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# Diameters of 𝛿 Cephei and 𝜂 Aquilae Measured with the Navy Prototype Optical Interferometer

## 1 Introduction

Cepheid variables represent the first step on the extragalactic distance scale. But precise measurements of the distances to individual Cepheids are difficult. Trigonometric parallax uncertainties for even the nearest Cepheids are large: the Hipparcos parallaxes $`\pi _{\mathrm{Hip}}`$ are $`3.32\pm 0.58`$ mas for $`\delta `$ Cep and $`2.78\pm 0.91`$ mas for $`\eta `$ Aql (ESA, 1997). The Baade-Wesselink and similar methods use the surface brightness $`S`$ and apparent magnitude as a function of pulsation phase $`\varphi `$ to estimate the variation in the ratio $`R(\varphi )/R`$, where $`R`$ is the radius, and use the integrated radial velocity curve to estimate $`R(\varphi )R`$. The combination gives both $`R(\varphi )`$ and $`R`$, while the distance is derived from $`R`$ and $`S`$.

The optical interferometers now coming into operation offer the possibility of measuring the angular diameter variation directly, and of combining that measurement with the integrated radial velocity result to derive the distance. Even if the precision of the diameter measurements is insufficient to show the variation, as in these data, the diameters can be used to test whether the Cepheids conform to the surface brightness vs. color relations for nonpulsating stars.

The first interferometric determination of the diameter of a Cepheid is that of Mourard et al. (1997). They reported a mean limb-darkened diameter of $`1.63\pm 0.19`$ mas for $`\delta `$ Cep, but the precision of the diameters on individual nights was insufficient to detect the pulsation. We report here on measurements of $`\delta `$ Cep ($`P=5.366316`$ d; Moffett & Barnes 1985) and $`\eta `$ Aql ($`P=7.176726`$ d; Szabados 1991) with the Navy Prototype Optical Interferometer (NPOI).111The Navy Prototype Optical Interferometer is a joint project of the Naval Research Laboratory and the U.S. Naval Observatory, in cooperation with Lowell Observatory, and is funded by the Office of Naval Research and the Oceanographer of the Navy. Preliminary results for these stars and for the check star $`\beta `$ Lac were reported by Nordgren et al. (1999). The precision of these measurements is an improvement over the previous results; however, the pulsation is only weakly seen, and the distances derived from the amplitude of the diameter variation are of low precision. Even so, the mean diameters, combined with the radii derived from the surface brightness and radial velocity curves, can produce distance estimates. Mean diameters of the Cepheids $`\zeta `$ Gem and $`\alpha `$ UMi, with comparisons of the four NPOI-measured Cepheids to period-radius and period-mass relations in the literature, are given in a companion paper (Nordgren et al., 2000).

## 2 Observations

We observed $`\delta `$ Cep and $`\eta `$ Aql with the east, center, and west (E, C, W) elements of the astrometric array of the NPOI between 1997 July and 1998 October. The baseline lengths were 37.5 m, 22.2 m, and 18.9 m at azimuths of $`67.^{}5`$, $`63.^{}6`$, and $`86.^{}0`$ (EW, CW, and CE). Each baseline produces squared fringe visibilities $`V_\lambda ^2`$ in 32 channels covering the $`\lambda \lambda 850450`$ nm range, although the sensitivity blueward of $`\lambda 550`$ nm is low. For the results reported here, we used data in the reddest 13 channels, covering the $`\lambda \lambda 850600`$ nm range. We removed a small number of spectral channels with bad detectors, as well as the channel contaminated by the HeNe delay-line metrology laser. The NPOI is described in detail by Armstrong et al. (1998).

We chose an unresolved star close in position to each Cepheid to act as a visibility calibrator: $`\alpha `$ Lac with an estimated diameter of 0.5 mas for $`\delta `$ Cep, and $`\lambda `$ Aql (0.5 mas) for $`\eta `$ Aql. In addition, we observed $`\beta `$ Lac, a $`1.9`$ mas star $`6.^{}3`$ from $`\delta `$ Cep, and 12 Aql, a $`2.4`$ mas star $`9.^{}9`$ from $`\eta `$ Aql, as check stars for observations in 1998 July and later. Each night’s observing list consisted of $`1015`$ stars, including the Cepheids, their calibrators, and the check stars. We placed each Cepheid, its calibrator, and its check star consecutively in the observing list to minimize changes in observing conditions during the sequence. Typical intervals between successive 90 s scans on the same star were $`1545`$ min. The check star–calibrator separations, $`\beta `$ Lac–$`\alpha `$ Lac and 12 Aql–$`\lambda `$ Aql are $`2.^{}2`$ and $`1.^{}1`$, respectively; however, the Cepheid–calibrator separations, $`\delta `$ Cep–$`\alpha `$ Lac and $`\eta `$ Aql–$`\lambda `$ Aql, are considerably larger, at $`8.^{}1`$ and $`8.^{}9`$, respectively. In Tables 1 and 2, we list the date of observation, the mean phase, the number of scans, the diameter, and the estimated error for each night (see §3.3 for a discussion of the determination of the uncertainties). For the two Cepheids, Tables 1 and 2 also show the best-fit mean diameters to a pulsating model, assuming a phase shift $`\mathrm{\Delta }\varphi _v=0`$ between variations in the NPOI diameters and variations derived from the radial velocities (see §5). These diameters are not the means of the measured diameters because our phase coverage is not uniform.

## 3 Data Reduction

### 3.1 Angular Diameters

We modeled the Cepheids and the check stars as limb-darkened disks, using (Brown et al., 1974)

$$V^2(\theta _{\mathrm{LD}},|𝐮_\lambda |)=\left(\frac{\alpha }{2}+\frac{\beta }{3}\right)^2\left[\frac{\alpha J_1(\pi \theta _{\mathrm{LD}}|𝐮_\lambda |)}{\pi \theta _{\mathrm{LD}}|𝐮_\lambda |}+\frac{\beta (\pi /2)^{1/2}J_{3/2}(\pi \theta _{\mathrm{LD}}|𝐮_\lambda |)}{(\pi \theta _{\mathrm{LD}}|𝐮_\lambda |)^{3/2}}\right]^2,$$
(1)
where $`𝐮_\lambda `$ is the projected interferometer baseline vector in the $`u,v`$ plane at wavelength $`\lambda `$, and where $`\alpha =1x_\lambda `$ and $`\beta =x_\lambda `$, with $`x_\lambda `$ as the linear limb-darkening coefficient. $`J_1`$ and $`J_{3/2}`$ are the Bessel functions of the first kind and of the first and three-halves orders. We then fit $`\theta _{\mathrm{LD}}`$ to the data from each night using Eq. (1) and obtained a preliminary uncertainty estimate from the fit.

We took the limb darkening coefficients from Van Hamme (1993), where they are tabulated as functions of $`T_{\mathrm{eff}}`$ and $`\mathrm{log}g`$. For the Cepheids, we estimated $`\mathrm{log}g`$ as a function of phase from the mean $`\mathrm{log}g`$ of Hindsley & Bell (1989), modified by the acceleration inferred by the radial velocity curves of Butler (1993) and Shane (1958) for $`\delta `$ Cep and the radial velocity curves of Evans (1976) and Jacobsen & Wallerstein (1981) for $`\eta `$ Aql. For the check stars, we took $`\mathrm{log}g=2.97`$ for $`\beta `$ Lac and $`\mathrm{log}g=2.75`$ for 12 Aql (McWilliam, 1990).

The route to an estimate of $`T_{\mathrm{eff}}`$ as a function of phase for the Cepheids is a bit more roundabout. We used the $`T_{\mathrm{eff}}`$ vs. $`(VK)_0`$ relation of Blackwell & Lynas-Gray (1994). The $`(VK)_0`$ data were derived from spline fits to the $`V`$ and $`K`$ photometry of Barnes et al. (1997), from which we generated $`(VK)`$ at the phases of our observations. To deredden $`V`$, we used $`A_\mathrm{V}/E(BV)=R_\mathrm{V}=3.46`$ (Evans & Jiang, 1993) with $`E_{BV}=0.092`$ for $`\delta `$ Cep and 0.149 for $`\eta `$ Aql. To deredden $`K`$, we used $`A_\mathrm{K}/E(VK)=R_\mathrm{K}=0.37`$ (Evans & Jiang, 1993) with $`E_{VK}=0.28`$ for $`\delta `$ Cep and 0.46 for $`\eta `$ Aql. For the check stars, we took $`T_{\mathrm{eff}}=4710`$ for $`\beta `$ Lac and $`T_{\mathrm{eff}}=4600`$ for 12 Aql (McWilliam, 1990).

Neither the choice of $`T_{\mathrm{eff}}`$ nor of $`\mathrm{log}g`$ is critical. The derived diameter is only weakly dependent on temperature ($`d\theta _{\mathrm{LD}}/dT0.01`$ $`\mu `$as/deg between 5000 K and 7000 K) or gravity ($`d\theta _{\mathrm{LD}}/d(\mathrm{log}g)4.5`$ $`\mu `$as per unit change in $`\mathrm{log}g`$).

We estimated the mean diameter for each Cepheid by fitting the set of nightly diameters to a pulsation model whose shape was derived from radial velocity data, as described in §5. The $`\theta _{\mathrm{LD}}`$ results reported here are those for models in which the phase shift $`\mathrm{\Delta }\varphi _v`$ between the diameter data and the radial velocity data is fixed at zero.

### 3.2 Calibration

Because the Cepheids are only marginally resolved with the array configuration used here, and since the pulsation amplitudes are expected to be only $`10`$%, the accuracy of the calibration and reduction are critical. We took two approaches to calibrating $`V_\lambda ^2`$ to investigate the dependence of the results on the calibration technique.

One approach was to treat all nights the same. Under this approach, we calibrated our data using three related techniques. The most direct was to use the calibrator scan nearest in time to calibrate each Cepheid scan. In one refinement, we used a linear interpolation in time between the calibration scans just before and after the Cepheid scan. In a second, we used Gaussian smoothing of the calibration correction with a width of 40 minutes.

