first approximation be regarded as an azimuthally phase-shifted mode, is quantitatively similar to the modes with vertical perturbation at the apex studied here.

A fit of the growth rates for $`R=2.2`$ suggests a critical average twist for onset of kink instability in the T&D equilibrium of $`\mathrm{\Phi }_\mathrm{c}3.5\pi `$, occurring at an aspect ratio of $``$ 5 (Fig. 5, Table 1). This threshold is similar to that found for cylindrical equilibria with similar twist profiles (e.g., Mikić et al., 1990; Baty & Heyvaerts, 1996). The growth rates, when normalized in the same manner ($`\gamma a/v_{\mathrm{a0}}[\mathrm{\Phi }_{\mathrm{loop}}\mathrm{\Phi }_\mathrm{c}]`$), are also similar (the factor $``$ 1/2 in our growth rates nearly disappears if viscosities $`\nu 0.005`$ are chosen; however, then the $`m=2`$ mode starts to grow, which will be investigated separately).

A similar picture is obtained for larger loop radius $`R`$ (and aspect ratio $`R/a`$). Since the parameter $`\delta `$ decreases with increasing $`R`$, the threshold of instability increases (Fig. 5). The threshold is probably smaller than $``$ 3.5$`\pi `$ for $`R<2.2`$, but the corresponding small aspect ratios are not characteristic of solar coronal loops. All growth rates are invariant against a reversal of the sign of the twist.

Runs with nonvanishing pressure (set uniform initially such that at the loop axis $`\beta =0.01;\mathrm{\hspace{0.17em}0.03};\mathrm{\hspace{0.17em}0.1}`$) show identical qualitative behaviour with reduced growth rates (Fig. 5).

The instability enters a nonlinear saturation phase in all runs. The apex velocity then drops, but the current density in the formed sheets continues to rise until numerical instability is unavoidable. Apparently, a global eruption is not reached in ideal-MHD simulations, due to the counteraction by the strong overlying field in the model, as also found by Roussev et al. However, the exponential rise and helical shape of the loop and the saturation correspond excellently to eruptive filaments that do not succeed to escape from the Sun (Ji et al., 2003).

Finally, we have checked whether the numerical equilibria develop a sigmoidal shape as the twist approaches $`\mathrm{\Phi }_\mathrm{c}`$ from below. No indication of sigmoidality could be found up to $`\mathrm{\Phi }_{\mathrm{loop}}=3.3\pi `$ ($`N_t=9`$). Even after applying an upward initial perturbation as in the run with $`N_t=5`$, the loop relaxed to its original circular shape, straight in projection and similar to that shown in Fig. 1.

## 4 Conclusions

The magnetic loop equilibrium by Titov & Démoulin (1999) is kink-unstable for twists $`\mathrm{\Phi }>\mathrm{\Phi }_\mathrm{c}`$, with $`\mathrm{\Phi }_\mathrm{c}3.5\pi `$ at a loop aspect ratio $`R/a5`$. The instability threshold rises with rising aspect ratio. No indication of sigmoidal shape at slightly subcritical twists was found. The unstable kink mode with upward displacement of the loop apex forms a vertical current sheet at the HFT underneath the loop, which has no counterpart in kink-unstable cylindrical loop models but corresponds to the central element of the “standard flare model” (e.g., Shibata, 1999). The surrounding potential field eventually terminates the exponential growth of kink modes in the considered configuration, apparently inhibiting a global eruption within the framework of ideal MHD. However, the configuration may nevertheless suffer a global eruption if (a) a surrounding field which decreases more rapidly with height is employed, (b) magnetic reconnection is permitted to occur in the formed current sheets, or (c) magnetic reconnection with neighbouring loops is triggered in a multiple-loop configuration.

###### Acknowledgements.

This investigation was supported by BMBF/DLR grants 50 OC 9901 2, and 01 OC 9706 4, by the Volkswagen Foundation, and by EU grant HPRN-CT-2000-00153. The John von Neumann-Institut für Computing, Jülich granted Cray computer time.


