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# References

The author of  claims that for $`N=2`$ the $`U(N)`$ two-instanton gauge field configuration given in  by explicitly resolving the ADHM instanton constraints  is incorrect. In response, we highlight some of the shortcomings of the $`U(2)`$ ADHM two-instanton solution presented in , and re-examine the $`U(2)`$ ADHM two-instanton solution which we presented in  in view of the comments upon it given in .

Firstly, the $`U(2)`$ two-instanton solution presented in  does not take into account the fact that the full auxiliary symmetry of the $`U(2)`$ ADHM construction with topological charge $`k=2`$ is $`U(2)`$ and not $`SU(2)`$. The $`SU(2)`$ factor within the global $`U(2)U(1)\times SU(2)`$ transformations which must be performed to fix the auxiliary symmetry is accounted for, but the $`U(1)`$ factor is not. The $`U(1)`$ factor within the $`U(2)`$ global gauge transformations will act trivially upon the submatrix $`a^{}`$ consisting of the submatrices $`B_1`$ and $`B_2`$, in the notation of . However, the $`U(1)`$ factor may act upon the submatrices $`I`$ and $`J`$ of the $`U(2)`$ ADHM two-instanton solution presented in  non-trivially. This is not addressed, nor accounted for, for the $`U(2)`$ ADHM two-instanton solution presented in , as only the action of the $`SU(2)`$ transformation upon the submatrices $`I`$ and $`J`$ is considered, as in Eq. (6) of . The aforementioned global $`U(1)`$ gauge transformations which should act upon the submatrices of the $`U(2)`$ ADHM two-instanton solution presented in  may add additional parameters to the that solution, thereby making the $`U(2)`$ ADHM two-instanton solution presented in  a special, rather than general, solution. An explicit form for the global gauge transformation used to fix the $`U(2)`$ auxiliary symmetry of the $`U(2)`$ ADHM two-instanton presented in  was given in , which included both the action of the $`SU(2)`$ factor and of the $`U(1)`$ factor within the $`U(2)`$ group upon all of the ADHM submatrices of the ADHM matrix $`a`$.

Secondly, we consider the contradiction alleged by the author of  to be present in the $`U(2)`$ ADHM two-instanton solution presented in . Equations (35) and (46) of  are not necessarily in contradiction. Rather, given the form of the $`U(2)`$ ADHM two-instanton submatrices in Eqs. (47,48) of , where the $`U(2)`$ auxiliary symmetry has been fixed, if one demands consistency between these equations and the form of the fixed $`U(2)`$ auxiliary symmetry as given in the Appendix of , so that $`U_1<0`$ (we note that $`U_1>0`$ is not permitted, in order that the $`U(2)`$ two-instanton solution with $`U(2)`$ auxiliary symmery fixed as in  is a valid solution), one derives the following condition upon the parameters contained within the $`U(2)`$-auxiliary symmetry-fixed $`U(2)`$ ADHM two-instanton solution in :

$$\frac{2|x_0|^2}{(|x_0|^2+|x_1|^2)|x_1|^2}[\overline{x}_0x_1U_2U_z+x_0\overline{x}_1\overline{U}_2\overline{U}_z]>0.$$
(1)
The inequality in Eq. (1) is specific to the $`U(2)`$ ADHM two-instanton with the $`U(2)`$ symmetry fixed as in , and does not constitute a generic defect of the $`N=2`$ case of the $`U(N)`$ ADHM two-instanton solution given in , as there exist choices of transformations other than those in the Appendix of  with which to fix the $`U(2)`$ auxiliary symmetry when $`N=2`$. For the specific choice of transformations used to fix the $`U(2)`$ auxiliary symmetry given in the Appendix of , we admit that the inequality in Eq. (1) does represent an additional constraint upon the parameters of the $`U(2)`$ ADHM two-instanton solution, so that the parameters in this particular form of the solution are not completely independent. However, Eq. (1) does not reduce the number of parameters in the solution as it is an inequality. The inequality in Eq. (1) serves as a bound on the parameters in the solution, but the $`U(2)`$ ADHM two-instanton solution in  is still parameterized by sixteen real parameters. In physical applications, this bound may naturally be satisfied. We maintain that other choices of transformations which fix the auxiliary $`U(2)`$ symmetry of the $`N=2`$ solution exist which do not create the bound in Eq. (1). Hence there is no contradiction, only a bound imposed upon the parameters of the solution.

Thirdly, the quantity $`|x|^2`$ defined in Eq. (33) of  was not specified by us in  as the separation between the two constituent one-instantons of the $`U(N)`$ ADHM two-instanton solution in . The quantity $`|x|^2`$ was defined only for convenience, and we note that in the original paper , a typographical error was made. In agreement with the author of , the quantity $`|x|^2`$ should be defined as:

$$|x|^2|x_0|^2+|x_1|^2,$$
(2)
for which the solution presented in  does indeed satisfy the ADHM constraints for gauge group $`U(N)`$ and $`k=2`$. Equation (2) above corrects Eq. (33) of . The quantity $`|x|`$ is the separation to be expected between two points located at $`(\frac{1}{2}x_0,\frac{1}{2}x_1)`$ and $`(\frac{1}{2}x_0,\frac{1}{2}x_1)`$ on a flat Euclidean complex space of complex dimension two, in accordance with the form of the submatrices specifying the general $`U(N)`$ ADHM two-instanton given in Eqs. (38,39) of . Therefore the quantity $`|x|^2`$ is indeed associated with the separation between the two constituent $`U(N)`$ ADHM one-instanton solutions within the $`U(N)`$ ADHM two-instanton configuration given in . We thank the author of  for bringing this typographical error to our attention.

Fourthly, we examine the dilute instanton gas limit, also known as the completely clustered limit, of the $`U(2)`$ ADHM two-instanton solution presented in . In Eq. (14) of , the author of  obtains the dilute instanton gas limit by taking the separation between the constituent $`U(2)`$ ADHM one-instantons to infinity. We assume that the ADHM submatrix $`a`$ in Eq. (14) of  represents the ADHM data of a general $`U(2)`$ ADHM two-instanton solution of arbitrary $`U(2)`$ gauge iso-orientation. However, one of the $`U(2)`$ ADHM one-instanton submatrices within the decomposition in Eq. (14) does not possess an arbitrary $`U(2)`$ gauge iso-orientation: in the notation of , the parameters $`\{l,m,\theta \}`$, which presumably should also be present to specify the $`SU(2)`$ gauge iso-orientation of the $`U(2)`$ ADHM one-instantons, assume special values for one of the $`U(2)`$ ADHM one-instantons. In contrast, the other $`U(2)`$ ADHM one-instanton submatrix possesses arbitrary $`SU(2)`$ gauge iso-orientation parameters $`\{l,m,\theta \}`$. Furthermore, this implies that one of the one-instanton submatrices contains fewer parameters than the other one-instanton submatrix, which should not be the case. (The total number of real parameters for the $`U(2)`$ auxiliary-symmetry-fixed $`U(2)`$ ADHM two-instanton is sixteen. Within the dilute instanton gas limit, the two constituent $`U(2)`$ ADHM one-instanton solutions which arise should possess eight parameters each.) The $`U(2)`$ ADHM two-instanton solution presented in  does not exhibit this deficiency in the number of parameters when the dilute instanton gas limit is taken. Moreover, the $`U(2)`$ ADHM two-instanton solution in  possesses an arbitrary $`U(2)`$ gauge iso-orientation, which remains arbitrary, though possibly correlated, for each of the two $`U(2)`$ ADHM one-instanton solutions in the dilute instanton gas limit. In this way, both of the constituent $`U(2)`$ ADHM one-instantons obtained in the dilute instanton gas limit of the $`U(2)`$ ADHM two-instanton solution in  each possess their own $`U(2)`$ gauge iso-orientations and the correct number of real parameters for general $`U(2)`$ ADHM one-instantons.

The author of  also considers the ’t Hooft limit for the $`U(2)`$ ADHM two-instanton solution presented in , in which the constituent $`U(2)`$ ADHM one-instantons possess the same gauge iso-orientation. It is not clear how one can take the ’t Hooft limit for the $`U(2)`$ ADHM two-instanton solution presented in . This is because the physical interpretation of the parameters within the solution is not sufficiently complete to enable one to specify that the two constituent one-instantons in the solution possess the same gauge iso-orientation. However, we believe that this does not indicate that the $`U(N)`$ ADHM two-instanton solution given in  is incorrect. The complexity of the $`U(N)`$ ADHM two-instanton solution given in  does not yet permit a completely transparent identification of the gauge iso-orientation parameters within in it, though, as explained in , they are contained within the ADHM submatrices $`u_1`$ and $`u_2`$ used in the $`U(N)`$ ADHM two-instanton solution presented in . The general formalism for $`U(N)`$ ADHM multi-instantons developed in  is expected to permit such an identification in future. We therefore cannot yet comment on the ’t Hooft limit of the $`U(2)`$ ADHM two-instanton solution presented in . Currently, there is no evidence that the ’t Hooft limit does not exist for the $`U(2)`$ ADHM two-instanton solution presented in .

We maintain that the $`U(N)`$ ADHM two-instanton solution given in  is correct. Any discrepancies for the case $`N=2`$, as claimed by the author of , are due to the choice made in  for the fixing of the $`U(2)`$ auxiliary symmetry, which is required to render the solution physical. Since these choices are arbitrary and not unique, we presume that other global $`U(2)`$ gauge transformations may be performed so that any such discrepancies can be removed. However, finding such transformations in order to do this is a difficult task, which we intend to address elsewhere.

Acknowledgements

We wish to acknowledge helpful discussions with Prof. D. R. T. Jones and Dr. I. Jack.


