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# Bridging the ARCH model for finance and nonextensive entropy

## Abstract

Engle’s ARCH algorithm is a generator of stochastic time series for financial returns (and similar quantities) characterized by a time-dependent variance. It involves a memory parameter $`b`$ ($`b=0`$ corresponds to no memory), and the noise is currently chosen to be Gaussian. We assume here a generalized noise, namely $`q_n`$-Gaussian, characterized by an index $`q_n`$ ($`q_n=1`$ recovers the Gaussian case, and $`q_n>1`$ corresponds to tailed distributions). We then match the second and fourth momenta of the ARCH return distribution with those associated with the $`q`$-Gaussian distribution obtained through optimization of the entropy $`S_q=\frac{1_ip_{i}^{}{}_{}{}^{q}}{q1}`$, basis of nonextensive statistical mechanics. The outcome is an analytic distribution for the returns, where an unique $`qq_n`$ corresponds to each pair $`(b,q_n)`$ ($`q=q_n`$ if $`b=0`$). This distribution is compared with numerical results and appears to be remarkably precise. This system constitutes a simple, low-dimensional, dynamical mechanism which accommodates well within the current nonextensive framework.

Time series are ubiquitous in nature. They appear in geoseismic phenomena, El Niño, finance, electrocardio- and electroencephalographic profiles, among many others. Some of these series can be constructed by using, for successive values ot time $`t`$, random variables associated with the same distribution for all times: they are called homoskedastic. Such is the case of the ordinary Brownian motion. But many phenomena exist in nature which do not accomodate with such a property, i.e., the distribution associated with each value of $`t`$ depends on $`t`$. Such random variables are then called heteroskedastic. A simple illustration would be to use say a centered Gaussian at all steps, but with a randomly varying width.

Nowadays, time series that are intensively studied are the financial ones, where nonstationary volatility (technical name for second-order moment of say returns) is a common feature . In order to mimic explicitly and analyze this type of time series, R.F. Engle introduced in 1982 the autoregressive conditional heteroskedasticity (ARCH) process. Its prominence can be measured by its wide use, by the amount of its extensions introduced later , and — last but not least — by the fact that the 2003 Nobel Prize for Economics was awarded to Engle “for methods of analyzing economic time series with time-varying volatility (ARCH)”. This and similar processes are commonly used in the implementation of asset pricing theories, market microstructure models, and pricing derivative assets  (see also ). Specifically, the ARCH($`s`$) process generates, for the returns $`z_t`$, a discrete time series whose variance $`\sigma _t^2`$, at each time step, depends linearly on the $`s`$ previous values of $`[z_t]^2`$. It is defined as follows:

$$\{\begin{array}{c}z_t=\sigma _t\omega _t,\\ \sigma _t^2=a+_{i=1}^sb_iz_{ti}^2,\end{array}$$
(1)
or, equivalently,

$$\{\begin{array}{c}z_t=\sqrt{a+_{i=1}^sb_iz_{ti}^2}\omega _t\\ \sigma _t^2=a+_{i=1}^sb_i\sigma _{ti}^2\omega _{ti}^2,\end{array}$$
(2)
where $`a,b_i,\sigma _t0`$, and $`\omega _t`$ represents an independent and identically distributed stochastic process with mean value null and unit variance, (i.e., $`\omega _t=0`$ and $`\omega _t^2=1`$), currently chosen to follow a Gaussian distribution, but other choices are possible. In this manuscript we will discuss in detail the usual case $`s=1`$, ARCH(1), which will be from now on simply designated by ARCH. In general, the distribution, $`P_n\left(\omega \right)`$, together with parameters $`a`$ and $`\{b_i\}`$, specify the particular ARCH process ($`n`$ stands for noise).