The second approach was to calibrate each night differently, keeping the following techniques at our disposal: Gaussian smoothing of the calibration correction, with the smoothing width adjustable over a range of 10 to 80 minutes; fitting a quadratic function of time to the calibrator scans; and fitting a linear function of fringe delay jitter to the calibrator scans. We tried this approach twice: once using only one of these three techniques for any given night, and once using the combination of them that seemed appropriate night by night.

The standard deviation of the mean diameters between calibrations was about $`0.02`$ mas. For the results reported here, we averaged the diameters determined with the various calibrations.

We also varied the bluest spectral channel used in the reduction: increasing the minimum wavelength avoids using the noiser data from the bluest channels, but at the cost of reducing the maximum spatial frequency sampled. We found that the choice of minimum wavelength had very little effect. Tests with one night’s data indicated a variation in the derived diameter of $`\delta `$ Cep of only $`0.0086`$mas between using 13 channels ($`850600`$ nm) and using only four channels ($`850770`$ nm); between using 13 channels and 10 channels ($`850650`$ nm), the difference was $`0.0005`$mas.

### 3.3 Diameter Uncertainties

Estimating the uncertainties in the nightly diameter measurements of the Cepheids and of the mean diameters of both the Cepheids and the check stars is complicated by the fact that they are dominated not by the signal-to-noise ratio within a given scan, but by variations due to the fact that the calibrator data are taken at different times at different positions on the sky than the Cepheid data. The size of these variations must be measured from the data themselves.

The check star data should be the source of that measurement. But we found that the variations in the Cepheid diameters within a night are larger than those in the check stars. (The Cepheid diameter changes within a night due to pulsation are smaller than the uncertainties.) There are two reasons for this discrepancy. The first is that the Cepheids are smaller than the check stars ($`1.5`$ and 1.7 mas for $`\delta `$ Cep and $`\eta `$ Aql, versus $`1.9`$ and 2.4 mas for $`\beta `$ Lac and 12 Aql). The derivative $`dV^2/d\theta `$ is smaller for small stars, so a given error in $`V^2`$ leads to a larger error in $`\theta `$. The size of this effect can be calculated: the errors in $`\theta `$ are 30% larger for $`\delta `$ Cep than for $`\beta `$ Lac, and 55% larger for $`\eta `$ Aql than for 12 Aql.

The second reason is that, as noted above, the check stars are closer to the calibrators than are the Cepheids, and should therefore be better calibrated. This effect is harder to quantify, but the residuals after subtracting the best-fit pulsation models (see §5) from the calibrated data suggest an additional increase in diameter uncertainties of $`1.7`$ and $`5`$ times for $`\delta `$ Cep and $`\eta `$ Aql, respectively, than in their check stars.

Instead of trying to estimate the Cepheid diameter uncertainties from the check star uncertainties, we chose the following method. We started with the estimated uncertainty of the diameter fit to each night’s data. We added the standard deviation of the mean diameters among calibration techniques in quadrature. Finally, we scaled the uncertainties thus derived to produce a reduced $`\chi ^2`$ of unity for a fit to the best-fit pulsation models. These uncertainties, which appear in Tables 1 and 2, thus represent an internally consistent set of error estimates, while the night-to-night variations give a relative measure of the quality of the data. We chose a similar strategy for the check star diameters, scaling their uncertainties to produce a reduced $`\chi ^2`$ of unity for a fit to a constant diameter.

Figure 1 presents the nightly diameters of the Cepheids as functions of pulsation phase as calculated from the ephemerides of Moffett & Barnes (1985) for $`\delta `$ Cep and Szabados (1991) for $`\eta `$ Aql. It also presents the nightly diameters of the check stars, phased with the same ephemerides as their associated Cepheids, to indicate the stability of the diameter measurements for stars of constant diameter. Note that the uncertainties for the check stars are smaller, as expected.

## 4 Discussion

### 4.1 Diameters from the IRFM and the Surface Brightness Technique

We checked the angular diameters derived here with those derived from the infrared flux method (IRFM) (Blackwell & Shallis, 1977; Blackwell et al., 1990). Using the more recent conversions from Blackwell & Lynas-Gray (1994) of $`(VK)_0`$ to $`T_{\mathrm{eff}}`$ and to “reduced flux” $`\mathrm{\Phi }`$ (see the equation on their p. 903), we calculated the results summarized in Table 3. The inputs to the IRFM calculation were the intensity mean $`V_0`$ and $`(VK)_0`$ derived from our spline fits to the photometry of Barnes et al. (1997), with the dereddening as described in §3. For $`\delta `$ Cep, these values were $`3.^\mathrm{m}64`$ and $`1.^\mathrm{m}36`$, respectively, while for $`\eta `$Aql, they were $`3.^\mathrm{m}40`$ and $`1.^\mathrm{m}49`$.

We estimated the overall uncertainty in $`\theta _{\mathrm{LD}}(\mathrm{IRFM})`$ for both stars by combining the uncertainty of 4% estimated for this method by Blackwell & Lynas-Gray (1994) with the sensitivity to errors in $`E_{BV}`$ ($`\delta `$ Cep: 0.01 mas for a $`0.^\mathrm{m}02`$ error; $`\eta `$ Aql: 0.01 mas for a $`0.^\mathrm{m}01`$ error), to errors in $`V_0`$ ($`\delta `$ Cep: 0.002 mas for a $`0.^\mathrm{m}01`$ error; $`\eta `$ Aql: 0.003 mas for a $`0.^\mathrm{m}01`$ error), and to errors in $`K_0`$ (both stars: 0.02 mas for a $`0.^\mathrm{m}02`$ error).

We also applied the surface-brightness ($`S_\mathrm{V}`$) technique, as implemented by Di Benedetto (1998), to the dereddened Barnes et al. (1997) photometry (see Table 3). The overall uncertainty in $`\theta _{\mathrm{LD}}(S_\mathrm{V})`$ is based on the 2% uncertainty suggested (but not explicitly stated) by Di Benedetto (1998) and the sensitivity to errors in $`E_{BV}`$ ($`\delta `$ Cep: 0.01 mas for a $`0.^\mathrm{m}02`$ error; $`\eta `$ Aql: 0.01 mas for a $`0.^\mathrm{m}01`$ error), in $`V_0`$ (both stars: 0.003 mas for a $`0.^\mathrm{m}01`$ error), and in $`K_0`$ (both stars: 0.02 mas for a $`0.^\mathrm{m}02`$ error).

The agreement between our $`\delta `$ Cep results and those of these methods is good: all three diameters agree within the uncertainties, although our diameter is larger than the other two. For $`\eta `$ Aql, the agreement is not quite as good. Our diameter agrees within the uncertainties with the IRFM diameter, but is slightly smaller than the $`S_\mathrm{V}`$ diameter, implying a slightly greater surface brightness.

### 4.2 Distances from Mean Angular Diameters

We may use angular diameter measurements to derive the distances to $`\delta `$ Cep and $`\eta `$ Aql in two ways. The first is to use the mean angular diameter in conjunction with estimates of the linear diameter, which are ultimately based on surface brightness techniques. The second is to use the change in angular diameter in conjunction with an estimate of the change in linear diameter derived from radial-velocity measurements. We discuss the first technique here. As we point out in the next section, the pulsations are only weakly detected, so we do not attempt the second method.

If the linear radii of the Cepheids are known from $`P`$-$`R`$ relations, the angular diameters can be used to calculate distances. The $`P`$-$`R`$ relation of Laney & Stobie (1995) yields $`R=41.5\pm 1.0R_{}`$ for $`\delta `$ Cep. Other values for $`R`$ are similar, e.g., $`43.8\pm 2.9R_{}`$ from the $`P`$-$`R`$ relation of Gieren, Moffett, & Barnes (1999) and $`42.4\pm 4.4R_{}`$ from Caccin et al. (1981, CORS). Ripepi et al. (1997) present a much different result, $`52.8R_{}`$ based on a modification of the CORS method.

Laney & Stobie (1995) note that there is a scatter of $`12`$% about the mean radius at fixed period, most of it probably due to uncertainties in the radius displacement curve. If we include that scatter, the Laney & Stobie radius becomes $`41.5\pm 5.1R_{}`$, and the uncertainty is now large enough to include the Gieren, Moffett, & Barnes (1999) and the Caccin et al. (1981) results. Such a mean radius, combined with our mean angular diameter of $`1.52\pm 0.014`$ mas, yields a distance $`D`$ of $`254\pm 30`$ pc, a distance modulus $`(mM)`$ of $`7.02\pm 0.26`$, and an absolute magnitude $`M_\mathrm{V}=3.38\pm 0.26`$. These results are all consistent with the Hipparcos parallax, $`3.32\pm 0.58`$ mas.

For $`\eta `$ Aql ($`\theta _{\mathrm{LD}}=1.69\pm 0.04`$ mas), the Laney & Stobie radius becomes $`R=51.6\pm 5.6R_{}`$. The Gieren, Moffett, & Barnes (1999) relation gives $`53.5\pm 3.7R_{}`$; the Caccin et al. (1981) relation gives $`52.0\pm 5.8R_{}`$; and Ripepi et al. (1997) give $`56.7R_{}`$. Since the enlarged Laney & Stobie uncertainty includes the other values, we use their radius to obtain $`D=284\pm 31`$ and $`(mM)=7.26\pm 0.23`$, which gives $`M_\mathrm{V}=3.86\pm 0.23`$, where again we have used the reddening described in §2. These too are consistent with the Hipparcos parallax, $`2.78\pm 0.91`$ mas.