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# Real payoffs and virtual trading in agent based market models

## 1 Introduction

The Minority Game (MG) has addressed many issues to understand complex systems with special emphasis on modelling market mechanism. Although the Minority Game is a very simple model, it contains the main ingredients to reproduce a rich behavior such as that observed in financial market . These features arise from relatively simple rules used to define the interaction of agents. In particular the MG assumes that market interaction is such that it pays to be in the minority. This assumption was recently challenged by Andersen and Sornette  who derived a different market payoff considering the profits of round-trip transactions (buy/sell or sell/buy). A round-trip requires at least 2 transactions and hence the market payoff depends on the price at two different times, i.e. on the action of traders at different times. The traders in the model introduced by Andersen and Sornette, called $-Game model, use this market payoff to judge the performance of their strategies. This leads to a market behavior which is very different from that of the Minority Game. In particular traders using the correct market payoff are found to perform better than those who base their behavior on the MG payoff. This models was analyzed also by Jefferies and Johnson , that discuss different aspects of market models.

A key observation is that, in the $-game the real market payoff is assessed on the basis of virtual trading: round trip transactions are used to evaluate trading strategy, but they are not actually implemented by traders. For example, if an agent bought some shares of asset at time $`t1`$, she/he will consider the virtual payoff of selling these shares at the current price at time $`t`$, without actually selling it. Using virtual trades to asses market payoff might be a realistic behavioral assumption. Irrespective of this, a key issue is to understand what are the consequences of this assumption on the collective behavior of the market. More precisely, how does market’s behavior differs if agents use virtual or real trades to asses market payoffs?

The naïve arguments which suggests that the difference is very small, contends that prices depend very weakly on a particular trader’s transaction. Whether a transaction was really carried out or not should not affect much the aggregate behavior. These type of arguments are known to be problematic in heterogeneous agent market models, and indeed fail both in the majority  and in the minority game  as well as in other asset market models . In other words, while the impact of each trader may be small on the aggregate, the effect of all traders neglecting their impact can be dramatic.

We shall come to a quite similar conclusion, namely that virtual or real trading makes a difference in market’s behavior. More precisely, we show that when agents use round-trip transactions both in the definition of market payoff and in their actual behavior we recover a behavior which is similar to that of the MG. Indeed round-trip transactions induces anti-correlations in market returns and Ref.  show that market payoff reduces to those assumed in the MG when the market returns are anti-correlated.

In order to do this we need to introduce slightly more complex models based on two times: decision making consists on a round-trip action where the agents decide to buy or sell at time $`t`$ and do the opposite (sell or buy) at time $`t+1`$, then they evaluate the result in the next time step. In addition to this we also aim to studying the interaction between different types of traders, using the minority, majority or $-Game payoff.

The paper is organized as follows: in section 2 we derived the market payoff following Ref.  and we discuss the key observable. Then we analyze single time models in section 3 and then we move to two times models in section 4. Homogeneous populations and mixed populations are studied. Finally we give some concluding remarks in section 5.

## 2 Market Payoff

Now we will derive the minority and the majority mechanism from the market’s dynamics. A single step in the Minority Game model could be split in three stages. First of all, at time $`tϵ`$ the agent submits an order $`a_i(t)=\pm 1`$ (buy or sell) that is going to be useful in computing the aggregate value $`A(t)=_ia_i(t)`$, at time $`t`$. At time $`t+ϵ`$ the agents update their experience simply by evaluating the success of their action. Focusing on one agent $`i`$, we can assert that if $`a_i(t)=1`$ he/she contributes with 1$ to the market demand and if $`a_i(t)=1`$ he/she contributes with $`1/p(t)`$ for the supply where $`p(t)`$ is the price of the cost transaction. The total demand and supply are given by $`D=\frac{N+A(t)}{2}`$ and $`S=\frac{NA(t)}{2p(t)}`$ units of assets respectively. Then following the paper , let’s fix the price $`p(t+1)`$ in such a way that the demand matches the supply, i.e.,

$$p(t+1)=p(t)\frac{N+A(t)}{NA(t)}$$
(1)
Let’s discuss how the market payoff is defined. To reward someone for their decisions we need to wait at least two successive transactions. For example, if one buys a stock for the price $`p(t)`$ only later, at time $`t^{}`$ when the price will be $`p(t^{})`$, we are able to know if buying was profitable. So the market payoff has an inter-temporal nature which depends at least on two prices. We can consider for agent $`i`$ the capital $`C_i(t)=M_i(t)+p(t)S_i(t)`$, which quantifies the agent wealth at each time step. This quantity depends on the the amount of money $`M_i(t)`$ and asset $`S_i(t)`$ which she/he owns at time $`t`$, and the current price $`p(t)`$.