As can be seen from Eqs. (2), parameters $`\{b_i\}`$ characterize the memory mechanism. For $`b_i=0(i)`$, there is no memory effect, and consequently the ARCH process for returns reduces to generating the noise $`\omega _t`$ (multiplied by $`\sqrt{a}`$). We can verify that, in general, $`z_t=\sigma _t\omega _t=0`$, and $`z_tz_t^{}=\sigma _t\sigma _t^{}\omega _t\omega _t^{}=\sigma _t\sigma _t^{}\delta _{tt^{}}`$. Therefore, even for nonvanishing $`b_i`$’s, the returns $`z_t`$ remain uncorrelated, whereas correlations do exist in the variance $`\sigma _t^2`$ . We observe that this stochastic process captures the tendency for the so called volatility clustering, i.e., large (small) values of $`z_t`$ are followed by other large (small) values of $`z_{t+1}`$, but of arbitrary sign. In other words, $`|z_t||z_t^{}|`$ by no means is proportional to $`\delta _{tt^{}}`$.

Hereon we focus on ARCH(1), i.e., $`b_1b`$ and $`b_i=0(i=2,\mathrm{\hspace{0.17em}3},\mathrm{})`$. From Eqs. (1) it is simple to obtain the n-th moment for the $`P(z)`$ stationary distributions, particularly the second moment

$$\sigma ^2z_t^2=\sigma _t^2=\frac{a}{1b}(b<1),$$
(3)
and the fourth moment,

$$z^4=a^2\omega _t^4\frac{1+b}{\left(1b\right)\left(1b^2\omega _t^4\right)}.$$
(4)
Without loss of generality, we can assume that the ARCH procedure generates a time series with unit variance, i.e., $`\sigma ^2=1`$, hence $`a=1b`$. Now, for $`z_t`$, the fourth moment is numerically equal to the kurtosis $`k_x\frac{x^4}{x^2^2}`$ (a possible measure of non-gaussianity or peakedness for probability distributions), and we can easily get,

$$z_t^4=k_z=k_\omega \left[1+b^2\frac{k_\omega 1}{1k_\omega b^2}\right](k_\omega b^2<1),$$
(5)
It is straightforwardly verified that, whatever the form of $`P_n\left(\omega \right)`$, the ARCH process generates probability distributions $`P\left(z\right)`$ with a slower decay and consequently with a kurtosis $`k_z>k_w`$ . See in Figs. 1 and 2, typical runs for a Gaussian noise.

We shall now establish a possible analytical connection between the memory parameter $`b`$, $`P\left(z\right)`$ and $`P_n\left(\omega \right)`$ under the framework of the nonextensive statistical mechanics introduced by one of us . Consider a probability distribution $`P^{}\left(z\right)`$ such that it maximizes the entropic form

$$S_q=\frac{1_{\mathrm{}}^+\mathrm{}\left[P^{}(z)\right]^q𝑑z}{q1}(q\mathrm{}),$$
(6)
with $`lim_{q1}S_q=_{\mathrm{}}^+\mathrm{}P^{}(z)\mathrm{ln}P^{}(z)𝑑zS_{BG}`$ ($`BG`$ stands for Boltzmann-Gibbs). Maximizing Eq. (6) with the constraints $`_{\mathrm{}}^+\mathrm{}P^{}(z)𝑑z=1`$ and$`_{\mathrm{}}^+\mathrm{}z^2P^{}(z)𝑑z=1`$ we have

$$P^{}(z)=\frac{𝒜}{[1+(q1)z^2]^{\frac{1}{q1}}}(q<5/3),$$
(7)
with

$$\frac{\mathrm{\Gamma }\left[\frac{53q}{2q2}\right]}{2(q1)\mathrm{\Gamma }\left[\frac{3q}{2q2}\right]},$$
(8)
and

$$𝒜\frac{\mathrm{\Gamma }\left[\frac{1}{q1}\right]}{\sqrt{2\pi }\mathrm{\Gamma }\left[\frac{3q}{2q2}\right]}\sqrt{(2q1)}.$$
(9)
In the $`q1`$ limit, the normal distribution is recovered. The fourth moment (which for this case coincides with the kurtosis) is given by,