The absolute magnitudes derived from $`R`$ and $`\theta _{\mathrm{LD}}`$ can be compared to those derived from the $`P`$-$`L`$ relation of Gieren, Fouqué, & Gómez (1998), which are $`3.^\mathrm{m}31\pm 0.^\mathrm{m}04`$ for $`\delta `$ Cep and $`3.^\mathrm{m}66\pm 0.^\mathrm{m}04`$ for $`\eta `$ Aql, and the values derived from the $`P`$-$`L`$ relation of Feast, Pont, & Whitelock (1998) which are $`3.^\mathrm{m}48\pm 0.^\mathrm{m}11`$ and $`3.^\mathrm{m}84\pm 0.^\mathrm{m}11`$. The value for $`\delta `$ Cep lies between the two estimates, while the result for $`\eta `$ Aql is closer to that of Feast, Pont, & Whitelock. Since the intrinsic scatter is probably $`20`$% (Gieren, Barnes, & Moffett, 1993), and since these two Cepheids are close together in period, our results do not distinguish between these two $`P`$-$`L`$ relations.

## 5 Do We See Pulsations?

If we could determine the pulsation amplitudes $`\theta _{\mathrm{LD}}`$ from the present data, we could use the displacement derived from radial-velocity curves to make a direct determination of the distances to the Cepheids, rather than using $`\theta _{\mathrm{LD}}`$ and radius estimates. However, the evidence of pulsations in our results is weak, which is not surprising since the fringe spacing of the longest baseline used here is 3.9 mas at the mean observing wavelength of $`\lambda 700`$ nm.

To evaluate the evidence for pulsations, we fit the nightly diameters for each Cepheid with a pulsation shape $`\delta R(\varphi )`$ derived from integrating the radial velocity curve using a constant projection factor $`p`$. The appropriate value of $`p`$ depends in part on the type of radial velocity data used (Hindsley & Bell, 1986). For $`\delta `$ Cep, we used $`p=1.31`$ with the velocity data of Shane (1958), while for $`\eta `$ Aql, we used $`p=1.33`$ with the velocity data of Butler, Bell, & Hindsley (1996).

With the shape held fixed, there are three quantities to adjust: the mean linear radius, the amplitude of the angular diameter variation, and the phase. We parameterized these three with $`\theta _{\mathrm{LD}}`$, $`D`$, and $`\mathrm{\Delta }\varphi _v`$, the phase shift of $`\delta R(\varphi )`$ such that a positive value of $`\mathrm{\Delta }\varphi _v`$ corresponds to $`R_{\mathrm{min}}`$ preceding the minimum $`V`$ magnitude. We fit the models using five scenarios: (1) varying $`\theta `$, $`D`$, and $`\mathrm{\Delta }\varphi _v`$ simultaneously; (2) holding $`\mathrm{\Delta }\varphi _v`$ fixed at zero; (3) holding $`D`$ fixed at 301 pc for $`\delta `$ Cep and 360 pc for $`\eta `$ Aql; (4) holding both $`\mathrm{\Delta }\varphi _v`$ and $`D`$ fixed; and (5) constant diameter. (The fixed distances are $`1/\pi _{\mathrm{Hip}}`$.)

The results of these fits are summarized in Table 4. The $`\theta _{\mathrm{LD}}`$ estimates vary slightly between scenarios because the measurements are not evenly distributed in phase. (To illustrate this effect, imagine that we had four high-quality measurements, three at minimum diameter and one at maximum. The mean diameter for a constant-diameter model would be smaller than the mean diameter for a pulsating model.) The $`\delta `$ Cep models have 15 to 17 degrees of freedom, $`\nu `$, and the $`\eta `$ Aql models have eight to ten. The fact that the best $`\chi _{\mathrm{tot}}^2`$ values are about equal to $`\nu `$ reflects the fact that we have estimated the uncertainties from the data (§3.3).

The significance of the differences in $`\chi _{\mathrm{tot}}^2`$ can be assessed using an $`F`$ test, from which we infer that the pulsations appear only at the $`1.5\sigma `$ to $`2\sigma `$ level for both $`\delta `$ Cep and $`\eta `$ Aql. The sizes of the distance uncertainties also reflect the low significance of the pulsations. We feel that this level of significance is insufficient to claim a clear detection, given the importance of such a detection. The $`\chi _{\mathrm{tot}}^2`$ values also imply that any phase shift is also present at only the $`1.5\sigma `$ level. The $`\theta _{\mathrm{LD}}`$ results that we selected for reporting here are those for $`\mathrm{\Delta }\varphi _v=0`$ because the significance of a phase shift in our data is small.

To improve our chances of detecting the pulsations, we need either longer baselines or an improved understanding of the calibration of the fringe visibilites. Longer baselines at the NPOI will become available in the near future, while efforts to improve the calibration are currently under way.

## 6 Summary

We have used the NPOI to measure the angular diameters of $`\delta `$ Cep and $`\eta `$ Aql over the $`\lambda \lambda 850600`$ nm wavelength range. The mean angular diameters are $`1.520\pm 0.014`$ mas for $`\delta `$ Cep and $`1.69\pm 0.04`$ mas for $`\eta `$ Aql. With the current level of precision in $`P`$-$`R`$ and $`P`$-$`L`$ relations, the small difference in period between these two Cepheids, and the uncertainties in the distances, it is difficult to distinguish between different relations. The distances obtained from the $`P`$-$`R`$ radii and our angular diameters are slightly smaller than, but still consistent with, the Hipparcos distances.

The evidence for Cepheid pulsations in our results is weak, as one would expect for measurements of diameters near the resolution limit of the current configuration of the NPOI. We evaluate the strength of this evidence from the $`\chi _{\mathrm{tot}}^2`$ of fits to a constant diameter and to pulsating models with pulsation shapes derived from integrating radial-velocity curves. The pulsations are only weakly seen in our data, at the $`1.5`$ to $`2\sigma `$ level.

It would be advantageous to measure the angular diameter changes of the Cepheids directly, so that one could avoid the problem of color vs. surface brightness calibration in determining their distances. In addition, a measurement of the limb darkening—and changes therein—would add confidence to the knowledge of the projection factor $`p`$ used to convert radial velocity into pulsation velocity in any such analysis. We expect that a 64 m baseline for the NPOI will be available by the end of 2000. The increased resolution will make possible the unambiguous direct detections of the pulsations of $`\delta `$ Cep, $`\eta `$ Aql, and $`\zeta `$ Gem, three of the four brightest Cepheids in the sky.

Several improvements to our presentation are due to the comments of the anonymous referee. The NPOI is funded by the Office of Naval Research and the Oceanographer of the Navy. This research made use of the SIMBAD database operated by the CDS, Strasbourg, France, the Database of Galactic Classical Cepheids (http://ddo.astro.utoronto.ca/cepheids.html) maintained at the David Dunlap Observatory of the University of Toronto (Fernie et al., 1995), and the Cepheid Photometry and Radial Velocity Data Archive (http://physun.physics.mcmaster.ca/Cepheid/) maintained at McMaster University (Welch, 1999).


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# Comments on two papers by Kapusta and Wong11footnote 1and a recent unpublished paper by Wong.

1. LAPTH, BP110, F-74941, Annecy le Vieux Cedex, France
2. Fakultät für Physik, Universität Bielefeld, D-33501 Bielefeld, Germany
3. Faculté des Sciences, Université de Nancy-1, B.P. 239, F-54506 France
4. Brookhaven National Laboratory, Nuclear Theory, Bldg 510A, Upton, NY-11973, USA
5. INLN, 1361 Route des Lucioles, F-06560 Valbonne, France
6. CPhT, Ecole Polytechnique, F-91128 Palaiseau, France
7. LPT, Université Paris-Sud, Bâtiment 210, F-91405 Orsay, France

September 1, 2000

We critically examine recently published results on the thermal production of massive vector bosons in a quark-gluon plasma. We claim the production rate is a collinear safe observable.

LAPTH-809/2000

In two recent papers Kapusta and Wong  calculate the order $`g_s^2`$ finite temperature corrections to dilepton and Z boson production in a hot quark-gluon plasma in the limit where the dilepton or Z boson mass $`M`$ is large compared to the temperature $`T`$. This involves calculating the two-loop QCD corrections to the imaginary part of the virtual photon or Z self-energy diagram. The result, in both cases, is found to be

$`{\displaystyle \frac{\mathrm{Im}\mathrm{\Pi }_{2\mathrm{loop}}}{\mathrm{Im}\mathrm{\Pi }_{1\mathrm{loop}}}}`$ $`=`$ $`{\displaystyle \frac{10}{9}}g_s^2{\displaystyle \frac{T^2}{M^2}}[\mathrm{ln}\left({\displaystyle \frac{2MT}{k_c^2}}\right)+.6914]`$ (1)
$`=`$ $`{\displaystyle \frac{10}{9}}g_s^2{\displaystyle \frac{T^2}{M^2}}\mathrm{ln}\left({\displaystyle \frac{4\pi M}{1.049g_s^2T}}\right),`$
where $`k_c^2`$ is a “cut-off on the four momentum transfer carried by the exchanged quarks in the plasma”. This cut-off is identified with “the effective mass of a quark propagating through the plasma with a typical thermal momentum” ($`m_{\mathrm{eff}}^2=g_s^2T^2/3`$). If $`m_{\mathrm{eff}}`$ is taken to vanish then the two-loop expression diverges. This signals a collinear singularity shielded by the non-vanishing thermal mass of the quark.

The result eq. (1) above is very surprising as it contradicts a series of works, published over the last twelve years, which have been ignored by the authors of refs. . Indeed the production rate of a heavy particle in a thermal medium has been discussed several times in a variety of theories (QED, QCD, scalar theories) and has been found to be an infra-red as well as a collinear safe observable . These studies have been carried out in the real-time formalism using the full $`2\times 2`$ matrix formalism and the imaginary part of the relevant two-point function has been calculated using the Kobes-Semenoff cutting rules . All works have the common feature that intermediate steps in the calculation require the introduction of regulators which are taken to zero after all pieces are put together to construct the physical observable. The results, up to three loops in some cases, have always been found to be finite after all regulators are taken to zero.