Suppose the agent $`i`$ decides to buy stocks $`a_i(t)=1`$ at price $`p(t+1)`$, so the position changes to $`M(t+1)=M(t)1`$ and $`S(t+1)=S(t)+1/p(t+1)`$. Alternatively, if the decision was to sell stocks, so $`M(t+1)=M(t)+p(t+1)/p(t)`$ and $`S(t+1)=S(t)1/p(t)`$. In a compact way, we can express the same result as

$`M(t+1)`$ $`=`$ $`M(t)a(t){\displaystyle \frac{Na(t)A(t)}{NA(t)}}`$ (2)
$`S(t+1)`$ $`=`$ $`S(t)+{\displaystyle \frac{a(t)}{p(t+1)}}{\displaystyle \frac{Na(t)A(t)}{NA(t)}}`$ (3)
After a simple algebra we obtain the capital increment,

$$C(t+1)C(t)=[p(t+1)p(t)]S(t)$$
(4)
which means that there is no gain from a single transaction apart from capital gain. Then gain is due to a price changing. Now consider that $`a_i(t+1)=a_i(t)`$. This results in:

$`M(t+2)`$ $`=`$ $`M(t)a(t){\displaystyle \frac{Na(t)A(t)}{NA(t)}}+a(t){\displaystyle \frac{N+a(t)A(t+1)}{NA(t+1)}}`$ (5)
$`S(t+2)`$ $`=`$ $`S(t)+{\displaystyle \frac{a(t)}{p(t+1)}}{\displaystyle \frac{Na(t)A(t)}{NA(t)}}{\displaystyle \frac{a(t)}{p(t+2)}}{\displaystyle \frac{N+a(t)A(t+1)}{NA(t+1)}}`$ (6)
The capital will be update by

$$C(t+2)=C(t)+[p(t+2)p(t)]S(t)+Q(t+1)R(t)\frac{A(t+1)a(t)}{N}$$
(7)
where

$$R(t)=\frac{1a(t)A(t)/N}{1A(t)/N}andQ(t+1)=\frac{2}{1+A(t+1)/N}$$
(8)
are constants of order 1 if $`A(t),A(t+1)N`$.

Note that in Eq. (7) the first term corresponds to the capital gain. From the second term we derive the payoff update

$$u_i^\$(t+1)u_i^\$(t)=a_i(t)A(t+1)$$
(9)
as proposed by Andersen, et.al . Previously, Giardina, et. al  proposed a quite similar payoff function on their models. Ref.  observes that, at time $`t`$ the agent doesn’t know the excess demand $`A(t+1)`$. However he/she may resort to the expectation given by the operator $`E_i[\mathrm{\Delta }u_i|t]`$ to evaluate the best decision to make on time $`t`$. Assuming that

$$E_i[A(t+1)|t]=\varphi _iA(t)$$
(10)
where linearity is assumed for the sake of simplicity, the expected payoffs increment $`\mathrm{\Delta }u_i(t+2)`$ of agent $`i`$ is

$$E_i[\mathrm{\Delta }u_i(t+2)|t]=E_i[a_i(t)A(t+1)|t]=\varphi _ia_i(t)A(t)$$
(11)
The stationary state can only occur when the expectation is consistently validated by the dynamics as show in , i.e., when

$$\varphi _i\frac{A(t+1)A(t)}{A^2(t)}$$
(12)
for all $`i`$. If $`\varphi _i>0`$ the agent $`i`$ believes that the price fluctuates around some equilibrium (fundamental) values $`p_f`$. This trader is called fundamentalist and as we can see in the Eq. (11) she/he plays as a Minority Game $`(<)`$ player for whom the payoff is