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# Noise power spectrum estimation and fast map making for CMB experiments

## 1 Introduction

Measuring the Cosmic Microwave Background anisotropies angular power spectrum has proved to be a powerful cosmological tool giving direct information on both the cosmological parameters and the primordial Universe through the origin of the initial perturbations.

The usual method used nowadays for measuring the CMB temperature fluctuations is to scan the sky with a detector (with a bolometer for instance) that measures the temperature variations in a given beam. This provides time data streams along with pointing directions that are subsequently compressed into a sky map. In the general case, the noise in the time streams is not white (due to atmospheric contamination, spurious noises, electronic and detector temperature fluctuations). The sky is also in general not regularly scanned so that at the end, the noise in the maps is neither homogeneous nor white.

This causes difficulties when trying to extract the signal power spectrum from the maps as it has to be separated from the noise. Fully optimal methods finding the maximum likelihood solution for both the map and the CMB power spectrum have been proposed such as MADCAP (Borrill 1999 ) but they require the inversion of large covariance matrices on parrallel supercomputers and are hard to implement for the present generation of experiments that cover a large portion of the sky and have a large number of pixels (WMAP, Archeops and Planck in the near future). Alternative methods that replace the full inversion by a Monte-Carlo simulation of the noise angular power spectrum have been proposed (Hivon et al. 2001 ; Szapudi et al. 2001 ). The results obtained with such methods are satisfactory and they are little time consuming compared to the maximum likelihood methods. The analysis process is done in the following way in these Monte-Carlo methods :

1. noise power spectrum estimation in the data: it is very important not to be contaminated by signal at this stage. This is particularly difficult when dealing with large portions of the sky where galactic dust and clouds can be found. We propose in section 2 a method that provides an unbiased estimate of the noise Fourier power spectrum by correcting an initial guess via Monte-Carlo simulations.
2. Fast map making: can be a simple coaddition of filtered timelines or a optimal iterative mapmaking that converges to the maximum likelihood solution for instance with a conjugate gradient method. This map making has to be very fast as it is repeated for each Monte-Carlo realisation. We propose in section 3 a method for making simply coadded maps of filtered data avoiding the ringing due to the effect of the filtering on bright sources such as the Galactic plane.
3. $`C_{\mathrm{}}`$ estimation on the map: This is done very easily with the Healpix package (Gorski et al. 1998 ). The angular power spectrum obtained here is called pseudo-$`C_{\mathrm{}}`$ as it differs from the true signal $`C_{\mathrm{}}`$ due to various effects: presence of noise, beam and time domain filtering effects on the signal, incomplete sky coverage that degrades the resolution in harmonic space. All these effects can be accounted for and corrected with the MASTER (Hivon et al. 2001 ) or SpICE (Szapudi et al. 2001 ) algorithms.

In this article we propose methods for solving points 1 (in section 2) and 2 (in section 3). These methods have been sucessfully used for the Archeops data analysis (Benoît et al. 2003a ; Benoît et al. 2003b ). We used the MASTER algorithm for going from pseudo-$`C_{\mathrm{}}`$ to true $`C_{\mathrm{}}`$ and for estimating the error bars.

## 2 Noise spectrum estimation

We present in this section the method we developped for determining the noise Fourier power spectrum of a time data stream composed from CMB fluctuations, Galactic dust and coloured gaussian and stationary noise. The data is denoted as an $`N`$ elements vector $`d`$ ($`N`$ is the number of time samples) and is composed of noise $`n`$ and sky signal $`s`$:

$$d=s+n$$
(1)
The noise power spectrum is given by $`P(\nu )=\stackrel{~}{n}^{}\stackrel{~}{n}`$ where $`\stackrel{~}{}`$ is the Fourier transform and $``$ the ensemble average over many realisations. The point here is to avoid contamination from signal (CMB and in a larger part Galactic dust) that would tend to overestimate the estimated noise power spectrum and therefore $`\stackrel{~}{N}_{\mathrm{}}`$ leading to a biased $`C_{\mathrm{}}`$ spectrum at the end.

### 2.1 Raw estimation of the noise spectrum

The first raw estimation of the noise power can come from the data itself (that is $`nd`$) as we are dealing with low signal to noise experiments (at least in the time domain as the noise is reduced by redundancy in the map). This is a correct approximation only in the case where the observed region of the sky is free from any bright source. In most recent experiments such as WMAP and Archeops (as well as in Planck) the instrument covers a large portion of the sky by making large circles that cross the Galactic plane twice per rotation. There is therefore a very bright source in all the portions of the time streams that prevent us from using the naive approximation $`nd`$.

A simple method to get rid of the signal contribution in the noise power spectrum estimation is to project the data onto a map of the sky portion observed. We apply a prior highpass to the data to select the frequancies we are interested in and to get a realistic map. In such a map, the noise level is reduced but the signal is almost unchanged. Reading back this map with the scanning strategy leads to a timeline where the signal to noise is greatly improved. This latter timeline can then be subtracted to the initial giving a noise estimate that is, in principle, free from signal contamination. In the matrix notation that has become common in CMB analysis this corresponds to the following operation:

$$n_{raw}=dA\left(A^TA\right)^1A^Td$$
(2)
where $`A`$ is the pointing matrix. The noise spectrum estimation is then just obtained from the Fourier transform of $`n_{raw}`$.

### 2.2 Biasing effects

If one rewrites equation (2) using the definition (1), one gets:

$`\begin{array}{ccccccc}n_{raw}& =& n& & \underset{}{A\left(A^TA\right)^1A^Tn}& +& \underset{}{\left(sA\left(A^TA\right)^1A^Ts\right)}\\ & =& n& & r_n& +& r_s\end{array}`$ (5)
where $`r_n`$ and $`r_s`$ can be interpreted in the following way:

residual noise ($`r_n`$): The number of time samples per pixel is finite (in Archeops and for a resolution of 15 arcminutes we have in average 25 samples per pixel with a very asymetric distribution) and therefore there remains some noise in the projected map. This noise in the map, once re–read with the scanning stategy is strongly correlated to the initial noise in the timeline. We therefore slightly underestimate the noise spectrum. Finally $`r_n`$ increases if the pixel size is reduced. This residual noise is also discussed in Stompor et al. 2002 .

residual signal ($`r_s`$): Because of the pixellisation of the projected map, the high temporal frequencies of the signal (mainly dust a low galactic latitude or point sources) are badly subtracted from the initial time stream. This leads to an overestimation of the noise power spectrum. Finally $`r_s`$ decreases if the pixel size is reduced as it only originates from the large size of the pixels compared to the frequencies present in the data.

When computing the noise estimate power spectrum, one gets:

$`P_{raw}(\nu )`$ $`=`$ $`\left(\stackrel{~}{n}\stackrel{~}{r}_n+\stackrel{~}{r}_s\right)^{}\left(\stackrel{~}{n}\stackrel{~}{r}_n+\stackrel{~}{r}_s\right)`$ (6)
$`=`$ $`\left(\stackrel{~}{n}\stackrel{~}{r}_n\right)^{}\left(\stackrel{~}{n}\stackrel{~}{r}_n\right)+\stackrel{~}{r}_s^{}\stackrel{~}{r}_s`$ (7)
because noise and signal are supposed uncorrelated. The first term can be rewritten as $`\left(1ϵ(\nu )\right)P(\nu )`$. Simulations show that $`ϵ(\nu )`$ does not depend significantly on the noise power spectrum in the frequency range considered here ($`\nu 0.3`$Hz), but essentially on the scanning strategy. The second term is additive and depends on the signal contained in the map and can be defined as $`ϵ_s(\nu )`$. One can therefore rewrite equation (7) as:

$$P_{raw}(\nu )=\left(1ϵ(\nu )\right)P(\nu )+ϵ_s(\nu )$$
(8)
In the case of the Archeops experiment these two effects are not negligible at the resolutions we are interested in. As they cannot be reduced simultaneously by increasing or decreasing the pixel size, both have to be accounted for in order to correctly estimate the noise power spectrum. In the following, we have chosen to use relatively small pixel size (15 arcminutes) in order to reduce the contribution of $`ϵ_s`$ to the bias as its determination, as will be seen later, relies on calibration ans is model-dependent.

If one can determine the shape of both $`ϵ(\nu )`$ and $`ϵ_s(\nu )`$, then debiasing the noise power is straighforward by inverting equation (8).

### 2.3 Estimating the noise effect

The simplest way to estimate $`ϵ(\nu )`$ is to make noise only Monte-Carlo realizations of the data streams with spectrum $`P_{raw}`$ (this assumes that $`P_{raw}(\nu )`$ is close enough to $`P`$ so that $`ϵ`$ is computed with enough accuracy altough the algorithm could be iterated) and perform the operation of equation (2) on each realisation. The average power spectrum of all realizations is biased by $`1ϵ(\nu )`$ that can be calculated by taking the ratio of the input power spectrum to the output. The result obtained is shown in Fig. 2. Large oscillations can be seen at lower frequencies with peaks at harmonics of the spinning frquency. This is not surprising as we expect the noise to project onto the sky at these frequencies. It is therefore at these particular frequencies that the noise bias is the largest, leading to large values of $`ϵ(\nu )`$. The noise bias transformed into harmonic power spectrum using the Archeops pointing strategy is shown in Fig. 2 showing that this effect should not be neglected as it amounts to a significant fraction of the error bars (shown in black in Fig. 6).