In refs.  the very same process as in ref.  is considered namely, lepton pair production in a quark gluon plasma (with massless quarks and gluons at zero temperature). In  two independent regulators, a gluon mass and a quark mass, are introduced; in , instead of introducing mass regulators, the calculation is carried out in dimensional regularisation ($`n=42\epsilon `$); in  the calculation is done in four dimensions but a small mass is given to the gluon. In all these cases it was found that the imaginary part of the photon two-point function, evaluated in the two-loop approximation, is finite when the regulators vanish, indicating the absence of infra-red and collinear singularities for this observable. In , the same calculation is repeated in $`n`$ dimensions but keeping the quark massive: no logarithmic sensitivity to the quark mass is found in the final result. It is interesting to note that Cleymans and Dadic  have calculated the imaginary part of the photon two-point function for a space-like photon ($`M^2<0`$) and they also found a finite result when the regulators are vanishing. Finally the problem of infra-red and collinear singularities was examined in a scalar theory ($`g\varphi ^3`$ in six dimensions). Cancellation of all singularities was found in the two-loop approximation  as well as in the three-loop approximation . All these results are therefore in contradiction to eqs. (1) (see also  for work on related processes).

More work has been performed concerning the production of a virtual photon in a quark-gluon plasma and the $`𝒪(g_s^2)`$ terms have in fact already been explicitely calculated ten years ago! Independently of the regularisation method used (dimensional regularisation in  and gluon mass in ) the $`𝒪(g_s^2)`$ corrections have been found to be identical as it was checked in numerical calculations . Furthermore, in  a simple algebraic expression is derived in the limit of interest in refs.  ($`MT`$)

$$\frac{\mathrm{Im}\mathrm{\Pi }_{2\mathrm{loop}}}{\mathrm{Im}\mathrm{\Pi }_{1\mathrm{loop}}}=\frac{g_s^2}{4\pi ^2}\left(1+𝒪(\frac{T^4}{M^4})\right),$$
(2)
(see eq. (4.5) in ) where the factor $`1`$ in the right-hand side is just the $`𝒪(g_s^2)`$ correction factor for $`e^+e^{}`$ annihilation into hadrons at zero temperature222This factor 1 can be seen as a check on the calculation and arises from the process $`q\overline{q}G\gamma ^{}`$ after summing over all allowed phase space of the initial quark, anti-quark and gluon. and all terms in $`T^2/M^2`$ vanish leaving terms in $`T^4/M^4`$ as leading thermal corrections. On the other hand, a logarithmic behavior appears in the limit $`MT`$,

$$\frac{\mathrm{Im}\mathrm{\Pi }_{2\mathrm{loop}}}{\mathrm{Im}\mathrm{\Pi }_{1\mathrm{loop}}}=\frac{g_s^2}{3\pi ^2}\left((\pi ^2+8)\frac{T^2}{M^2}\mathrm{ln}\frac{T^2}{M^2}+𝒪(\frac{T^2}{M^2})\right).$$
(3)
It is interesting to note that the above equation has been obtained in an explicit calculation in the bare theory  as well as in the limit of the effective theory  when the intrinsic thermal regulators (quark and gluon thermal masses) are becoming vanishingly small .

Not enough details are given in refs.  to locate the origin of the error. In a recent preprint however, Wong  presents the formalism upon which eqs. (1) are based and he suggests that the cause of the discrepancy between refs.  and previous works is due to the fact that previous works (“for example ”) include a form of resummation. This is incorrect since all previous works  are based on a strictly perturbative approach similarly to the approach followed in .

Starting from the imaginary-time formalism the author of  looks for an expression of the imaginary part of the photon two-point function. He decomposes it into two pieces: a “better known” $`I(k)`$ part and a “not well-known” $`J(k)`$ part. A physical interpretation is proposed for each of these pieces. The $`I(k)`$ part is obtained “by putting the three internal lines in the two-loop graphs on shell” and corresponds to physical processes evaluated in the tree approximation. They are labeled as Compton scattering, decay with photon emission and vector-photon fusion and they are the processes which resemble those obtained “by cutting rules at zero temperature”. They appear with the appropriate thermal Bose-Einstein ($`f^{(+)}`$ or $`1+f^{(+)}`$) or Fermi-Dirac ($`f^{()}`$ or $`1f^{()}`$) distributions depending on whether the particles are absorbed in the initial state or produced in the final state. The $`J(k)`$ part is obtained by putting two of the three internal lines on-shell while the uncut internal line is attributed, rather arbitrarily, the thermal weight $`1/2+f^{(+)}`$ or $`1/2f^{()}`$ for a boson or a fermion respectively. These terms are labeled “interference terms”. Let us remark that the thermal weights appearing in $`I(k)`$ and $`J(k)`$ should automatically come out from the thermal cutting rules and should not be the result of an educated guess. Strictly adhering to the cutting rules is the approach followed in refs.  and this leads to the correct result. There, the $`I(k)`$ type terms and the $`J(k)`$ type terms were both included with the appropriate thermal factors and they were labeled “real diagrams” and “virtual diagrams”, respectively, by analogy with the zero temperature case.

Perhaps the best way to gauge the approach followed in  is to compare it with the retarded/advanced version of the real-time formalism . Indeed this formalism allows the construction, in the real-time approach, of Green’s functions which are directly comparable to those obtained in  from the analytical continuation of the imaginary-time Green’s functions. Expressions for one and two-loop Green’s functions are explicitely constructed 333A brief discussion is also given on the choice of the thermal factors of the form ($`a\pm f^{(\pm )}`$) where $`a`$ is an arbitrary constant.. More precisely, the very same expressions needed for the calculation of  can be found in  in the slightly more complicated case of the resummed theory (see eqs. (24) and (29) of ). Going back to the bare theory and comparing to the expressions in  should be an easy task.

Another subtlety in thermal calculations, which has in the past led to discrepancies between different calculations, is related to the treatement of the fermion effective mass in a hot medium. Thermal corrections to a fermion propagator do not break chiral invariance , i.e. the thermally generated mass arises from a term of the form $`\overline{\mathrm{\Psi }}/I\mathrm{\Psi }`$ where $`I^\mu `$ is a vector-like function depending on the momentum of fermion $`\mathrm{\Psi }`$ and on the temperature. In actual calculations this leads to distinguish  between a “kinematical mass” which incorporates the thermal effects and which appears in the phase-space constraints and a “dynamical mass”, the fermion mass at zero temperature, which occurs in the evaluation of the matrix elements (i.e. the thermal mass shift drops out in the trace evaluation). Using a scalar mass shift $`\delta m_{_{\mathrm{Thermal}}}\overline{\mathrm{\Psi }}\mathrm{\Psi }`$ in the calculation would lead to incorrect estimates of the production rate .


text:
# 1 Introduction

## 1 Introduction

A major part of research in financial economics is aimed at improving our understanding of how investors make their portfolio decisions and hence of how asset prices are determined. In this paper we contribute to that research adopting a dynamic approach, where investors’ wealth endowments and portfolio rules evolve in time.

We adopt here an evolutionary framework to address the issues of fitness and survival in financial markets, where traders differ in portfolio rules and/or savings behaviour. We build a simple framework that allows us to simulate a long sequence of trades in a competitive financial market and to test computationally the asymptotic wealth distribution of traders who follow heterogeneous portfolio rules. In particular we concentrate our analysis on the interaction between two types of traders: traders who use (the traditional version of) $`CAPM`$ as a rule of thumb for their portfolio decisions and traders who make portfolio choices maximising a logarithmic utility function.

The choice of this particular focus of analysis is motivated by an old debate and a recent strand of literature. Despite the fact that its restrictive assumptions have often been criticised and its predictive power has been challenged by numerous contribution in empirical finance (see for example Fama and French), the mean variance approach is a standard in financial economics, and its main corollary in asset pricing, the Sharpe-Lintner-Mossin Capital Asset Pricing Model 111See Sharpe , Lintner  and Mossin ., has been viewed as one of the “major contributions of academic research in the postwar era” (Jagannathan and Wang , p.4). Since a seminal article by Kelly , financial economists and applied probability theorists have been debating on the normative appeal of logarithmic utility maximisation as opposed to the mean-variance approach in financial markets. Several contributors222For example: Latane , Breiman , Hakansson , Finkelstein and Whitley , Algoet and Cover . have expressed their dissatisfaction with the mean-variance approach and argued that a rational investor with a long time horizon should instead maximise the expected rate of growth of his wealth. The portfolio choice that this type of behaviour implies is equivalent to that prescribed by a logarithmic utility function (the so called “Kelly criterion”). Central to the debate was the claim that maximising a logarithmic utility function would be a “more rational” objective to follow for a trader with a long time horizon. This claim has been strongly opposed by Merton and Samuelson  and Goldman , who stressed the obvious contradiction that lies in arguing that rational traders should maximise a given utility function, possibly different from their own.

We believe that a useful contribution to this debate comes by the adoption of an evolutionary technique. By showing that logarithmic utility maximisers accumulate more wealth than $`CAPM`$-traders we certainly do not prove that they are more rational (or happier) than their mean-variance opponents. However we may gain a better understanding of the reasons for the support of logarithmic utility maximisation that originated the debate.

We do not attempt here a review on the literature on evolution and market behaviour. Instead we concentrate on the more self-contained strand of literature to which this paper specifically contributes. In particular, we focus on the literature that aims at studying long run financial market outcomes as the result of a process akin to natural selection. In a seminal paper Blume and Easley  develop an evolutionary model of a financial market and define notions of dominance, survival and extinction based on the asymptotic behaviour of traders’ wealth shares. They provide us with the most general analytical result in this strand of literature. They show that, if all traders save at the same rate and under some uniform boundedness conditions on portfolios, then there exists one globally fittest portfolio rule which is prescribed by logarithmic utility maximisation. Namely, if there is a logarithmic utility maximiser in the economy, he will dominate, determine asset prices asymptotically and drive to extinction any other trader that does not behave, at least in the long run, as a logarithmic utility maximiser.