$$u_i^<(t+1)u_i^<(t)=a_i(t)A(t).$$
(13)
On the contrary, if the agent believes that the price is following a trend, a movement $`A(t)`$ will likely be followed by fluctuations of the same sign, i.e, $`\varphi _i<0`$. These agents, called chartists, play like in a Majority Game ($`>`$) and the payoff is just

$$u_i^>(t+1)u_i^>(t)=a_i(t)A(t).$$
(14)
Whether $`\$`$-Game is approximate by Minority Game or Majority Game depends on the sign of $`A(t+1)A(t)`$. We shall use the superscript $`<,>,\$`$ in the following to differentiate the results found in the different models.

## 3 Single Time Models

In this section we will discuss three agent models that simulate different trader’s behaviors and interactions in the stock exchange market. The set up are the same for all models, differing only by the payoff function that ranks their strategies. In a generic description, consider $`N`$ odd agents that buy or sell stocks, goods, currencies, etc…, to profit from the market price fluctuation. Suppose $`t`$ is a discrete time. Each trader is endowed by S quenched strategies randomly generated at the beginning. To each strategy each trader attaches a score $`u_{i,s}(t)`$ which she/he updates in the course of time. At each time $`t`$, she/he undertakes the action recommended by the highest scored strategy $`s_i^{}=argmax_su_{i,s}`$. The action $`a_{i,s^{}}^{\mu (t)}(t)`$ taken by agent $`i`$ also depend on the value $`\mu (t)`$ of a public information variable. After that, all these orders are collected to compose the excess demand $`A(t)=_{i=1}^Na_{i,s_i^{}}^{\mu (t)}(t)`$. Finally all agents update all the payoff function $`u_{i,s}`$ according to Eq. (9), (13) or (14) respectively for $-Game, Minority Game or Majority Game. The information $`\mu (t)`$ is updated according to the outcome $`A(t)`$ of the market:

$$\mu (t+1)=\{\begin{array}{c}2\mu (t)+1modPifA(t)>0\\ 2\mu (t)modPifA(t)<0\end{array}$$
(15)
Note that $`A(t)=0`$ never occur when N is odd. In this way $`\mu (t)`$ encodes in its binary representation the signs of the last $`m`$ outcomes $`A(tk)k=1,\mathrm{},m`$ of the market. Graphically Eq. (15) describes a processes on the so called de-Bruijn graph. This is a directed graph of $`2^m`$ nodes with directed links from nodes $`k`$ to nodes $`2k+1modP`$ and $`2kmodP`$ .

To fix notation, we denote a temporal average of a given time dependent quantity $`W(t)`$ as

$$W=\underset{T\mathrm{}}{lim}\frac{1}{TT_{eq}}\underset{t=T_{eq}}{\overset{T}{}}W(t).$$
(16)
If we decompose this quantity into a conditional average on histories, we rewrite as

$$W|\mu =\underset{T\mathrm{}}{lim}\frac{_{t=T_{eq}}^TW(t)\delta _{\mu (t),\mu }}{_{t=T_{eq}}^T\delta _{\mu (t),\mu }}$$
(17)
Finally the average on the realization is denoted by

$$\overline{W}=\frac{1}{n_r}\underset{i}{\overset{n_r}{}}W_i$$
(18)
where $`n_r`$ is the number of realization. The main free parameter to study the stationary state of the system is $`\alpha =\frac{P}{N}`$ (see ). Let us now analyze the behavior of the different models. The autocorrelation is the key to explain the others quantities for single models and to understand the trader behavior. In the Fig. 1 the autocorrelation of the global action $`A(t)`$ for the Minority Game is plotted as a function of $`\alpha `$ for memory $`m=5`$. All runs were equilibrated for $`Teq=15000`$ times steps and run for 30000 times steps. We fix attention to the case of agents with $`S=2`$ strategies. For the Minority Game the autocorrelation is zero for $`\alpha `$ much large than the critical point $`\alpha _c`$ and the global performance is similar to the random game. This happens because the number of players is small compared with the amount of information available in the market (for a discussion of Minority Game behavior see Ref. . Increasing the number of traders, globally they start to exploit the information and coordinate their action until the occurrence of a phase transition. Intrinsically minority players have a non imitative behavior, thus the autocorrelation becomes negative below the critical point. Conversely, the majority players are trend follower and they induce a positive autocorrelation in $`A(t)`$, see Fig. 1. What can we expect for $`\$`$-Game? Fig. 1 shows that the $-Game is characterized by a positive autocorrelation $`A(t)A(t+1)`$. Hence we expect(see Eq. (12)) that the $-Game behaves in a way which is similar to the Majority Game. Fig. 2 supports this conclusion by comparing, for the different models, the behavior of $`\sigma ^2`$ given by