### 2.4 Estimating the signal effect

The signal bias estimation does not require averaging over realizations as it depends only on the sky signal, dominated by Galactic dust. The estimation is simply done by adding realistic Galactic dust signal on a noise only timeline (with spectrum $`P_{raw}(\nu )`$). The realistic simulated Galactic dust signal is obtained from Schlegel et al. 1998  dust maps filtered with the corresponding time constants, beam and electronic filter. The noise+signal timeline is then deglitched and filtered the same way as for the real data. We then remove the initial noise before applying the operation of equation (2). The galactic bias $`ϵ_s(\nu )`$ is the Fourier power spectrum of the residual signal. The signal bias $`ϵ_s(\nu )`$ is shown in Fig. 4 in Fourier space and in Fig. 4. Again, the power spectrum bias amounts to a significant fraction of the error bars, showing that the signal bias should not be neglected. The level of galactic bias highly depends on the level of Galactic signal in the data and therefore the calibration. The biggest uncertainty in the estimation of $`ϵ_s(\nu )`$ therefore arises from the uncertainty in the calibration typically around 10$`\%`$ (in temperature). It is finally relatively small compared to the signal as it only applies to the signal residual that is already a few percent of the whole signal.

### 2.5 Accuracy on the reconstructed noise spectrum

After debiasing of both effects, we obtain a noise spectrum that should, in principle reflect the initial noise spectrum very accurately. In order to estimate this effect, we performed 60 simulations of the debiasing procedure based on the same inital noise spectrum (a realistic Archeops noise spectrum). The result is shown in Fig. 5. The noise reconstruction is better than two percents at all frequencies which is sufficient for accurate noise spectrum subtraction with MASTER in the case studied here.

## 3 Making maps with filtered data : filtering without ringing

Making coadded maps using heavily filtered data (in the Archeops case only frequencies between 0.3 and 45 Hz are kept) is a simple and accurate alternative to optimal mapmaking when the knee frequency of the noise is low enough to prevent the filtering from removing too much signal in the low frequency part. Even when this is the case, one has to make sure that the filtering (obtained by setting low Fourier modes to zero) has the expected effect and does not pollute the data.

Spurious effects from filtering do arise if there is strong signal in the data. A good example of such a strong signal is the Galactic plane crossings that occur twice per rotation with Archeops. As the galactic peak is essentially non stationary the filtering creates ringing signal around the galactic plane in the maps. The structures created are not only located just around the galactic plane (where they are the strongest) but all over the map at a level comparable to the CMB anisotropies that are searched for. We therefore need a trick to remove these ringing effects, that is, filtering without ringing.

The usual trick used to reduce ringing effects on filtered data is not to use too sharp filters. We used a filter with a sine shape going from 0 to 1 in 0.06 Hz. We obtained this way good reduction of the ringing effect but we wanted to improve further the mapmaking.

As the ringing arises from the presence of the Galaxy crossing in the data, removing the Galactic signal should reduce drastically the effect. A first step is to remove simulated galactic signal from Schlegel et al. 1998  but the agreement between the simulated maps and the true Galactic signal is not perfect and there remains high peaks in the data. This method also introduces external data into the experimental data, a procedure which has to be avoided if possible. We therefore decided to remove an estimate of the Galactic signal done with the experimental data itself. This is done in the following way:

* We first fit the data with a set of low frequency functions (sinc functions multiplied by a gaussian (Bourrachot et al., in prep. )) not taking into account data located in bright regions of the Galaxy (using a mask made from Schlegel et al. 1998  galactic dust maps). The low frequency template obtained is then free from Galactic contamination.
* We then remove this low frequency template from the initial data and obtain a timeline containing mostly high frequency noise and Galactic signal and no low frequency stripes.
* This timeline is then simply coadded to obtain a map. We then set to zero the pixels out of the Galactic mask used before so that the map contains Galactic signal in the region known to be contaminated and zero elsewhere (in particular, in the region where the CMB analysis is to be performed).
* This map is read with the scanning strategy and the resulting timeline is subtracted from the initial data. The resulting timeline is stricly identical to the initial one in the CMB region and differs in the Galactic region just by the estimate of the Galactic signal.
* This last timeline is then filtered using a sine shape filter between 0.3 and 45 Hz and coadded to make the map that will be used for the CMB analysis.

This method allows a very efficient removal of the galactic signal in the contaminated region without changing anything in the clean region where one wants to perform the CMB analysis. The efficiency of the ringing effect removal is shown in Fig. 6. The ringing coming from the Galactic signal is efficiently reduced to a level much smaller than the CMB anisotropies and the error bars on the power spectrum estimation.

## 4 Conclusions

We have developped a method that allows an accurate estimate of the noise power spectrum for CMB experiments accounting for small but significant effects such as the noise reprojection and the pixellisation. This method relies on Monte-Carlo simulations and does not require specific platforms to be implemented. It is designed to serve as an input to CMB power spectrum estimation that generally Requires a precise estimate of the noise properties. This method has been succesfully applied in the frame of the Archeops data analysis (Benoît et al. 2003a ; Benoît et al. 2003b ) but can be extended to any non interferometric experiment.

###### Acknowledgements.

The authors are grateful to the whole Archeops collaboration for uncountable stimulating discussions which have made this work possible. We wish to thank in particular M. Douspis, J.-F. Macías-Pérez and F.-X. Désert for their contributions.


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# On Simple Mean-Field Stochastic Model of Market Dynamics

## 1 Introduction

Volatility and crashes of stock markets in recent years have become a source of inspiration for numerous researchers (see, e.g.  and references therein). Although the number of publications on this topic at least doubles each year, we probably can see only the tip of the iceberg. The major part of research takes place in secrecy - in private funds, banks, and investment companies; their results are strictly confidential and probably will never be published. Nevertheless, available data in open sources are also plentiful in empirical approaches , simulations of markets based on economical models , and analytical models \[5-8\].

The aim of this article is to construct a consistent approach, which can adequately describe market behavior. Because many models of the markets work well only until the market crashes, the necessary feature of a good model is to provide a possibility to explain these abnormal market phases. So, an adequate model must imitate normal market behavior as well as market peculiarities - turmoil.

The key point in understanding market behavior is probably that a log-periodicity, fat tails, cluster volatility, and other peculiarities of markets are quite similar  to those in the theory of critical phenomena and self-organization. Consequently, the basic feature of a market is that it is primarily a multi-body system. The complexity of investors and intricacy of their strategies are likely secondary factors - they do not affect the market as a whole. So, to describe market behavior we should study the multi-agent system rather than examine the decision making of an individual investor.

The idea is to start from a rather general analytical model and then add complexity and make assumptions gradually. Because we consider that the applicability of mean field approach has not been drained yet, therefore we use this method.

## 2 Model

In the free market the price of an asset $`p(t)`$ is determined by the balance between supply and demand. Specifically, the return ($`dp/p`$) is proportional to a net order size - the difference between the number of demand orders ($`d`$) and supply orders ($`s`$) (see, for example .) Or,

$$\frac{dp}{p}=K(ds)dt$$
(1)
here $`K`$ is the elasticity of the market, which is inversely proportional to the market size (the larger the market, the smaller is the impact of the particular imbalance.)

We consider the market consisting of N participants or agents. The state of the agent $`i`$ is represented by $`\varphi _i=\{1,0,1\}`$. Here $`\varphi _i=0`$ corresponds to an inactive state (the agent does not participate in the market or waits), ”-1” and ”1” correspond to selling and buying states, respectively.

To calculate the net order size $`\mathrm{\Phi }`$ we must sum $`\varphi _i`$ over all of the agents. Even though we do not know anything about the decision-making process of each agent, their huge number simplifies this problem - we can use the Central Limit Theorem. Thus, we can expect that the net order sizeat a given time $`\mathrm{\Phi }`$ is a stochastic value that is distributed normally around its mean (unfortunately, this mean as well as the deviation can change (drift) during time.) At this stage, the equation of market dynamics has a traditional form of a geometric Brownian motion, which was analyzed by Black and Scholes :

$$\frac{dp}{p}=K(\mu dt+\sigma dW)$$
(2)
where $`K\mu `$ is the expected return per unit time, $`\sigma ^2`$ is the variance per unit time (volatility), and W is a Wiener process (if we assume independent increments). However, this model does not describe all the peculiarities of the markets. To obtain a more realistic model we must make some additional assumptions about the market. In order to keep the model in a rather general form we make only one reasonable assumption (see, for example ), stating that the decision about participation in the market can be induced by market data (trend-followers or chartists) or external news (fundamentalists). This assumption allows us to decompose the expression for $`\mathrm{\Sigma }\varphi _i`$ into two independent parts ($`\mathrm{\Phi }_{TF}`$ and $`\mathrm{\Phi }_F`$):

$$\mathrm{\Sigma }\varphi _i=\mathrm{\Phi }_{TF}+SNews$$
(3)
where $`\mathrm{\Phi }_{TF}`$ \- some stochastic function which depends on price history, $`News`$ \- is the flow of news related to this asset, $`S`$ \- is the sensitivity of agents to the news.

Because both parts of Eq.3 are the sum of a large number of values $`\{1,1\}`$, we can make some predictions about $`\mathrm{\Phi }_{TF}`$ and $`S`$ \- they are classical random walk processes. Thus, both terms on the right side of Eq.3 are stochastic values normally distributed with some means and variances; we can model $`\mathrm{\Phi }_{TF}`$ and $`S`$ by stochastic processes. It reflects the fact that the market environment changes permanently - agents with different strategies go in and out of the market. The only question is about the pace of these changes and what the characteristic time of these stochastic processes is (this is a question we will consider a little later.)

As a result, we have the equation for market dynamics:

$$\frac{dp}{p}=K(\mu dt+d\xi _{TF}+(\delta dt+d\xi _F)d\xi _N)$$
(4)
where $`\mu `$ and $`\delta `$ are market ”bias”; $`\xi _{TF}`$ , $`\xi _F`$ , and $`\xi _N`$ are stochastic processes which describe trend-followers, fundamentalists, and news, respectively. We introduce here $`\mu `$ and $`\delta `$ in order to shift the stochastic processes to Gaussian ones with means which are equal to zero.

## 3 Results and Discussion

The derived equation describes the market dynamics in a quite general form. However, we must pay for this generality - to mimic market behavior in this approach we use three different stochastic processes instead of one in traditional models.