In a different setting, where investors choose their investment rates endogenously (choosing an optimal consumption stream at the same time as an optimal sequence of portfolios), Sandroni  provides analytical results that seem to weaken Blume and Easley’s findings. He shows that, provided that agents’ utilities satisfy Inada conditions (and that agents’ beliefs are correct), then all traders survive. Clearly Inada conditions are crucial here as they require marginal utilities to go to infinity whenever the consumption level approaches zero. A rational trader that can also choose his investment intensity would avoid extinction by suitably modifying his consumption pattern.

Sciubba  compares the relative fitness of logarithmic and mean-variance preferences. Mean-variance preferences do not satisfy Inada conditions and prescribe portfolio weights which do not necessarily display uniform boundedness properties, so that none of the two previous frameworks directly applies. She shows that when logarithmic utility maximisers invest at the same rate as mean-variance investors, logarithmic traders dominate, determine asset prices asymptotically and drive to extinction those agents who are either endowed with mean-variance preferences, ore use their theoretical predictions ($`CAPM`$) as a rule of thumb. One of the sections in Sciubba  is indeed devoted to the study of the role of heterogeneous savings rates in the dynamics of wealth accumulation. However, the stochastic process becomes so complex in this case, that the few results that are obtainable analytically are very weak. This is where we believe that numerical computation can provide us with more insights into the problem.

Our results show that, even when we allow for heterogeneity in savings rates, dominance of logarithmic utility maximisers proves robust, at least to a certain extent. In particular, we show that logarithmic traders can “afford” to save at a lower rate than $`CAPM`$ traders and still dominate financial markets. When logarithmic traders dominate, the wealth share of $`CAPM`$ traders converges to zero exponentially fast. In particular, we find that the more risk-averse $`CAPM`$ traders are, the faster they vanish. Clearly when $`CAPM`$ traders display a savings intensity that is much higher than their opponents, then - as one would expect - they indeed dominate and drive to extinction logarithmic utility maximisers. We identify the threshold in the savings rates differential such that this “fate reversal” occurs and find that it is increasing in the variance of the dividend stream. If the dividend stream is very volatile, then the advantage of logarithmic utility maximisers with respect to $`CAPM`$ traders in terms of portfolio selection is higher. Hence $`LOG`$ traders can “afford” to save less and still dominate the market. Symmetrically, the fitness of $`CAPM`$ proves particularly low in environments characterised by high volatility. Should we trust what $`CAPM`$ prescribes when investing on Nasdaq? Probably not.

## 2 The Model

A detailed description of the model is to be found in Sciubba . Here we summarise its main features. Time is discrete and indexed by $`t=0,1,2,\mathrm{}`$. There are $`S`$ states of the world indexed by $`s=1,2,\mathrm{},S`$, one of which will occur at each date. States follow an i.i.d. process with distribution $`p=(p_1,p_2,\mathrm{},p_S)`$ where $`p_s>0`$ for all $`s`$. There is a finite set of assets, with the same dimensionality of the set of states of nature. With little abuse of notation we index both assets and states with the same letter. Asset $`s\{1,2,\mathrm{},S\}`$ pays a strictly positive dividend $`d_s>0`$ when state $`s\{1,2,\mathrm{},S\}`$ occurs and $`0`$ otherwise. At each date there is only one unit of each asset available, so that $`d_s`$ will be the total wealth in the economy at date $`t`$ if state $`s`$ occurs. This wealth will be distributed among traders proportionately according to the share of asset $`s`$ that each of them owns. Let $`\rho _{st}`$ be the market price of (one unit of) asset $`s`$ at date $`t`$. There is a heterogeneous population of long-lived agents in this economy, indexed by $`i\{1,2,\mathrm{},I\}`$. Each agent is characterised by an investment rule and an initial wealth endowment. Agent $`i`$’s investment rule is $`\{\delta _t^i,\alpha _t^i\}_{t=0}^{\mathrm{}}`$ where $`\delta _t^i`$ denotes agent $`i`$’s investment rate at date $`t`$ (i.e. the percentage of wealth endowment at date $`t`$, $`e_t^i`$, that $`i`$ invests at date $`t`$) and $`\alpha _t^i`$ is a vector that describes agent $`i`$’s portfolio choice at date $`t`$ (i.e. the vector of portfolio weights in the $`S`$ available assets $`\left\{\alpha _{st}^i\right\}_{s=1}^S`$ for agent $`i`$ at date $`t`$). Agent $`i`$’s initial wealth endowment is denoted by $`e_0^i`$. The tuple $`(e_0^i,\{\delta _t^i,\alpha _t^i\}_{t=0}^{\mathrm{}})`$ constitutes a complete description of agent $`i`$. At each date $`t`$, agent $`i`$ invests a portion $`\delta _t^i`$ of his wealth endowment $`e_t^i`$, in the $`S`$ available assets333We are in fact assuming that agent $`i`$ “eats” the rest of his endowment so that whatever is not invested, $`\left(1\delta _t^i\right)e_t^i`$, is consumed by agent $`i`$.. We denote by $`w_t^i`$ the total amount invested by trader $`i`$ at date $`t:`$

$$w_t^i=\delta _t^ie_t^i$$
(1)
Aggregate total investment will be equal to aggregate expenditure in assets. Since there is only one unit of each asset available, then clearly:

$$\underset{s=1}{\overset{S}{}}\rho _{st}=\underset{i=1}{\overset{I}{}}w_t^i=w_t$$
(2)
Equation (2) provides us with a convenient normalisation for prices. We can, in fact, call $`\pi _{st}`$ the normalised market price of asset $`s`$ at date $`t`$ and define it as follows:

$$\pi _{st}\frac{\rho _{st}}{_{s=1}^S\rho _{st}}=\frac{\rho _{st}}{w_t}$$
(3)
Finally define: $`\pi _t(\pi _{1t},\pi _{2t},\mathrm{},\pi _{St})`$. In equilibrium, prices must be such that markets clear, i.e. total demand equals total supply. Agent $`i`$’s demand for asset $`s`$ will be equal to agent $`i`$’s expenditure in asset $`s`$, $`\alpha _{st}^iw_t^i`$, divided by the market price of asset $`s`$, $`\rho _{st}`$. In the aggregate:

$$\underset{i=1}{\overset{I}{}}\frac{\alpha _{st}^iw_t^i}{\rho _{st}}=1$$
(4)
Rewriting equation (4) we get:

$$\rho _{st}=\underset{i=1}{\overset{I}{}}\alpha _{st}^iw_t^i$$
(5)
and using our price normalisation:

$$\pi _{st}=\underset{i=1}{\overset{I}{}}\alpha _{st}^i\epsilon _t^i$$
(6)
where $`\epsilon _t^i`$ denotes the investment share of agent $`i`$ at date $`t`$:

$$\epsilon _t^i=\frac{w_t^i}{w_t}$$
(7)
and also measures the “presence” of trader $`i`$ in financial markets and his “importance” in determining asset prices.

### 2.1 The Dynamics

We now ask what is the period to period dynamics of trader $`i`$’s investment share. This will allow us to follow the evolution of his “presence” in financial markets and of his “importance” in determining market outcomes, namely asset prices. Suppose that state $`s`$ occurs at date $`t`$: asset $`s`$ pays a dividend $`d_s`$ while all other assets pay zero. The total wealth in the economy, $`d_s`$, gets distributed to traders according to the share of asset $`s`$ that each of them owns. In particular, the investment income of trader $`i`$ \- that also constitutes his wealth endowment for period $`t+1`$ \- is equal to the following:

$$e_{t+1}^i=\frac{\alpha _{st}^iw_t^i}{\rho _{st}}d_s$$
(8)
Aggregate wealth endowment at date $`t+1`$ is equal to the total payout of asset $`s`$:

$$e_{t+1}=\underset{i=1}{\overset{I}{}}e_{t+1}^i=\underset{i=1}{\overset{I}{}}\frac{\alpha _s^iw_t^i}{\rho _{st}}d_s=d_s$$
(9)
In period $`t+1`$ trader $`i`$ invests a fraction $`\delta _{t+1}^i`$ of his wealth endowment:

$$w_{t+1}^i=\delta _{t+1}^ie_{t+1}^i=\delta _{t+1}^i\frac{\alpha _{st}^id_s}{\rho _{st}}w_t^i$$
(10)
In the aggregate:

$$w_{t+1}=\underset{i=1}{\overset{I}{}}w_{t+1}^i=\underset{i=1}{\overset{I}{}}\delta _{t+1}^i\frac{\alpha _{st}^iw_t^i}{\rho _{st}}d_s=\underset{i=1}{\overset{I}{}}\delta _{t+1}^i\frac{\alpha _{st}^iw_t^i}{\rho _{st}}e_{t+1}$$
(11)
In order to formulate (10) in terms of wealth shares, it is useful to define the market average investment rate $`\delta _{t+1}`$ as:

$$\delta _{t+1}=\underset{i=1}{\overset{I}{}}\delta _{t+1}^i\frac{\alpha _{st}^iw_t^i}{\rho _{st}}$$
(12)
so that (11) can be rewritten as:

$$w_{t+1}=\delta _{t+1}e_{t+1}$$
(13)
Dividing (10) by (11) we obtain investment shares:

$$\epsilon _{t+1}^i=\frac{w_{t+1}^i}{w_{t+1}}=\frac{\delta _{t+1}^i\alpha _{st}^id_s}{\delta _{t+1}\rho _{st}e_{t+1}}w_t^i$$
(14)
Finally, using (9) and our price normalisation, we obtain:

$$\epsilon _{t+1}^i=\frac{\delta _{t+1}^i\alpha _{st}^i}{\delta _{t+1}\pi _{st}}\epsilon _t^i$$
(15)
Equation (15) describes the period to period dynamics of the investment share of trader $`i`$. It implies that the “impact” of trader $`i`$ on financial markets follows a fitness-monotonic dynamic: trader $`i`$’s investment share will increase if he invests more than the market on average and if he scores, with his investments, a payoff which is higher than the average population payoff. In fact, if state $`s`$ occurs at date $`t`$, $`\alpha _{st}^i`$ and $`\pi _{st}`$ give us a measure of trader $`i`$’s payoff (his bet on the lucky asset) and of the average population payoff respectively. Following the definition given by Blume and Easley , in order to establish whether trader $`i`$ survives or vanishes, we consider the asymptotic value of his investment share and we check whether it is bounded away from zero or not. When trader $`i`$’s investment share converges 444Here and in what follows whenever we refer to convergence, we mean almost sure convergence. to zero, his significance in determining market outcomes vanishes and he effectively disappears from the market. When trader $`i`$’s investment share stays bounded away from zero, then he contributes to determine asset prices (also asymptotically) and we will say that, as a trader, he survives. The process described by eq.(15) is too complex to be studied analytically in a very general case555 I.e. without imposing some of the restrictions required, for example, by ,  or .. In fact, even under the restriction that all shocks are i.i.d., asset prices and market savings rates depend on the whole sequence of past history, and the law of large numbers does not automatically help us with a solution. As we argued in the introduction, this is why we believe that numerical analysis can help to obtain further insights into the problem.