$$\sigma ^2=\frac{1}{N}\overline{\underset{i=1}{\overset{N}{}}A(t)^2}.$$
(19)
If you consider that $`A(t)`$ persist to be positive for some period. All those strategies $`s_i\text{S}`$ that is playing with $`a_i=1`$ will be reinforce due to the payoff $`\mathrm{\Delta }u_i(t+1)=a_i(t)A(t+1)`$. Conversely, all those strategies with $`a_i=1`$ will be weakened. The collective tendency of the traders is to reach a regime where they play with the same strategy. It is very similar to what happens for MJ-Model (for more details discussion of this models, see Ref. ). The $-players persist to be in a majority group keeping the same strategy for long. The Fig. 3, exhibits these results clearly by reporting the self-overlap $`Q`$ given by:

$$Q=\frac{1}{N}\overline{\underset{i=1}{\overset{N}{}}s_i^2}.$$
(20)
This is a measure of the average fluctuation in the strategy choice. The strategies are labelled by $`s_i=\pm 1`$, thus when $`Q=1`$ it means that the players are frozen, i.e they always use the same strategy. This is what we observe in the MJ-Model. Fig. 3 shows that this happens also in $-Game-Model showing that it is modelling a similar market mechanism. On the contrary in the Minority Game we observe $`Q<1`$ which means that the players are changing the strategies frequently. As a consequence of this, the returns in the Minority Game are not predictable. This is measured by the quantity $`H`$ called predictability which is computed as

$$H=\frac{1}{N}\overline{\underset{\mu }{\overset{P}{}}\rho ^\mu A|\mu ^2}.$$
(21)
where $`\rho ^\mu `$ is the probability that $`\mu (t)=\mu `$. In Fig. 5 we observe that the predictability $`H`$ is zero when $`Q`$ starts to decrease. It is known that for the Minority Game the existence of a phase transition for $`\alpha _c0.34`$ and the region where $`H=0`$ is called symmetric phase . Observe that $`H=0`$ implies $`A|\mu =0`$ for all $`\mu `$. In this regime is not possible to predict the minority group based on the public information $`\mu (t)`$, this property is known by economist as no arbitrage. For the other models (MJ and $-Game) $`H>0`$ for all value of $`\alpha `$, that results from the fact that $`A|\mu 0`$ for some value of $`\mu `$. Of course, when the strategy of the agents are frozen the game become predictable.

In Fig. 4, we examine the entropy for all these models given by

$$S=\frac{1}{N}\overline{\underset{\mu }{\overset{P}{}}\rho ^\mu \mathrm{log}_P(\rho ^\mu )}.$$
(22)
Note that $`S`$ was normalized to be in the interval $`[0,1]`$. This quantity help us to analyze the dynamics of information $`\mu (t)`$ in the De-Bruijn graph. The MG dynamics visits all nodes in the graph more or less uniformly. Hence $`\rho ^\mu \frac{1}{P}`$ and $`S`$ is closed to one. In both the Majority Game and the $-Game we find that $`S`$ is smaller, this means that only few vertices are visited. The $-Game and MJ have a dynamics restricted to some subgraph, i.e., only a subset of vertices $`\mu (t)\{0,\mathrm{},P1\}`$ are visited in the stationary regime, resulting in a small value of the entropy $`S`$.