Fortunately, the situation is not too pessimistic and to explore the model we can simplify this equation in some important cases. As we mentioned, the first term (conditioned by trend-followers) and the sensitivity to the news (conditioned by fundamentalists) are stochastic processes. However, the typical scale of these processes is conditioned by large changes in market participation. So, this time scale $`(t_m)`$ differs from the time scale of news $`(t_n)`$. Using this observation, we can simplify the equation in two major situations: $`t_mt_n`$ (very slow news and rapid investors) and $`t_mt_n`$ (very rapid news and slow investors).

After averaging the right part of Eq.4, we can explore the market in two cases: $`t>t_n`$ and $`t>t_m`$. These results are depicted in Tab.1 and Tab.2. Here we use the following notation: $`A`$, $`B`$, and $`C`$ are some market constants at a particular time. We also substituted the stochastic processes $`\xi _{TF}`$, $`\xi _F`$, and $`\xi _N`$ with $`\sigma _{TF}\xi _1`$ , $`\sigma _F\xi _2`$, and $`\sigma _N\xi _3`$, respectively, where $`\xi _1`$, $`\xi _2`$, and $`\xi _3`$ are stochastic processes with the standard deviation equals to 1.

It is easy to see that in the case $`t_mt_n`$ (which probably is typical for real markets) the short scale and large scale dynamics are determined by the different stochastic processes. The market is news-driven on the short scale and trend follower-driven on the large scale.

In the opposite case ($`t_mt_n`$), the market is news-driven on the short scale and participant-driven on the large scale.

Another interesting situation is the market dominance of trend-followers or fundamentalists. In the former case, market dynamics is conditioned primarily by the first two terms in Eq.4. As a result, we have the directed dynamics (if $`\mu 0`$) with a time scale conditioned by market participation ($`t_m`$).

In the fundamentalists’ market case, dynamics is determined by two concurrent stochastic processes - market participation ($`t_m`$) and news flow ($`t_n`$). It results primarily in a side trend (if the news flow is ”unbiased”).

To investigate the statistical properties of the model we should specify the stochastic processes. Not taking into account the turbulent situations, where the high correlations between market agents are possible (herd behavior, ), we can expect that market participants’ changes and news have independent increments. So, we can imitate all three stochastic processes by Wiener ones.

Because the model has two different time scales ($`t_m`$ and $`t_n`$), it is important to explore it with different $`t_m`$ and $`t_n`$. In Fig.1 a-d we can see the typical evolution of the system with different characteristic times $`t_n`$ and $`t_m`$. It is easy to see the variety of patterns generated by this model: clustered volatility, multiscaling, etc.

To test the data generated by the model, we use standard methods: skewness, kurtosis, Hurst exponent, analysis of drawdown. The results show that the model generates outliers, fat tails, and other peculiarities of real markets.

In particular, Fig.2 depicts the dependence of the skewness and the kurtosis of returns distribution vs. the variance of ”participant noise”. While the kurtosis is close to zero if the noise is negligible, the high values of kurtosis (and outliers, respectively) can be observed with the increase of the noise.

## 4 Conclusions

Thus, we can conclude that the model developed in this article exhibits the following features:

Different time scales \- the model like real markets behaves differently on the short and large time scales. Consequently, different stochastic processes can lead to fat tails on the short scales (intraday trades) and crossover to Gaussian-distributed returns on larger scales (weeks). The presence of a few different time scales can also explain other interesting phenomena of the real markets: clustered volatility and multiscale behavior.

Return distributions demonstrate leptocurtic behavior \- all analyzed time series with the market participation parameter $`\sigma 0`$ have kurtosis bigger than 0 - they demonstrate typical for real markets ”high peaks” and ”fat tails”.

Trend-follower vs. fundamentalist behavior \- if a trend-followers’ market is primarily a directed market, a fundamentalists’ market demonstrates mainly the lateral trend.

Stabilization of a market with the growth of a number of market participants \- such as the elasticity of the market ($`K`$) is inversely proportional to the number of market participants ($`1/N`$) and the net order size is a random walk process (which lead to the $`N^{1/2}`$ behavior), the amplitude of returns (volatility) is proportional to $`N^{1/2}`$. It reflects the obvious property of markets - the increase of the number of participants stabilizes and smoothes the market (if other factors are constant).

In summary, we have derived the stochastic equation of market dynamics. A brief look at its analytical sequences and computational results shows the variety of possible patterns, crossovers, and characteristic features which are typical for real markets. The equation has a rather general form and for its practical use one should make some additional assumptions. However, it is beyond the scope of this work and will be considered in following articles.


text:
# 1 Introduction

## 1 Introduction

Recently SELEX, the charm hadroproduction experiment at Fermilab, has reported a narrow state at $`3519\pm 1\pm 5\mathrm{MeV}`$. This state decays into $`\mathrm{\Lambda }_c^+K^{}\pi ^+`$, consistent with the weak decay of the doubly charmed baryon $`\mathrm{\Xi }_{cc}^+`$ . This is the first observation of a baryon containing two charm quarks. BaBar and Belle at the SLAC and KEK $`b`$-factories may also provide further evidence of doubly charmed baryons.

Double charmed baryons combine the opposites of the slow relative motion of two heavy quarks with the fast motion of a light quark. They provide scope for testing ideas developed for single charm physics, such as the predicted hierarchies in lifetimes and semi-leptonic branching ratios and give us more room to explore predictions of exotic tetra- and penta-quark states (see the review by Richard  for further details). Unresolved issues regarding the recent SELEX observation itself include the fact that the observed lifetime of less than $`30\mathrm{fs}`$ is much less than predicted by quark models  and that the observed isospin splitting $`m(ccd)m(ccu)`$ is rather large, about 60 times that for nucleons. The latter is, perhaps, the cause for publication of only one of the three states (the others being around $`3460`$ and $`3780\mathrm{MeV}`$) observed in the first instance (see e.g. ). Therefore it is important to study these baryons further.

The first prediction for the masses of these double-charmed baryons comes from the early work of De Rujula et al. , with later calculations from quark models and QCD sum rules .

Lattice QCD provides a method of calculating the masses of these baryons from first principles in a model-independent and non-perturbative manner. It is interesting to compare the results from different lattice calculational techniques. Previous lattice calculations have used the D234 action  and NRQCD . NRQCD is less suitable for charm quarks than for beauty quarks, and furthermore charm quark masses are very accessible to lattice simulation without using an effective theory. In this calculation we use a non-perturbatively $`𝒪(a)`$-improved clover action . Thus our results have discretisation errors $`𝒪(m_q^2a^2)`$, with $`m_c^2a^2`$ about $`25\%`$ in our simulation. Interestingly, although our double-charm baryons have masses larger than one in lattice units, the physical mass looks consistent for the one state for which an experimental number is available.

We also study spin-splittings for charmed baryons and mesons, where the leading charm quark mass dependence cancels. Recent calculations using the $`𝒪(a)`$ non-perturbatively improved clover action find vector-pseudoscalar meson splittings in better agreement  with experiment than earlier calculations using less-improved clover actions . We confirm this here. For the single-charmed baryons, calculations with a tree-level clover action had difficulty reproducing the experimental splittings , while simulations using the D234  or NRQCD  actions were compatible with experiment. We too find compatibility. For the doubly-charmed baryons, experimental data are not yet available. However, our results are compatible with those from the D234 and NRQCD actions. Since the hyperfine splitting is sensitive to the chromomagnetic moment term in the improved clover fermion action, we believe this shows the importance of using the non-perturbative value for its coefficient ($`c_{\mathrm{SW}}`$). A similar observation was made concerning the coupling with the chromomagnetic field in the NRQCD action  ($`c_4`$ in eq. (A5) in ).

Our final results for the double-charm masses and splittings are

$$\begin{array}{cccccc}\hfill \mathrm{\Xi }_{cc}& =& 3549(13)(19)(92)\mathrm{MeV}\hfill & \hfill \mathrm{\Omega }_{cc}& =& 3663(11)(17)(95)\mathrm{MeV}\hfill \\ \hfill \mathrm{\Xi }_{cc}^{}& =& 3641(18)(8)(95)\mathrm{MeV}\hfill & \hfill \mathrm{\Omega }_{cc}^{}& =& 3734(14)(8)(97)\mathrm{MeV}\hfill \\ \hfill \mathrm{\Xi }_{cc}^{}\mathrm{\Xi }_{cc}& =& 87(13)(13)(2)\mathrm{MeV}\hfill & \hfill \mathrm{\Omega }_{cc}^{}\mathrm{\Omega }_{cc}& =& 67(9)(13)(2)\mathrm{MeV}\hfill \end{array}$$
(1)
The splittings are determined by fitting ratios of correlators, which gives smaller errors compared to taking a difference of separately-fitted masses. Results for charmed meson splittings and single-charm baryon masses and splittings are in the body of the paper.

In this paper the theoretical input and computational details of the simulation are given in Sections 2 and 3, whereas the results are presented and analysed in Section 4. There is a brief conclusion in Section 5.

## 2 Baryon states and interpolating operators

The double and single charmed baryons expected in QCD are summarised in tab. 1.

On the lattice, the masses of these hadrons can be calculated in the usual way from the large time behaviour of two point correlation functions

$$C(t)=\underset{𝐱}{}0|J(𝐱,t)\overline{J}(0)|0$$
(2)
where the $`J`$’s are interpolating operators with quantum numbers to create or annihilate the state of interest. The choice of operators is not unique.

For the spin-$`1/2`$ doubly-heavy baryon states, a simple operator is

$$J_\gamma =ϵ_{abc}h_\gamma ^a\left(h_{}^{b}{}_{}{}^{T}\gamma _5𝒞l^c\right),s_{hh}=1$$
(3)
where $`a,b,c`$ are colour indices, $`𝒞`$ is the charge conjugation matrix and the $`h`$ and $`l`$ fields stand for generic heavy and light quarks.