### 2.2 Types of Traders

As in Sciubba , we will consider the interaction between two different types of traders. The first type of agents is given by investors who believe in $`CAPM`$ and use it as a rule of thumb 666We can think of them as of traders who have been educated in business schools. They have been taught the model so well in their finance courses that they believe it really works.: at the beginning of each time period, they observe payoffs and market prices and work out the composition of the market and the risk-free portfolios. Finally, according to their degree of risk aversion they choose their preferred combination between the two. At date $`t`$, $`CAPM`$ investors choose $`\gamma _t[0,1]`$ and invest in asset $`s`$ a portion $`\alpha _{st}^{CAPM}`$ of their portfolio such that:

$$\alpha _{st}^{CAPM}=\gamma _t\alpha _{st}^F+\left(1\gamma _t\right)\alpha _{st}^M$$
(16)
where:

$$\alpha _{st}^F\frac{\rho _{st}/d_s}{_z\rho _{zt}/d_z}=\frac{\pi _{st}/d_s}{_z\pi _{zt}/d_z}$$
(17)
and

$$\alpha _{st}^M\frac{\rho _{st}}{_z\rho _{zt}}=\pi _{st}.$$
(18)
The second type of traders is given by investors who are endowed with a logarithmic utility function (type $`LOG`$) and who actually maximise the growth rate of their wealth share and invest according to a “simple” and time invariant portfolio rule:

$$\alpha _{st}^{LOG}=p_s$$
(19)
More generally, at each date $`t`$, a rational trader $`i`$ will choose $`\left\{\alpha _{st}^i\right\}_{s=1}^S`$ so as to maximise:

$$\underset{s=1}{\overset{S}{}}p_su^i\left(\frac{\alpha _{st}^iw_t^i}{\rho _{st}}d_s\right)$$
(20)
subject to the constraint that investment expenditure at each date is less than or equal to the amount of wealth saved in the previous period. If $`u^i()`$ is logarithmic, it follows that 777Note that we are assuming that traders know the probability distribution $`p`$ over the state space $`S`$. In a more general framework, a trader who displays a logarithmic utility function bets his beliefs. $`\alpha _{st}^L=p_s`$. We will denote by $`\delta _t^{CAPM}`$ and $`\delta _t^{LOG}`$ the investment rates of traders who believe in $`CAPM`$ and logarithmic utility maximisers respectively.

## 3 Computer Simulation and Numerical Results

Recall eq.(6) where normalised prices are expressed as a weighted average of portfolio rules. In the setting that we consider, where $`CAPM`$ and $`LOG`$ traders interact, eq.(6) becomes

$$\pi _{st}=\epsilon _t\alpha _{st}^{LOG}+(1\epsilon _t)\alpha _{st}^{CAPM}$$
(21)
where $`\epsilon _t`$ denotes the investment share of $`LOG`$ traders and $`(1\epsilon _t)`$ denotes the investment share of $`CAPM`$ traders. By substituting eq.(16) and eq.(19) in eq.(21) one has

$$\pi _{st}=\epsilon _tp_s+(1\epsilon _t)(\gamma \frac{\pi _{st}}{d_s}\frac{1}{_{z=1,N}\frac{\pi _{zt}}{d_z}}+(1\gamma )\pi _{st}).$$
(22)
We solve the above equation through iteration by a numerical technique called “relaxation”. Namely, we start from a trial value for $`\pi _{st}`$, we compute a new value through the above equation and then we iterate this procedure until a fixed point is reached. In other words, if we call $`\tau `$ the time of the iteration our numerical code computes the quantity

$$\pi _{st}^{\tau +1}=\epsilon _tp_s+(1\epsilon _t)(\gamma \frac{\pi _{st}^\tau }{d_s}\frac{1}{_{z=1,N}\frac{\pi _{zt}^\tau }{d_z}}+(1\gamma )\pi _{st}^\tau )$$
(23)
and then it looks for the fixed point solution $`\pi _{st}^{\mathrm{}}`$ that is achieved for all the $`\tau >\tau ^{}`$ for which $`|\pi _{st}^{\tau ^{}+1}\pi _{st}^\tau ^{}|`$ is less than a tolerance parameter fixed in advance for all the assets $`s`$. This fixed point is the numerical solution of eq.(23). Since it has been demonstrated that this solution exists and is unique , it is possible to show that the above method gives a numerical value of the solution with a desired precision bounded only by computation time. In our simulations we stop the iteration when the relative precision of asset prices is lower than $`10^5`$. At this point we run two sets of simulations. The first set aims at detecting the time of convergence of the stochastic process given by the wealth shares. The second set of simulations aims at checking the robustness of $`LOG`$ dominance results to heterogeneity in savings rates.

The first numerical check is devoted to study the average time one can expect $`CAPM`$ traders to survive in a competition with the others. We run a Fortran code that simulates a real evolution in a market with $`CAPM`$ traders and $`LOG`$ traders. We consider a market where 100 assets are repeatedly traded, so that $`S=100`$. We assume that the probability distribution over the states of nature is uniform, so that $`p_s=1/S,s`$. We assume that dividends are randomly drawn from a normal distribution $`N(\mu ,\sigma )`$ with the mean to variance ratio large enough to guarantee that virtually every asset pays a positive payoff. We set the initial investment shares for the two types of traders to be equal. None of the qualitative results that we obtain in the simulation are driven by our choice of parameters and probability distributions. We run our simulations under the assumption (as in Sciubba  and Blume and Easley ) that both types of traders save at the same rate. Time step after time step the code generates pseudo-random numbers that identify states of nature. After each draw, prices are computed through “relaxation”, the dividends are distributed and the investment shares of the traders are refreshed. Eventually the investment share of $`CAPM`$ traders becomes lower than a certain threshold, sufficiently small such that we can conclude that $`CAPM`$ traders are extinct. We then store in the computer the time at which this threshold is reached and we start again with a new realisation of the same market. Given the same initial conditions in the market, we collect up to $`15000`$ different realisations of this competition between traders. The various realisations differ because of the randomness in the draw of the states of nature. In all the runs $`CAPM`$ traders see their investment shares reduced until extinction takes place. This result confirms the theoretical findings. Furthermore, through the extinction times recorded by the computer code, we are also able to measure the density function describing the probability that $`CAPM`$ traders survive up to a time $`t`$ in a competition with $`LOG`$ traders. The unit of time is given by the draw of a state of nature. That is, $`t=5`$ means that after the initial condition $`5`$ states of nature have been drawn in the market, and the $`5`$ corresponding assets paied their dividends. The main result is that the density function is exponential. The probability for a $`CAPM`$ trader to survive decreases with time according to

$$P(t)dt=Ae^{Ct}dt.$$
(24)
We also run different simulations by changing the parameter $`\gamma `$ of the model, that measures the risk-aversion of $`CAPM`$ traders. The result is that the more risk-averse the $`CAPM`$ traders are, the faster their wealth share converges to zero. The economic intuition for this result lies in the fact that a higher degree of risk-aversion implies that the portfolio of $`CAPM`$ is tilted towards the risk-free rather than towards the market portfolio, where the most successful trading rules are represented. In this setting, a $`CAPM`$ trader with an extremely low risk-aversion, and hence a value of $`\gamma `$ approximately equal to zero, would indeed survive.

Our simulations show that exponential decay is robust with respect to the values of $`\gamma `$ used. The functional form that can be hypothesised for such a decay is of the form

$$P(t)=Ae^{Bt\gamma ^2}$$
(25)
One can test this assumption by rescaling the different data. Namely in each simulation, if we multiply the value of time by the value of $`\gamma ^2`$ used in that run, we should obtain different functions $`P^{}(t^{})`$ (where $`t^{}=t\gamma ^2`$) all behaving in the same way. In particular these data obtained through simulations with different values of $`\gamma `$ should collapse together. This technique note as “collapse plot” is shown in Fig.1. In the upper part of the figure we plot the data relative to $`\gamma =0.5,0.7,0.8,0.9,1`$ testing the good validity of our assumption. We also run another set of simulations, by changing the threshold at which the $`CAPM`$ trader is considered extinct. By passing to a threshold of $`0.5\%`$ of the total wealth shares from the $`5\%`$ previously used, we noticed as expected a shift of the distribution to longer times. Nevertheless, qualitatively we obtain the same behaviour shown in the lower part of Fig.1. In both cases (above and below) the extimated exponential distribution is indicated by a dashed line.