## 4 Two Times Models

Let us consider now the models whose dynamics takes place over two time steps. Any particular agent first decides which action to take (buy/sell) at time $`t`$ – according to his/her currently best strategy $`s_i^{}`$ – then takes the opposite action at time $`t+1`$ and finally evaluates the results according to Eq. (9), (13) or (14) depending on whether he/she behaves according to the $, minority or majority game respectively. If all agents behave synchronously, we just have that $`A(t+1)=A(t)`$ and it is clear that the $-Game payoffs become exactly identical to MG payoffs. Therefore the $-Game becomes identical with the MG.

The non-trivial case is when agents act non-synchronously. This means that we can classify agents into two groups, one of which takes decisions on even times and evaluates the outcome on odd times and the other which does the opposite. Our previous argument suggests that when one group is much larger than the other, then $`A(t+1)A(t)`$ and the game’s behavior becomes that of the MG. For this reason, we consider extreme case of equally sized groups.

More precisely, we divide the set of agents into two sets $`G_{+1}`$ and $`G_1`$ of $`N/2`$ agents111Now $`N`$ is even. Concerning Eq. (15) when $`A(t)=0`$ we set $`\mu (t+1)=2\mu (t)modP`$ or $`\mu (t+1)=2\mu (t)+1modP`$ at random, with equal probability., and postulate that, at time $`t`$, group $`G_{(1)^t}`$ takes a fresh decision whereas the group $`G_{(1)^t}`$ reacts, i.e. takes an action which is just the opposite of the one they undertook in the previous time step.

The interaction takes place again through the total excess demand $`A(t)`$ which has now two contributions from the two groups:

$$A(t)=B(t)+R(t),B(t)=\underset{iG_{(1)^t}}{}a_{i,s_i^{}}^{\mu (t)},R(t)=B(t1)$$
(23)
where we introduced a different notation for the contribution ($`B`$) of the acting group and for that ($`R`$) of the reacting one.

We will first considering how agents using the different scoring rules (9, 13) and (14) behave when they interact among themselves. Then we shall study the behavior of $-players when they are put in interaction with minority or majority players in a mixed population.

### 4.1 Single population

We analyze the situation where each agent in each of the two different groups of traders is endowed with a set of $`S=2`$ strategies which are randomly drawn at the beginning.

The numerical analysis reveals that i) the behavior of a pure population of either minority or majority players is equivalent to that observed for a single times models ii) the behavior of the $-Game is similar to that of the MG.

For example, the volatility $`\sigma ^2/N`$ shows (see Fig. 7) the typical minimum for the MG whereas it steadily increases as $`\alpha `$ decreases in the case of majority players. In Fig 8 we see that most players get frozen ($`Q1`$) for MJ while the choice of the strategies remains fickle ($`0<Q^{\$,<}<0.6`$) for minority players, in agreement with the behavior of the corresponding single time models. In the case of $-players, both quantities ($`\sigma ^2`$ and $`Q`$) show a behavior similar to that of the MG. The same is true for the entropy $`S`$, as shown in Fig. 9.

Indeed, for all models analyzed here, the autocorrelation of $`A(t)`$ is negative, as shown in Fig 6. This is a consequence of the alternating behavior of agents. In fact the main contribution is due to the term $`A(t)A(t+1)B^2(t)`$ (notice that $`A(t)A(t+1)`$ has the same behavior as $`\sigma ^2`$).

The only difference between $-Game and MG appears in the behavior of $`H`$. Fig. 10 shows that $`H`$ vanishes when $`\alpha <0.4`$ in a population of minority players (because $`B|\mu R|\mu `$) whereas $`H`$ increases for majority players (and $`B|\mu R|\mu `$). This is in line with the behavior of single time models. The behavior of $`H`$ for the $-Game closely matches that of the MG for $`\alpha >0.4`$ but it diverges from it when $`\alpha <0.4`$. This is a consequence of the fact that while $`B|\mu R|\mu `$, (with $`B|\mu 0`$) in the MG, we find that $`B|\mu `$ and $`R|\mu `$ are uncorrelated in the $-Game. It is remarkable that when the process $`\mu (t)`$ of Eq. (15) is replaced by random draw, as in Ref. , the predictability $`H`$ of the two models coincides. This is because then $`B|\mu 0`$ for all $`\mu `$ when $`\alpha `$ is small.