In $`S`$-wave baryons with two identical quarks (heavy quarks in our case), the two quarks cannot couple to spin zero and the only possibility is $`s_{hh}=1`$ (symmetric in both spin and flavour). The component $`s_{hh}=0`$ as well as the operator $`ϵ_{abc}l_\gamma ^a(h_{}^{b}{}_{}{}^{T}\gamma _5𝒞h^c)`$ vanish. The coupling of the light-quark spin to $`s_{hh}=1`$, however, can also generate the spin $`3/2`$ states, $`\mathrm{\Xi }_{hh}^{}`$ and $`\mathrm{\Omega }_{hh}^{}`$ in tab. 1.

An interpolating operator for the spin-$`3/2`$ states can be obtained by replacing $`\gamma _5`$ with $`\gamma ^\mu `$ in eq. (3).

$$J_\gamma ^\mu =ϵ_{abc}h_\gamma ^a\left(h_{}^{b}{}_{}{}^{T}\gamma ^\mu 𝒞l^c\right),s_{hh}=1.$$
(4)
This operator also couples to spin-$`1/2`$ and projections are needed to obtain the desired state. The spin-$`1/2`$ masses from $`J_\gamma ^\mu `$ and $`J_\gamma `$ are equal since there is only one spin $`1/2`$ baryon in the situation where two quarks are identical. We have directly verified this property in our simulation.

Another operator, used for spin-$`3/2`$ double heavy baryons  is

$$\stackrel{~}{J}_\gamma ^\mu =ϵ_{abc}l_\gamma ^c(h_{}^{b}{}_{}{}^{T}\gamma ^\mu 𝒞h^a).$$
(5)
We have also tried this operator and we see no reason to prefer one over the other. Indeed, both give a good overlap for the ground state and the masses extracted turn out to be equal as expected.

For the operators $`J_\gamma `$ and $`J_\gamma ^\mu `$ (or $`\stackrel{~}{J}_\gamma ^\mu `$) the $`2`$-point functions in eq. (2) have the following large-time behaviour

$`C(t)_{\gamma \overline{\gamma }}`$ $`=`$ $`{\displaystyle \underset{𝐱}{}}0|J_\gamma (𝐱,t)\overline{J}_{\overline{\gamma }}(0)|0`$
$`\stackrel{t0}{}`$ $`Z_{1/2}\left(P_+\right)_{\gamma \overline{\gamma }}e^{m_{1/2}t}+Z_{1/2}^P\left(P_{}\right)_{\gamma \overline{\gamma }}e^{m_{1/2}^Pt}.`$
$`C_2(t)_{\gamma \overline{\gamma }}^{ij}`$ $`=`$ $`{\displaystyle \underset{𝐱}{}}0|J_\gamma ^i(𝐱,t)\overline{J}_{\overline{\gamma }}^j(0)|0`$
$`\stackrel{t0}{}`$ $`Z_{3/2}\left(P_+P_{3/2}^{ij}\right)_{\gamma \overline{\gamma }}e^{m_{3/2}t}+Z_{1/2}\left(P_+P_{1/2}^{ij}\right)_{\gamma \overline{\gamma }}e^{m_{1/2}t}`$
$`+Z_{3/2}^P\left(P_{}P_{3/2}^{ij}\right)_{\gamma \overline{\gamma }}e^{m_{3/2}^Pt}+Z_{1/2}^P\left(P_{}P_{1/2}^{ij}\right)_{\gamma \overline{\gamma }}e^{m_{1/2}^Pt}`$
where the projection operators are defined by

$$\begin{array}{cc}P_{}=\frac{1+\gamma _0}{2},\hfill & P_+=\frac{1\gamma _0}{2},\hfill \\ P_{3/2}^{ij}=g^{ij}\frac{1}{3}\gamma ^i\gamma ^j,\hfill & P_{1/2}^{ij}=\frac{1}{3}\gamma ^i\gamma ^j.\hfill \end{array}$$
(8)
Contributions of negative parity states are removed by projection with $`P_+`$. The negative parity states can, in principle, be detected by using the projector $`P_{}`$, but in our simulation they are much noisier.

We show an example of the signals from the operators $`J_\gamma `$, $`J_\gamma ^\mu `$ and $`\stackrel{~}{J}_\gamma ^\mu `$ in fig. 1. As stressed above, spin-$`1/2`$ masses extracted using the three operators are equal, while the choice between $`J_\gamma ^\mu `$ and $`\stackrel{~}{J}_\gamma ^\mu `$ makes no difference for the spin-$`3/2`$ mass.

For a baryon containing a single heavy quark, a common choice of operators is

$`𝒪_\gamma `$ $`=`$ $`ϵ_{abc}h_\gamma ^a\left(l_{1}^{b}{}_{}{}^{T}\gamma _5𝒞l_2^c\right),s_{ll}=0,`$ (9)
$`𝒪_\gamma ^\mu `$ $`=`$ $`ϵ_{abc}h_\gamma ^a\left(l_{1}^{b}{}_{}{}^{T}\gamma ^\mu 𝒞l_2^c\right),s_{ll}=1,`$ (10)
for the states $`s_{ll}=0`$ and $`s_{ll}=1`$ in tab. 1, respectively. In our simulation, the light quarks $`l_1,l_2`$ carry different flavours but the same masses.

It should be noted that for baryons three different quarks, i.e., $`hl_1l_2`$ (or $`lh_1h_2`$), these two operators correspond to different physical spin-$`1/2`$ states with $`s_{ll}=0`$ and $`1`$ respectively, the latter one often being denoted by a prime. This is evident from the experimental masses of $`\mathrm{\Xi }_c`$ and $`\mathrm{\Xi }_c^{}`$ in tab. 1.

## 3 Details of the Simulation

Our simulation was made using the code FermiQCD  on a PC cluster. In this study $`100`$ quenched gauge configurations were generated at $`\beta =6.2`$ on a volume of $`24^3\times 64`$ with $`1000`$ heatbath steps for the thermalisation followed by $`200`$ heatbath steps to separate each gauge configuration. These numbers were decided upon after an autocorrelation study on the average plaquette values.

Four light quark propagators around the strange quark mass and three heavy quark propagators around the charm were calculated using the following values of the hopping parameters:

* $`\kappa _l=0.1344,\mathrm{\hspace{0.17em}0.1346},\mathrm{\hspace{0.17em}0.1351},\mathrm{\hspace{0.17em}0.1353}`$;
* $`\kappa _h=0.1240,\mathrm{\hspace{0.17em}0.1233},\mathrm{\hspace{0.17em}0.1222}`$.

The propagators were generated by the Bistabilised Conjugate Gradient method  for the non-perturbatively improved clover action .

Since the signal is satisfactory with local interpolating operators, no smearing was required. The statistical errors were estimated by a jacknife procedure, removing $`10`$ configurations at a time from the ensemble.

### 3.1 Lattice spacing and quark masses

To fix the lattice spacing, we used the method of lattice planes . In other words, we perform the following fit to the light vector and pseudoscalar masses in table 2,

$$am_V=C+L(am_P)^2.$$
(11)
This is shown in fig. 2. From the physical values of $`m_K^{}`$ and $`m_K`$, the inverse lattice spacing is found to be

$$a^1=2.6(1)\mathrm{GeV}.$$
(12)
Terms of $`𝒪((am_P)^4)`$ in eq. (11) turn out to be irrelevant and do not affect the above estimate (compare the linear and quadratic fits in fig. 2). For illustration, the values of the pseudoscalar masses in tab. 2 converted to physical units are

$$m_P=\{779,\mathrm{\hspace{0.17em}716},\mathrm{\hspace{0.17em}546},\mathrm{\hspace{0.17em}459}\}\mathrm{MeV}.$$
(13)
These span the kaon mass while the pion is instead quite far away. For this reason, we interpolate for the strange quark and extrapolate for the up/down masses. This is also the reason for using $`K,K^{}`$ to fix the lattice spacing.

For the heavy sector, the $`D_s`$-meson mass is within our range of simulation. This is evident once the heavy-light pseudoscalar masses in tab. 3 are interpolated to the strange mass (through the lattice plane method) and expressed in physical units

$$m_{hs}=\{1.83,\mathrm{\hspace{0.17em}1.89},\mathrm{\hspace{0.17em}1.98}\}\mathrm{GeV}.$$
(14)
### 3.2 Analysis of the baryon masses

Since $`\kappa _{\mathrm{charm}}`$ is rather close to our third $`\kappa _h=0.1222`$111A naive linear fit in $`1/\kappa _h`$ to the masses in eq. (14) gives $`\kappa _{\mathrm{charm}}=0.1224(9)`$., as the first step in our analysis, we interpolate the quantities of interest, viz. the single and double heavy baryon masses, to the charm mass. In practice, this procedure is implemented by doing for each $`\kappa _l`$ the following fits

$$am_{hhl}=C_l+L_lam_{hs},am_{hll}=C_l^{}+L_l^{}am_{hs}.$$
(15)
Quantities at the charm mass, $`m_{ccl}`$ and $`m_{cll}`$ are obtained by putting $`m_{hs}=m_{D_s}`$. This interpolation is shown for the double heavy case in fig. 3.

With the charm mass fixed, the light quark mass dependence is studied using

$$am_{cll}=A+B(am_P)^2,am_{ccl}=A^{}+B^{}(am_P)^2.$$
(16)
This fit is shown for the spin-$`1/2`$ double charm case in fig. 4. The masses of charmed baryons containing strange and/or up/down quarks are obtained by the following substitutions for $`m_P`$ in the above equations:

* $`m_P=m_\pi `$ for $`m_{cud}`$, $`m_{ccu}`$;
* $`m_P=m_K`$ for $`m_{csu}`$;
* $`m_P=m_{\eta _{ss}}`$ for $`m_{css}`$, $`m_{ccs}`$.

where $`m_{\eta _{ss}}^2=2m_K^2m_\pi ^2`$. In the second case, we suppose that $`SU(3)`$ breaking terms are negligible and obtain our estimate from states containing two mass-degenerate light quarks .