In the second set of simulations we consider the situation in which the savings rates used by the two types of traders differ. In particular, we ask if $`LOG`$ traders can survive and eventually dominate over $`CAPM`$ traders that save at a higher intensity. We run simulations of the financial market described in the previous section, in this case under the assumption that traders have heterogeneous savings rates. Our aim is to check whether $`LOG`$ dominance results are robust when $`CAPM`$ traders save at a higher rate than logarithmic utility maximisers. As in the previous set of simulations, we consider a market where 100 assets are repeatedly traded, such that $`S=100`$. Again, we assume that the probability distribution over the states of nature is uniform, so that $`p_s=1/S,s`$. We assume that dividends are randomly drawn from a normal distribution $`N(\mu ,\sigma )`$ with the mean to variance ratio large enough to guarantee that virtually every asset pays a positive payoff. We set the initial wealth shares for the two types of traders to be equal. Finally we normalise the savings rate of $`CAPM`$ traders to be equal to one.

Fig. 2 shows the lowest value for logarithmic utility maximisers’ savings rate that still allows $`LOG`$ traders to dominate (averaged across $`1000`$ different simulations), for different values of the variance $`\sigma `$ of the distribution of dividends, which measures the volatility of the dividend stream. More particularly, we introduce the quantity $`\mathrm{\Delta }`$ representing the maximum difference in saving rates between $`CAPM`$ and $`LOG`$ that still allows $`LOG`$ traders to dominate. Also in this case we apply the technique of the collapse plot in order to show that the threshold at which $`LOG`$ traders commence to dominate depends on the ratio $`\sigma /\mu `$. We can interpret the graph in figure 2 as dividing the $`\sigma `$, $`\mathrm{\Delta }`$ plane in two regions: in the area (a) below the graph, logarithmic utility maximisers dominate and drive to extinction $`CAPM`$ traders; in the area (b) above the graph, $`CAPM`$ traders dominate and drive to extinction logarithmic utility maximisers. From our results it appears that the dominance of logarithmic utility maximisers is robust to heterogeneity in savings rates, at least to a certain extent. In fact we obtain that $`LOG`$ traders dominate and drive $`CAPM`$ traders to extinction even when the latter display a higher savings rate (provided that it is not much higher). This difference provides us with an immediate measure of the advantage of $`LOG`$ traders with respect to $`CAPM`$ traders in terms of portfolio rules. We find that the higher the volatility of the dividend stream, the higher is the advantage of logarithmic utility maximisers over $`CAPM`$ traders. In particular, the threshold level for the $`LOG`$ traders’ savings rate appears to be a function of the mean to variance ratio of the probability distribution of the dividends that assets pay. The economic intuition of this result lies in the fact that, with a large variance of dividends, the behaviour prescribed by a logarithmic utility function differs greatly from the behaviour prescribed by CAPM. Think of the following example. Suppose that investors can place bets on two lotteries that pay positive prizes with equal probability: lottery ”Rich” pays 1 million dollars with probability 1/2 and lottery ”Poor” pays 1 single dollar whenever lottery ”Rich” does not pay. A LOG investor would place equal bets on both lotteries. On the contrary, a CAPM trader (and any trader, in fact, that maximises the expected value of an increasing function of his wealth level, rather than rate of growth) would place a higher bet on the ”Rich” lottery than on the ”Poor” one. The divergence between his bets would be increasing in the difference between the two lotteries’ prizes. As a result, the distance between the bets that LOG investors and CAPM investors would place is also increasing in the discrepancy between lotteries’ payoffs. A higher variance of dividends implies that, in different states of nature, very high payoffs are paid as well as very low ones, and results in a higher divergence of portfolio choices between the two types of investors.

## 4 Conclusion

In this paper we test computationally the performance of $`CAPM`$ in an evolutionary setting. In particular we study the asymptotic wealth distribution across two types of traders that compete on financial markets: traders who invest as prescribed by $`CAPM`$ and traders who maximise the expected value of a logarithmic utility function of wealth. Our study provides further insights and extends some recent analytical results (see ) that prove that the wealth share of $`CAPM`$ traders converges almost surely to zero, when a logarithmic utility maximiser with a savings rate at least as large as the savings rate of $`CAPM`$ traders, enters the market. We run two sets of simulation addressing two related, but separate, issues. First, we look at the time of convergence of the stochastic process given by the wealth share dynamics. We find that, when savings rates are identical across the two types of traders, the wealth share of $`CAPM`$ investors decreases exponentially fast towards zero. We also find that the degree of risk-aversion of $`CAPM`$ traders has a role in determining the speed of convergence: the more risk-averse the $`CAPM`$ traders, the faster their wealth share converges to zero. Second, we check the robustness of the analytical result in Sciubba  to heterogeneity in savings rates. We find that $`LOG`$ investors dominate even when their savings rate is lower (but not too much lower) than the savings rate of $`CAPM`$ traders. We compute the maximum difference between the savings rates of the two types of investors that still allows $`LOG`$ traders to dominate and drive to extinction all those who choose their portfolio according to what $`CAPM`$ prescribes. We argue that the difference between savings rates so computed can serve as a measure of the fitness of logarithmic utility maximisation with respect to $`CAPM`$ and we find that it is increasing in the variance of the dividend stream. Our results seem to suggest that, from an evolutionary perspective, if it is true that $`CAPM`$ could perform almost as satisfactorily as logarithmic utility maximisation in markets with low volatility, it proves particularly unfit for highly risky environments.


text:
# Echoes of the fifth dimension?

\[

## Abstract

In this article we examine the question of whether the highest energy cosmic ray primaries could be ultra relativistic magnetic monopoles. The analysis is performed within the framework of large compact dimensions and TeV scale quantum gravity. Our study indicates that while this hypothesis must be regarded as highly speculative it cannot be ruled out with present data.

PACS numbers: 98.70.Sa, 13.85.Tp, 11.10.Kk

\]

This past year has seen a massive resurgence of interest in higher dimensional spacetimes , a key new concept being the localization of matter, and even gravity on branes embedded in extra dimensions . Depending on the dimensionality and the particular form of this space, the long standing (Planck) hierarchy problem can find alternative solutions. In the canonical example of , the Planck scale of the four dimensional world is related to that of a higher dimensional space-time simply by a volume factor,

$$r=\left(\frac{M_{\mathrm{pl}}}{M_{}}\right)^{2/n}\frac{1}{M_{}},$$
(1)
where $`M_{}`$ 1 TeV is the fundamental scale of gravity, $`M_{\mathrm{pl}}=10^{18}`$ GeV, and $`n`$ is the number of extra dimensions. With this factorizable geometry the case of one extra dimension is clearly excluded since gravity would then be modified at the scale of our solar system. However, for $`n2`$, $`r`$ is sufficiently small (the fundamental Planck scale is lowered all the way to the TeV scale) and the model is not excluded by short distance gravitational measurements. A more compelling scenario requires curvature to spill into the extra dimension . Within this framework the background metric is not flat along the extra coordinate, rather it is a slice of anti de Sitter space, due to a negative bulk cosmological constant balanced by the tension of two branes. In this non-factorizable geometry, the curved nature of the spacetime causes the physical scale on the two branes to be different, and exponentially suppressed in the negative tension brane. Such exponential suppression can then naturally explain why the physical scales observed are so much smaller than the Planck scale. Variants of this solution have been discussed by many authors . These models make dramatic predictions which can be directly confronted by current and future collider experiments , as well as cosmological observations . The search for extra-dimension footprints in collider data has already started. However, as yet no observational evidence has been found .

Another seemingly different, but perhaps closely related subject is the apparent lack of a high energy cutoff in the cosmic ray (CR) spectrum. Over the last few years, several giant air showers have been detected , with no sign of the expected Greisen-Zatsepin-Kuz’min (GZK) cutoff . Initiated by single high energy particles hitting the atmosphere, these are large pancake-shaped slabs of high energy particles which hit the ground at nearly the speed of light and can cover areas of many square kilometers. The origin and nature of the progenitors is, at present, a deep mystery . Protons with energies above the GZK cutoff lose energy rapidly via inelastic collisions with the cosmic microwave background (CMB) and thus presumably must come from a nearby source. This seems unlikely . A typical nucleus of the cosmic radiation is subject to photodisintegration from blue-shifted microwave photons, losing about 3-4 nucleons per traveled Mpc . Gamma rays of the appropriate energy have a short mean free path for creating electron-positron pairs . Although neutrinos can propagate through the CMB essentially uninhibited, at these energies the atmosphere is still transparent, and most of them interact in the Earth if at all. The difficulties encountered in identifying a known particle as candidate have motivated suggestions in favor of “exotic” massive neutral hadrons, whose range is not limited by interactions with the CMB . However, the latter predicts a correlation between primary arrival directions and the high redshift sources, which is not supported by the data set now available . On a different track, it was recently put forward that extra dimensions may in principle hold the key to overcome this puzzle . In this article we shall explore this fascinating possibility.

It has long been known that any early universe phase transition occurring after inflation (say with symmetry breaking temperature $`T_c`$), which leaves unbroken a $`U(1)`$ symmetry group, may produce magnetic monopoles . For instance, minimal $`SU(5)`$ breaking may lead to “baryonic monopoles” of mass $`MT_c/\alpha `$, with magnetic charge $`U(1)_{\mathrm{EM}}`$ and chromomagnetic (or color-magnetic charge) $`SU(3)_\mathrm{C}`$ . Here $`\alpha `$ stands for the fine structure constant at scale $`T_c`$. These monopoles easily pick up energy from the magnetic fields permeating the universe and can traverse unscathed through the primeval radiation. Thus, they are likely to generate extensive air showers .***The idea of monopoles as constitutents of primary cosmic radiation is actually quite old, it can be traced back at least as far as 1960 . Before proceeding further, it is important to point out that if the monopoles are formed at the usual grand unification (GUT) scale $`10^{15}`$ GeV, the energy density overcloses the universe. Thus, to avoid this effect the symmetry breaking scale associated with the production of monopoles has to be shifted to lower energies. Remarkably, if the GUT scale is at $`10^9`$ GeV, one would end up with an abundance of relativistic monopoles well below the closure limit, and yet potentially measurable to explain the tail of the CR-spectrum. In addition, for such a critical temperature the observed flux of ultra high energy CRs is below the flux allowed by the Parker limit . Moreover, the CR flux does not violate the upper bound for the monopole flux based on preliminary results quoted by the AMANDA Collaboration (see Fig. 1) . Unfortunately, contrary to the observed CR arrival directions, the expected flux of relativistic monopoles is highly anisotropic, pointing towards the magnetic lines near the Earth .