### 4.2 Mixed population

In order to test further the behavior of $-game players, let us consider how they interact with minority or majority players in a mixed population. Specifically we split each of the two groups $`G_{\pm 1}=G_{\pm 1,a}G_{\pm 1,b}`$ in two equal sizes (now $`N`$ is a multiple of $`4`$). Here $`a`$ and $`b`$ label the type of players in the sub-group. So for example $`G_{\pm 1}=G_{\pm 1,\$}G_{\pm 1,<}`$ denotes the case where a population of $-players interacts with a population of minority players. Again the interaction is on two times, but now we have two contributions to $`B(t)`$ and $`R(t)`$ from the two sub-populations.

We have studied interaction of $-players with minority or majority players (i.e. $`a=\$`$ and $`b=<`$ or $`>`$). The mixed Minority-Majority model was studied by De Martino, et.al . We found that the autocorrelation is always negative in both cases (see Fig. 11). In the case $`b=<`$, we find again that the autocorrelation is proportional to $`\sigma ^2`$. However contrary to the single population case, we find that when $`\alpha `$ decreases the volatility $`\sigma ^2`$ decreases (at least down to $`\alpha =0.1`$, see of Fig. 12). On the contrary $`\sigma ^2`$ increases as $`\alpha `$ decreases when $-players interact with majority players (see inset of Fig. 12). This suggests that collective behavior is dominated by the sub-population of minority or majority players. This is confirmed by the behavior of $`H`$ in Fig. 13, even though it appears that the presence of $-players removes the phase transition (or shifts it at least to $`\alpha <0.1`$). This is more clearly evident in the behavior of $`Q`$ in the inset of Fig. 15. When interacting with majority type players, $-players also get frozen ($`Q1`$). But also the presence of $-players makes minority players much less fickle ($`Q0.8`$). Hence $-players increase the efficiency of coordination of the minority players.

In order to compare the performance of agents of different types, we give the same set of strategies to the two sub-groups $`a`$ and $`b`$. In particular we define the overlap

$$O^{a,b}=\frac{1}{N}s_i^as_i^b$$
(24)
between types $`a`$ and $`b`$. When $`O=1`$ ($`O=1`$) the two types of agents behave exactly in the same (opposite) way, whereas $`O0`$ implies that agents of the two types behave in an uncorrelated way. Fig. 15 shows that $-players behave in a way which is more or less uncorrelated with majority players. On the contrary they display an anti-imitative behavior when interacting with minority players. It seems indeed reasonable that when minority game type of interaction prevails, as shown by the fact that the autocorrelation of $`A(t)`$ is negative (see Fig. 11), two agents with the same strategies would benefit from playing in different ways.

Therefore we conclude that on one hand the collective behavior of a mixed population “imitates” the behavior of the population with which the $-player sub-population is interacting with. But at the microscopic level, the behavior of $-players tend to be loosely or negatively correlated with that of players of the other type.

## 5 Conclusions

The $-Game model reproduces the main statistical features observed for Majority Game whenever we consider a single times transaction. The $-traders freeze on the best strategy since the payoff reinforces an imitative behavior as seen from the positive autocorrelation of the excess of demand $`A(t)`$. When we take into account the inter-temporal nature of the transaction, we force all traders to react after all the transactions. To do so, we proposed a model where two populations interact over two time steps, taking decisions at different moments, out of phase. For two interacting homogeneous populations we saw that, when traders are all of minority or majority type, the same behavior as in single time models obtains. A population of $-traders shows an anti-imitative trend in the choices of strategies behaving as Minority Game players. Whatever the type of traders, the autocorrelation function of the excess demand turns out to be negative implying that the market interaction is similar to that of the minority game.

Also in the mixed composed population, the market interaction is of minority type, as shown by the autocorrelation of the excess demand. The collective behavior with $-traders interacting with a population of minority or majority traders is similar to that of the latter population.

In conclusion, we find that the $-Game model exhibits a set of new features and it poses several new and challenging questions.