## 4 Results and Discussion

Here we recall our final values for the double-charm baryon masses.

$$\begin{array}{cc}\mathrm{\Xi }_{cc}=3549(13)(19)(92)\mathrm{MeV}\hfill & \mathrm{\Omega }_{cc}=3663(11)(17)(95)\mathrm{MeV}\hfill \\ \mathrm{\Xi }_{cc}^{}=3641(18)(8)(95)\mathrm{MeV}\hfill & \mathrm{\Omega }_{cc}^{}=3734(14)(8)(97)\mathrm{MeV}\hfill \end{array}$$
(17)
The first error is statistical. The second error is systematic, estimated by combining in quadrature the effects of the following variations in our analysis:

* changing the time fit-ranges — this contributes up to $`35\%`$ of the quoted error;
* using single or double exponential fits — we saw no change in our lowest state masses;
* linear versus quadratic chiral extrapolations — in the worst case this gives three-quarters of the quoted error;
* interchanging the order of light quark extrapolations and charm quark interpolation — this produces no change in our results.

Only one volume and lattice spacing was studied; investigation of discretization errors, the continuum limit and finite volume effects are not addressed. To account for these (and the effects of quenching), the third quoted error is found by rescaling our masses using the experimental $`\mathrm{\Lambda }_c`$ mass.

The $`\mathrm{\Xi }_{cc}`$ mass is in good agreement with the experimental value

$$(\mathrm{\Xi }_{cc})_{\mathrm{expt}}=3519\pm 1\pm 5\mathrm{MeV}$$
(18)
Other masses are consistent with the lattice estimates using NRQCD  or D234  actions. For recent estimates in quark models or QCD Sum Rules we refer the reader to  and  respectively.

For completeness, our estimates for the single charm baryon masses are given in tab. 4 along with the experimental results. Values turn out to be compatible with previous lattice calculations . It may be noted that in ref. , a perturbative value for the coefficient $`c_{SW}`$ was used in the clover action.

We now turn to the baryon and meson spin-splittings. Our results for these are given in tab. 5. The values are obtained either from the difference in individually fitted masses (labelled “Diff” in the table), or by directly fitting a ratio of correlators (labelled “Ratio” in the table). When using the ratio the noise starts to dominate earlier so we restrict our fit to a shorter time-slice window. For the baryons we find a better signal using the ratio method and the difference between the two approaches becomes more apparent as we move away from our region of simulation to lighter quarks. We use the numbers from the ratio as our best estimates.

For the double-charm baryons we observe a good signal for non-zero splittings. For the single-charm baryons, where experimental data is available, our results are compatible. This distinguishes our results from earlier ones using a less-improved clover action . Our values are also compatible with those found using the D234  or NRQCD  actions. For the mesons too our results are compatible with experiment: this improved agreement is also found in other recent non-perturbatively improved clover simulations .

The predictions are more precise for $`(\mathrm{\Omega }_c^{},\mathrm{\Omega }_c)`$ and the double charm spin doublets $`(\mathrm{\Omega }_{cc}^{},\mathrm{\Omega }_{cc})`$ and $`(\mathrm{\Xi }_{cc}^{},\mathrm{\Xi }_{cc})`$, where less extrapolation is needed, but experimental numbers are still awaited.

## 5 Conclusion

We have presented exploratory quenched lattice results for double charm baryon masses. These have drawn attention after the experimental observation of the first double charm state last year. The calculation is done with non-perturbatively $`𝒪(a)`$-improved Wilson fermions at $`\beta =6.2`$ and on a large lattice. Good signals for the ground states are observed without recourse to smearing. In addition, we have reported the masses of single charm baryons. The calculated masses look quite reasonable. We see a definite signal for non-zero baryon and meson spin splittings. To improve our lattice calculations, a finer lattice spacing is necessary together with an examination of chiral logarithms in the light extrapolations and a simulation with dynamical quarks.

Experimental observations of the remaining double charmed baryon states and, in particular their spin-splittings, would allow the lattice predictions to be checked.

## Acknowledgments

We would like to thank Massimo Di Pierro for his help in using the FermiQCD code. We also thank the Iridis parallel computing team at University of Southampton, in particular, Ivan Wolton, Ian Hardy and Oz Parchment for their computing support. We thank Craig McNeile and Chris Maynard for useful discussions and cross-checks; Damir Becirevic, Andreas Kronfeld, Vittorio Lubicz and Cecilia Tarantino for comments. The work of ASBT is supported by a Commonwealth Scholarship. Work partially supported by the European Community’s Human Potential Programme under HPRN-CT-2000-00145 Hadrons/Lattice QCD.


text:
# References

Recently the KEK to Kamioka long-baseline neutrino oscillation experiment (K2K) has published its result , which confirms the existence of $`\nu _\mu `$ oscillation as seen in the Super-Kamiokande (SK) atmospheric neutrino data . It uses an accelerator-produced $`\nu _\mu `$ beam, which has a peak energy of $`1.2\mathrm{GeV}`$ and a spread of about $`1\mathrm{GeV}`$ on either side – the full width at half maximum being $`1\mathrm{GeV}`$ . The beam passes through a nearby neutrino detector (ND), comprising of a 1 kiloton water Cerenkov (1KT) and a fine-grained detector (FGD) system, and then travels a distance of $`250\mathrm{km}`$ to enter the SK 50 kiloton water Cerenkov detector. The charged- and neutral-current event rates measured in the ND are used to predict the corresponding event rates at the SK detector in terms of the oscillation parameters. They report 56 fully contained (FC) events against the expectation of 80 without oscillation. The observed deficit agrees well with the neutrino mass and mixing angles deduced from the atmospheric neutrino oscillation data

$$\mathrm{sin}^22\theta 1\text{and}\mathrm{\Delta }m^23\times 10^3\mathrm{eV}^2.$$
(1)
We estimate that the QE, 1-pion production and multi-pion events constitute $`35\%,\mathrm{\hspace{0.17em}50}\%`$ and $`15\%`$ at $`E_\nu =1.2\mathrm{GeV}`$. In this region the $`\mathrm{\Delta }(1232)`$ resonance contribution accounts for $`8090\%`$ of the 1-pion events , with the remainder produced from the $`P_{11}(1440),S_{11}(1535)`$ and $`D_{13}(1520)`$ resonances.

In this note we use kinematic considerations to predict the muon energy spectra of the QE and 1-Pion resonance production events which constitute the bulk of the charged-current $`\nu _\mu `$ scattering events in the K2K experiment. These predictions can be checked with the observed muon energy spectra from the ND. We also present the distortion of these muon spectra due to $`\nu _\mu `$ oscillation, which one expects to see at the SK detector. Comparison of the predicted muon spectra with those of the observed QE and 1-Pion events at the SK detector will be very useful in determining the oscillation parameters.

Since the $`\mathrm{\Delta }`$ resonance width of $`120\mathrm{MeV}`$ is very small compared to the spread of the $`\nu `$ beam energy, one can make a narrow resonance approximation for $`\mathrm{\Delta }`$. A common property of QE and narrow resonance production processes is a highly restricted kinematics, i.e.,

$$W^2=M^2Q^2+2ME2ME^{},$$
(2)
where $`W`$ represents the nucleon mass $`M`$ for QE and $`M_R`$ for resonance production. The other variables are as usual the neutrino energy ($`E`$), the muon energy ($`E^{}`$) and the 4-momentum squared ($`Q^2`$) transferred between them. We can approximate the production cross-section for the narrow resonance as

$$\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2\mathrm{d}W^2}=\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2}\delta (W^2M_R^2),$$
(3)
where we have replaced the Breit-Wigner factor by the $`\delta `$-function. Note that this relation holds exactly for QE scattering with $`M_R=M`$. Thus we get from eqs. (2) and (3)

$$\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2\mathrm{d}E^{}}=\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2}\delta (E^{}E+\frac{\mathrm{\Delta }M^2+Q^2}{2M}),$$
(4)
where $`\mathrm{\Delta }M^2=M_R^2M^2`$, which is 0 for QE scattering. Convoluting this cross-section with the neutrino beam spectrum $`f(E)`$ gives the flux averaged cross-section

$$f(E)\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2\mathrm{d}E^{}}\mathrm{d}E=\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2}(E=E_R)f(E=E_R),E_R=E^{}+\frac{\mathrm{\Delta }M^2+Q^2}{2M}.$$
(5)
Moreover to a first approximation one can integrate over $`Q^2`$ to write

$$f(E)\frac{\mathrm{d}\sigma ^R}{\mathrm{d}E^{}}\mathrm{d}E=\sigma ^R(E^{}+\frac{\mathrm{\Delta }M^2+<Q^2>}{2M})f(E^{}+\frac{\mathrm{\Delta }M^2+<Q^2>}{2M}),$$
(6)
where $`<Q^2>0.3\mathrm{GeV}^2`$ for both QE and $`\mathrm{\Delta }`$ production and the neutrino energy $`E=03.5\mathrm{GeV}`$ for the K2K experiment . It assumes the effective range of $`Q^2`$ integration to be small, so that over the corresponding neutrino energy range $`\mathrm{\Delta }E=\mathrm{\Delta }Q^2/2M`$ the $`f(E)`$ and $`\sigma ^R(E)`$ can be approximated by their mean values. Thus we see from eq. (5) or (6) that for both QE and narrow resonance production the shape of the muon spectrum is predicted to follow the shape of the incident neutrino spectrum, with a downward shift of the energy scale by $`\frac{\mathrm{\Delta }M^2+Q^2}{2M}`$. One notes an interesting analogy between this result and the quark parton model, where the structure function in deep inelastic scattering follows the shape of the parton energy distribution within the nucleon.