In the multidimensional models, the low-scale unification enables the production of light-mass monopoles, say $`M100`$ TeV. Furthermore, the physical embodiment of these theories allows a natural generalization of the ’t Hooft-Polyakov monopole providing a convenient set of representations for D1-branes ending on D3-branes, and consequently even lighter monopoles. Note, however, that direct searches at accelerators pretty much exclude masses below a few hundreds of GeV, whereas bounds stemming from quantum effects on current observables turn out to be $`1`$ TeV . The light-mass monopoles could lose and gain energy as they random-walk towards the Earth. The maximum energy attainable before hitting the atmosphere is roughly $`10^{25}`$ eV . Therefore, these “particles” would be ultra-relativistic, and the expected flux has no imprint of correlation with the local magnetic field.

To mimic a shower initiated by a proton the monopole must transfer nearly all of its energy to the atmospheric cascade in a very small distance. The large inertia of a massive monopole makes this impossible if the cross-section is typically strong, $``$ 100 mb. Wick, Kephart, Weiler and Biermann (WKWB)  have recently pointed out that this problem can be avoided in models in which the baryonic monopole consists of $`q`$-monopoles confined by strings of chromomagnetic flux. To describe the interactions of such a monopole in air, WKWB have developed a model based on the four following axioms: i) before hitting the atmosphere the monopole-nucleus cross section is roughly hadronic $`\sigma _0\mathrm{\Lambda }_{\mathrm{QCD}}^2`$ (unstretched state), attaining a geometric growth after the impact; ii) in each interaction an $`𝒪(1)`$ fraction of the exchanged energy goes into stretching the chromomagnetic strings of the monopole; iii) the chromomagnetic strings (of tension $`T\mathrm{\Lambda }_{\mathrm{QCD}}^1`$) can only be broken to create monopole-antimonopole pairs (a process highly supressed and consequently ignored); iv) the average fraction of energy transferred to the shower in each interaction is soft $`\mathrm{\Delta }E/E\eta \mathrm{\Lambda }_{\mathrm{QCD}}/M`$.

Generally speaking, in this set up the monopole will penetrate deeply into the atmosphere (the cross section is comparable to that of a high energy proton). However, since the geometrical cross-section grows proportionally with the Lorentz factor $`\gamma `$, the interaction length (after the impact) shrinks to a small fraction of the depth of the first interaction. Stated mathematically, the unstretched monopole’s string length, $`L\mathrm{\Lambda }^1`$, increases by $`\delta L=\mathrm{\Delta }E/T`$. Recalling that nearly all of the exchanged energy goes into stretching the color magnetic strings, the fractional increase in the length is $`\delta L/L=\gamma `$, yielding $`\sigma _1(1+\gamma )/\mathrm{\Lambda }_{\mathrm{QCD}}^2`$. Now, the total mean free path after the $`N`$-th interaction reads,

$$\lambda _N\frac{1}{\sigma _Nn_{\mathrm{nuc}}}\frac{\mathrm{\Lambda }_{\mathrm{QCD}}^2}{(1+_{j=1}^N\gamma _j)n_{\mathrm{nuc}}}\frac{\mathrm{\Lambda }_{\mathrm{QCD}}^2}{N\gamma n_{\mathrm{nuc}}},$$
(2)
where we have assumed a constant density of nucleons $`n_{\mathrm{nucl}}(4/3)\pi AR_0^3`$ and we have used the approximation $`\gamma _N(1\mathrm{\Lambda }_{\mathrm{QCD}}/M)^N\gamma \gamma `$. Here $`A`$ stands for the mass number of an atmospheric nucleus, and $`R_01.21.5`$ fm. It should also be stressed that for $`N=\eta ^1`$ the approximation has an error bounded by $`lim_N\mathrm{}(1N^1)^N=e^1`$. For $`\eta ^11`$, the total energy traveled between the first interaction and the $`\eta ^1`$-th interaction is then

$$\mathrm{\Delta }X\frac{\mathrm{\Lambda }_{\mathrm{QCD}}^2}{\gamma n_{\mathrm{nuc}}}\underset{N=1}{\overset{\eta ^1}{}}\frac{1}{N}\frac{\mathrm{\Lambda }_{\mathrm{QCD}}^2}{\gamma n_{\mathrm{nuc}}}\mathrm{ln}\eta ^1.$$
(3)
Note that the mean free path for all secondary interactions is $`𝒪(1/\gamma )`$ compared to the first one. All in all, a baryonic monopole encountering the atmosphere will diffuse like a proton, producing a composite heavy-particle-like cascade after the first interaction.

To examine the signature of such a cascade, we carried out a Monte Carlo simulation of monopole showers à la WKWB using the aires program (version 2.2.1) . Specifically, several sets of proton “clumps”, each containing $`M/\mathrm{\Lambda }_{\mathrm{QCD}}`$, were injected at 100 km a.s.l with the first interaction point fixed according to the proton mean free path. The sample was distributed in the energy range of $`1\times 10^{18}`$ eV up to $`3\times 10^{20}`$ eV, and was equally spread in the interval of 0 to 60 zenith angle at the top of the atmosphere. All shower particles with energies above the following thresholds were tracked: 750 keV for gammas, 900 keV for electrons and positrons, 10 MeV for muons, 60 MeV for mesons and 120 MeV for nucleons. The hadronic interaction was modelled with the sibyll package . The results of these simulations were processed with the help of the aires analysis programs.

The resulting lateral distributions from a vertically incident monopole of 100 EeV ($`\gamma 10^6`$) for muons and charged particles are presented in Fig. 2. A distinctive signature of this kind of shower is the great number of muons among all charged particles. This feature was observed in one not well understood “super-GZK” event . Roughly speaking, a magnetic monopole could then be a candidate primary for the highest energy Yakutsk event. However, WKWB-monopoles associated with a symmetry breaking at $`T_c1`$ TeV certainly cannot explain all features of the data at the end of the spectrum. This is illustrated in Figs. 3 and 4. In Fig. 3 we show the longitudinal development of monopole showers superimposed over the experimental data of the world’s highest energy cosmic ray to date . To get some numerical estimates we analyzed the data by means of a $`\chi ^2`$ test . We assume that the set of measured values by Fly’s Eye are uncorrelated (any depth measurement is independent of any other), and make use of the quantity

$$\chi ^2\underset{j=1}{\overset{q}{}}\frac{|x_j\alpha _j|^2}{\sigma _{x_j}^2},$$
(4)
where $`q`$ is the total number of points in the analysis, $`\sigma _{x_j}`$ is the error on the $`x_j`$th coordinate, $`x_j`$ is the measured value of the coordinate, and $`\alpha _j`$ the (hypothetical) true value of the coordinate. For masses of a few hundred GeV, the obtained $`\chi ^2`$ increases with rising mass from 13.9 to 58.4. Our analysis indicates that masses above 600 GeV are excluded at more than 99 % C.L. On the other hand, WKWB monopoles of masses around 200 GeV become an alternative explanation for the Fly’s Eye event. It is important to stress that a monopole mass $`200`$ GeV is not favored by DØ data , although one should keep in mind that these bounds are quite model dependent. Moreover, in view of the wide variety of uncertainties in the Fly’s Eye event (the total error in the energy determination is 93 EeV ), one may be excused for reserving final judgment until more data is available.

A better understanding of the present situation needs the analysis of the evolution of the shower maximum $`X_{\mathrm{max}}`$ with energy. To this end, the charge multiplicity (essentially electrons and positrons) was used to determine the number of particles and the location of $`X_{\mathrm{max}}`$ by means of four parameter fits to the Gaisser-Hillas function . The situation is summarized by displaying the mean $`X_{\mathrm{max}}`$ as a function of the logarithm of the primary energy in Fig. 4. It is clear that despite its deep penetration, the monopole cascade develops much faster than a proton shower . It can be seen by inspection that the $`X_{\mathrm{max}}`$ values produced by ultra-relativistic monopoles ($`E10^{19}`$ eV) with masses $`200`$ TeV are inconsistent with those reported by the Fly’s Eye experiment, whereas the $`X_{\mathrm{max}}`$ values of showers induced by lighter monopoles, $`M500`$ GeV, are within 1 standard deviation of the scarce “super-GZK” data .

Whether or not the laws of physics should be formulated in more than four dimensions is still unclear. The possible existence of compact large extra dimensions brings with it low energy phase transitions , providing a profitable arena for baryonic light–mass monopole production. If this is the case, the monopoles could be accelerated to ultra-relativistic energies as they roam through space, inducing extensive air showers from time to time after hitting Earth atmosphere. As we have discussed in this article, the atmospheric cascade of monopoles with $`M500`$ GeV could reproduce quite well the main features of the recorded giant cosmic ray showers. Certainly, more data is needed to test the WKWB hypothesis. Forthcoming ground arrays and satellites, such as the Auger Observatory , the next SCROD , and EUSO/OWL/AirWatch , will help to increase the CR sample and more precise limits on the air shower observables will be available, shedding light on the ideas discussed in this paper.

###### Acknowledgements.

We would like to thank Haim Goldberg, Carlos Nuñez, and Tom Weiler for useful discussions. We are also indebted to Gia Dvali for insightful comments on the manuscript, and to Peter Nießen, Doug Cowen, and Christian Spiering for pointing us to the unpublished AMANDA results. The work was supported by CONICET (Argentina) and the National Science Foundation.