Of course the shape of the muon spectrum is not exactly identical to the shape of the neutrino spectrum, because it is modulated by the QE (Resonance production) cross-section. The QE ($`\mathrm{\Delta }`$ production) cross-section shows a threshold rise over $`E=01\mathrm{GeV}`$ ($`0.41.4\mathrm{GeV}`$) and becomes flat thereafter. This will be reflected in steepening of the muon spectra at the low energy end, as we shall see below. On the other hand the shape of the muon spectra on the higher energy side of the peak will be practically identical to that of the incident neutrino spectrum for both QE and $`\mathrm{\Delta }`$ production processes. Therefore the relative size of the SK to the ND cross-sections over this region provides a direct measure of the spectral distortion and hence the underlying oscillation parameters.

These are simple but very useful results, particularly since $`\mathrm{\Delta }`$ accounts for about $`8090\%`$ of the 1-Pion production cross-section and the QE plus 1-Pion production together account for $`85\%`$ of the charged-current $`\nu _\mu `$ cross-section at the K2K experiment. It means that one can predict the muon energy spectra of the QE and 1-Pion events in terms of the neutrino energy spectrum from general kinematic considerations without practically any model dependent ansatz. These predictions can be verified with the muon spectra of the QE and 1-Pion events observed by their ND. Even more importantly one can then predict the distortions in the corresponding muon energy spectra at the SK detector, induced by $`\nu _\mu `$ oscillation. Thus the predictions corresponding to eqs. (5) and (6) for the SK detector are

$$f_{\mathrm{SK}}(E)\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2\mathrm{d}E^{}}\mathrm{d}E=\frac{\mathrm{d}\sigma ^R}{\mathrm{d}Q^2}(E_R)f(E_R)[1\mathrm{sin}^22\theta \mathrm{sin}^2(\frac{1.27\mathrm{\Delta }m^2L}{E_R})],$$
(7)
with $`E_R=E^{}+\frac{\mathrm{\Delta }M^2+Q^2}{2M}`$, and

$$f_{\mathrm{SK}}(E)\frac{\mathrm{d}\sigma ^R}{\mathrm{d}E^{}}\mathrm{d}E=\sigma ^R(E_R)f(E_R)[1\mathrm{sin}^22\theta \mathrm{sin}^2(\frac{1.27\mathrm{\Delta }m^2L}{E_R})],$$
(8)
with $`E_R=E^{}+\frac{\mathrm{\Delta }M^2+<Q^2>}{2M}`$. Comparing these predictions with the observed muon energy spectra of the QE and 1-Pion events of the SK detector will test the spectral distortion due to $`\nu _\mu `$ oscillation and determine the oscillation parameters.

Let us first present a simple analytic form of QE and $`\mathrm{\Delta }`$ production cross-sections for the ND and SK detector corresponding to eqs. (6) and (8) respectively. For this purpose we have approximated the neutrino energy spectrum by the Lorentzian

$$f(E)=\frac{1.25}{\pi }\frac{\gamma }{(EE_0)^2+\gamma ^2},E_0=1.2\mathrm{GeV},\gamma =0.6\mathrm{GeV},$$
(9)
which agrees with the shape of the K2K neutrino energy spectrum quite well. The normalization factor of 1.25 ensures that the total flux is normalized to 1 when integrated over the experimental range of $`E=03.5\mathrm{GeV}`$ instead of $`\mathrm{}`$ to $`\mathrm{}`$. Figure 1 shows a comparison of the K2K neutrino energy spectrum with the parametrisation of eq. (9). Substituting this in eqs. (6) and (8) gives

$$f(E)\frac{\mathrm{d}\sigma ^R}{\mathrm{d}E^{}}\mathrm{d}E=\sigma ^R(E^{}+\frac{\mathrm{\Delta }M^2+<Q^2>}{2M})\frac{1.25}{\pi }\frac{\gamma }{(E^{}+\frac{\mathrm{\Delta }M^2+<Q^2>}{2M}E_0)^2+\gamma ^2},$$
(10)
and

$$f_{\mathrm{SK}}(E)\frac{\mathrm{d}\sigma ^R}{\mathrm{d}E^{}}\mathrm{d}E=\sigma ^R(E^{}+\frac{\mathrm{\Delta }M^2+<Q^2>}{2M})\frac{1.25}{\pi }\frac{\gamma \left[1\mathrm{sin}^22\theta \mathrm{sin}^2\left(\frac{1.27\mathrm{\Delta }m^2L}{E^{}+{\scriptscriptstyle \frac{\mathrm{\Delta }M^2+<Q^2>}{2M}}}\right)\right]}{(E^{}+\frac{\mathrm{\Delta }M^2+<Q^2>}{2M}E_0)^2+\gamma ^2}.$$
(11)
Finally we have approximated the QE and $`\mathrm{\Delta }`$ production cross sections by

$`\sigma ^N(E)`$ $`=`$ $`E_N\times 4.5\mathrm{fb},E_N=\mathrm{min}(E,1)\mathrm{GeV},`$ (12)
$`\sigma ^\mathrm{\Delta }(E)`$ $`=`$ $`(E_D0.4\mathrm{GeV})\times 5.5\mathrm{fb},E_D=\mathrm{min}(E,1.4)\mathrm{GeV}.`$ (13)
They correspond to linear threshold rise for the QE ($`\mathrm{\Delta }`$ production) cross-section between 0–1 (0.4–1.4) $`\mathrm{GeV}`$, which describes the cross-sections quite well. The normalizations correspond to the average cross-section per nucleon for a $`H_2O`$ target .

For the sake of completeness we have also calculated the $`P_{11}(1440)`$ and $`S_{11}(1535)`$ contributions using the narrow resonance approximation. Of course it may not work so well for the $`P_{11}(1440)`$, which has a width of 350 MeV. But since these resonance contributions to the 1-Pion production cross-section are small, the resulting error will be insignificant. Although there are significant differences between the parametrisations of ref.  and ref.  for the individual resonances, the cumulative contributions are very similar for the two sets of parameters. We have used the parametrisation of ref.  for these resonance production cross-sections.

Figure 2a shows the predicted muon energy spectra for the QE and 1-Pion events, the latter being dominated by the $`\mathrm{\Delta }`$ contribution (shown separately). One can clearly see the downward shift of the peak from $`1.2\mathrm{GeV}`$ by $`<Q^2>/2M0.15\mathrm{GeV}`$ for the QE and $`(\mathrm{\Delta }M^2+<Q^2>)/2M0.40.5\mathrm{GeV}`$ for the $`\mathrm{\Delta }`$ contribution. One can also see the reflection of the threshold rise from eqs. (12) and (13), particularly for the $`\mathrm{\Delta }`$ contribution. On the other hand the muon energy spectra to the right of the peak closely follow the shape of the neutrino energy spectrum of Fig. 1. Both the curves agree reasonably well with the more exact calculation of QE and 1-Pion production cross-sections, except for a small range near $`E^{}0.4\mathrm{GeV}`$ as discussed below. One can see them to be in general agreement with the observed muon spectra of QE and non-QE events of the K2K ND data . But a quantitative comparison will need to include things like the detection efficiency and experimental cuts, which is beyond the scope of the present work.

Figure 2b shows the corresponding muon energy spectra of the QE and 1-Pion events for the far away detector, predicted by eqs. (11, 12, 13) along with a small contribution from the higher resonances. One can clearly see the distortion of the muon energy spectra due to $`\nu _\mu `$ oscillation, where we have used the oscillation parameters of eq. (1). They are again in reasonable agreement with the more exact results presented below. It will evidently be very useful to compare these predictions with the observed muon energy spectra of QE and 1-Pion events from the SK detector which is not available to us. Again a quantitative comparison will require taking into account the detection efficiency of the muon and the pion, which can best be done by the K2K Collaboration.

We shall now present the results of an exact calculation. It is based on numerical integration of eqs. (5) and (7) for QE scattering, while for the resonance production it uses the corresponding formulae including the resonance widths. Apart from the leading contribution from the $`\mathrm{\Delta }(1232)`$ resonance, it includes subleading contributions from the $`P_{11}(1440)`$ and $`S_{11}(1535)`$ resonances. We estimate the contribution from the still higher resonances along with the nonresonant background to be no more than $`510\%`$ of the 1-Pion production cross-section at this energy. Therefore the accuracy of our prediction should be as good as that of the K2K experiment. The parametrisation of the QE and the resonance production cross-sections used in this analysis can be found in .

For the excitation of the $`\mathrm{\Delta }`$-resonance we use the formalism of  with two distinct form factors for the vector and axial currents. The vector and the axial vector form factors are modified dipoles . For the $`P_{11}`$ and $`S_{11}`$ resonances we use the form factors from .

Fig. 3a shows the predicted muon spectra for the QE and 1-Pion production processes. One can clearly see the downward shift of the peak from $`1.2\mathrm{GeV}`$ by $`<Q^2>/2M`$ for the QE and $`(\mathrm{\Delta }M^2+<Q^2>)/2M`$ for the $`\mathrm{\Delta }`$ contribution, dominating the 1-Pion production process. The steepness of the muon spectra at the low energy end reflects the threshold rise. On the other hand they closely follow the shape of the neutrino energy spectrum on the right side of the peak. All these features are in general agreement with the approximate results shown in Fig. 2. One sees however a clear broadening of the muon spectra below $`1\mathrm{GeV}`$ compared to the latter. In particular the exact calculation for QE shows a clear excess over the approximate one near $`E^{}0.4\mathrm{GeV}`$ as mentioned earlier. This is because the assumption of a small range of $`Q^2`$ integration made in deriving eq. (6) from eq. (5) does not hold here, as the rapid increase of the flux factor upto $`E=E^{}+Q^2/2M=1.2\mathrm{GeV}`$ stretches the effective range of $`Q^2`$ upto $`1.5\mathrm{GeV}^2`$. Note that below $`E^{}=0.4\mathrm{GeV}`$ the $`Q^2`$ range is restricted by the kinematic constraint $`Q^24ME^2/(M2E^{})`$. So the rapid fall of the spectrum with $`E^{}`$ simply reflects the fall of the flux and the threshold factors with $`E`$.

The predicted muon spectra of Fig. 3a agree reasonably well with the corresponding spectra of the K2K ND  for both the QE and the non-QE parts. In particular one can compare the predicted QE spectrum with their simulated QE spectrum shown in Fig. 1 of ref. . Their Fig. 1a and c show separately the QE muon spectra for the 1-Ring muon ($`1\mathrm{R}\mu `$) sample of the 1KT and the QE enhanced sample of the FGD respectively. The two play complementary roles in covering the complete muon energy range, as the 1KT and the FGD have high efficiencies at $`E^{}<1\mathrm{GeV}`$ and $`E^{}1\mathrm{GeV}`$, respectively . One can not compare our predicted muon spectra with these figures quantitatively without folding in these efficiency factors, which are not available to us. But there is good qualitative agreement between the predicted QE spectrum of our Fig. 3a with their Fig. 1c at $`E^{}1\mathrm{GeV}`$ and Fig. 1a at $`E^{}<1\mathrm{GeV}`$. While the former shows the position of the peak and the shape of the spectrum to the right, the latter shows the broadening of spectrum down to $`E^{}0.4\mathrm{GeV}`$ as discussed above. Similarly one sees good agreement between the predicted muon spectrum of our Fig. 3a for 1-Pion events with the non-QE spectra of their Fig. 1c,d at $`E^{}1\mathrm{GeV}`$ and Fig. 1a at $`E^{}<1\mathrm{GeV}`$. Thus one has a simple and robust prediction for the shape of the muon spectrum in terms of the neutrino spectrum not only for the QE events but also for the 1-Pion events, which dominate the inelastic events.

Fig. 3b shows the corresponding muon energy spectra of the QE and 1-Pion events for the SK detector, predicted by eqs. (1) and (7). Again the curves are in reasonable agreement with the approximate results of Fig. 2b. One can clearly see the distortion of the muon energy spectrum due the $`\nu _\mu `$ oscillation. They should be compared with the observed muon energy spectra of the 1-Ring and 2-Ring muon events at the SK detector, after taking into account the pion detection efficiency. We hope such a comparison will be done by the K2K collaboration.

To estimate the pion detection efficiency one needs to take into account the nuclear absorption, Pauli blocking and charge exchange taking place during the rescattering of the produced pions. We have included these effects following the prescription of ref. . Since the dominant contribution to 1-Pion production process comes from resonance production on Oxygen, we have evaluated the effects of nuclear absorption and rescattering on the produced pion for this case. The relevant subprocesses are $`\nu p\mu ^{}p\pi ^+`$, $`\nu n\mu ^{}n\pi ^+`$ and $`\nu n\mu ^{}p\pi ^0`$ with relative cross-sections $`9:1:2`$ for the dominant contribution from $`\mathrm{\Delta }`$.

Fig. 4 shows the effects of nuclear corrections on the produced $`\pi ^+`$ and $`\pi ^0`$ spectra from these processes for the nearby detector averaged over the neutrino spectrum. The results are very similar for the SK detector. Nuclear rescattering effects result in enhancing the $`\pi ^0`$ events at the cost of the dominant $`\pi ^+`$ component. But taken together we see a nearly $`20\%`$ drop in the rate of 1-Pion events due to nuclear absorption of the produced pion. Moreover about $`10\%`$ of the remaining events corresponds to the pion momentum being less than the Cerenkov threshold of $`100\mathrm{MeV}`$. Therefore one expects about $`70\%`$ of the $`\mathrm{\Delta }`$ events to give a detectable pion ring at the SK detector while the remaining $`30\%`$ appears like a QE event. Adding the latter to the $`35\%`$ of genuine QE events would imply that about $`50\%`$ of the CC events will appear QE-like at the SK detector. This seems to agree with the observation of $`29`$ 1-Ring muon ($`1\mathrm{R}\mu `$) events at the SK detector out of their $`56`$ FC events. It also agrees with their Monte Carlo simulation of $`44`$ $`1\mathrm{R}\mu `$ events out of the total of $`80`$ FC events in case of no oscillation. Thus the observed muon energy spectrum of the $`29`$ $`1\mathrm{R}\mu `$ events should be compared with a weighted average of the predicted spectra for QE and 1-Pion events. Alternatively the observed muon energy spectrum of the sum of 1-Ring and 2-Ring muon events could be compared with the predicted spectrum of the sum of QE and 1-Pion events. Although a part of the 2-Ring events may come from multi-pion production, the resulting error may be small since multi-pion events at the ND constitute only $`15\%`$ of CC events.

It should be mentioned here that the K2K Collaboration has reconstructed the neutrino energy for the $`29`$ $`1\mathrm{R}\mu `$ events using the kinematic relation

$$E=\frac{ME^{}m_\mu ^2/2}{ME^{}+P_\mu \mathrm{cos}\mathrm{\Theta }_\mu }$$
(14)
and used it for testing the spectral distortion due to neutrino oscillation . While this relation holds for genuine QE events, it is not possible to reconstruct the neutrino energy for an inelastic event using only the muon parameters. As we have seen above, about $`1/3`$rd of the $`29`$ $`1\mathrm{R}\mu `$ events may come from 1-Pion production. Hence we can see no reliable way of reconstructing the neutrino energy for this $`1\mathrm{R}\mu `$ sample on an event by event basis. On the other hand the muon energy is a directly measurable quantity for each event. Therefore it seems to us to be a better variable for testing the spectral distortion phenomenon compared to the reconstructed neutrino energy.

Let us note finally that the above formalism is applicable not only to K2K but also to future long baseline experiments like J2K, MINOS and the CERN-Gran Sasso experiments which plan to use low energy $`\nu _\mu `$ beams . Therefore it will be very useful to extend this analysis for the beam energy spectra and the target nuclei of these experiments.

Acknowledgement

The support of the “Bundesministerium für Bildung, Wissenschaft, Forschung und Technologie”, Bonn under contract 05HT1PEA9 is gratefully acknowledged. The work of D. P. Roy was supported by BMBF. We wish to thank Dr. M. Sakuda for helpful correspondence.


text:
# FINAL RESULTS FROM DELPHI ON THE SEARCHES FOR SM AND MSSM NEUTRAL HIGGS BOSONS

## 1 Introduction

The dominant production mechanism at LEP for a scalar Higgs boson, such as the SM predicts, is the s-channel process $`\mathrm{e}^+\mathrm{e}^{}\text{Z}^{}HZ`$. In the MSSM, the production of the lightest scalar Higgs boson, h, proceeds through the same processes as in the SM.

The data from the search for the SM Higgs boson also provide information on the h boson. However, in the MSSM the production cross-section is smaller than the SM one and can even vanish in certain regions of the MSSM parameter space. There is also a CP-odd pseudo-scalar, A, which would be produced mostly in the $`e^+e^{}\text{Z}^{}\mathrm{hA}`$ process at LEP2. This channel is therefore also considered. For MSSM parameter values for which single h production is suppressed, the associated $`hA`$ production is enhanced (if kinematically permitted).

In the $`HZ`$ channel, all known decays of the Z boson (hadrons, charged leptons and neutrinos) have been taken into account, while the analyses have been optimized for decays of the Higgs particle into $`\mathrm{b}\overline{\mathrm{b}}`$, making use of the expected high branching fraction of this mode, and for Higgs boson decays into a pair of $`\tau `$ particles, which is the second main decay channel in the SM and in most of the MSSM parameter space. The $`hA`$ production has been searched for in the two main decay channels, namely the $`b\overline{b}b\overline{b}`$ and $`\mathrm{b}\overline{\mathrm{b}}\tau ^+\tau ^{}`$ final states.

The present results are published in .The SM Higgs limit is improved when combining the four LEP experiments to $`m_H>114.4GeV/c^2`$ . A LEP combination in the MSSM is expected for the coming months.

## 2 Statistical procedure

The statistical procedure to combine the different search channels is a confidence level calculation in two hypothesis: a background only and a background plus signal hypothesis. Confidence levels are calculated using a modified frequentist technique based on the extended maximum likelihood ratio  which has also been adopted by the LEP Higgs working group.

The basis of the calculation is the likelihood ratio test-statistic defined using the signal and background densities for each event. These densities are constructed using two-dimensional discriminant information. The first variable is the reconstructed Higgs boson mass (or the sum of the reconstructed h and A masses in the $`hA`$ channels), the second one is channel-dependent.

## 3 SM Higgs

Curves of the confidence level $`CL_b`$ and $`CL_s`$ as a function of the test mass $`m_H`$ are shown in Fig. 1. In the presence of a sizable Higgs signal, the value of the observed $`CL_b`$ would approach one, since it measures the fraction of experiments with only background processes which are more background-like than the observation. Here the compatibility between the observation and the expectation from background processes is well within one standard deviation over the range of masses tested. The observed 95% CL lower limit on the mass is 114.1 $`GeV/c^2`$ while the expected median limit is $`113.3GeV/c^2`$.

## 4 MSSM neutral Higgs

In the benchmark scenarios proposed, a scan was performed over the MSSM parameters $`tan\beta `$ and $`m_A`$. The results come in terms of exclusion ranges as shown in Table 1. An updated version of the MSSM DELPHI results can be found in .