$$z^4=3\frac{\mathrm{\Gamma }\left[\frac{75q}{2q2}\right]\mathrm{\Gamma }\left[\frac{3q}{2q2}\right]}{\left\{\mathrm{\Gamma }\left[\frac{53q}{2q2}\right]\right\}^2}(1<q<\frac{7}{5}).$$
(10)
Let us now make the ansatz $`P^{}\left(z\right)`$ $`P\left(z\right)`$. Consistently we impose the matching of Eqs. (5) and (10) . This yields $`q`$ as a function of $`b`$ and $`k_\omega `$. Assuming that noise $`\omega _t`$ follows a generalized distribution, Eq. (7), defined by an entropic index $`q_n`$ (such that $`k_w^{(q_n)}b^2<1`$) we are able to establish a relation between the memory parameter $`b`$ and the entropic indexes $`q`$ and $`q_n`$, which characterize respectively the distributions $`P^{}\left(z\right)`$ and $`P_n\left(w\right)`$. This connection is straightforwardly given by

$$b=\frac{\sqrt{G(q)\left\{\mathrm{\Gamma }\left[\frac{53q_n}{2q_n2}\right]\right\}^2G(q_n)\left\{\mathrm{\Gamma }\left[\frac{53q}{2q2}\right]\right\}^2}}{\sqrt{G(q_n)\left(3G(q)\left\{\mathrm{\Gamma }\left[\frac{53q}{2q2}\right]\right\}^2\right)}},$$
(11)
where $`G(x)\mathrm{\Gamma }\left[\frac{75x}{2x2}\right]\mathrm{\Gamma }\left[\frac{3x}{2x2}\right]`$. This connection, depicted in Fig. 3, constitutes, to the best of our knowledge, the first ever found which analytically expresses the return distribution in terms of the noise distribution and the memory parameter $`b`$. In what follows we shall verify that the above ansatz is indeed satisfied within a remarkable precision. To do this for typical values of $`b`$ and $`q_n`$, we first generate, through a standard algorithm based on Eq.(1) (with $`s=1`$), a set of ARCH time series and their corresponding probability density functions (PDF’s) $`P(z)`$. The results are indicated in Figs. 4 and 5. Then we compare with a histogram (with a conveniently chosen unit interval $`\delta `$) associated with the distribution (7), with $`q`$ satisfying Eq. (11). In other words, we compare with $`𝒜_\delta \left[1\left(1q\right)x^2\right]^{\frac{1}{1q}}`$, where $``$ is given by Eq. (8), and

$$\begin{array}{c}𝒜_\delta =_{\delta /2}^{+\delta /2}p(z)𝑑z=\frac{\delta }{\sqrt{2\pi }}\frac{\mathrm{\Gamma }\left[\frac{1}{q1}\right]}{\mathrm{\Gamma }\left[\frac{3q}{2q2}\right]}\sqrt{\frac{\mathrm{\Gamma }\left[\frac{53q}{2q2}\right]}{\mathrm{\Gamma }\left[\frac{3q}{2q2}\right]}}\\ \times _2F_1(\frac{1}{2},\frac{1}{q1};\frac{3}{2},\frac{\delta ^2\mathrm{\Gamma }\left[\frac{53q}{2q2}\right]}{8\mathrm{\Gamma }\left[\frac{3q}{2q2}\right]})\end{array}$$
(12)
We verify that the agreement is quite satisfactory. In order to quantify the small discrepancy between the ARCH PDF’s $`P(z)`$ and the analytical ones $`P^{}(z)`$, we have indicated in the captions of Figs. 4 and 5 the values of $`\chi ^2\frac{1}{N}\underset{i=1}{\overset{N}{}}[P(z_i)P^{}(z_i)]^2`$, $`N`$ being the number of points. An alternative evaluation of the discrepancy of the ARCH and analytical distribution can be done by comparing the sixth-order moment. It is simple to verify that these momenta for $`P(z)`$ and $`P^{}(z)`$ exhibit quite small discrepancies. For example, for the cases illustrated in Figs. 4 and 5, we have obtained discrepancies never larger than $`2.9\%`$ (occuring in fact for $`b0.5`$) for $`q_n=1`$ and than $`2.7\%`$ (occuring in fact for $`b0.3`$) for $`q_n=1.3`$. Such minor discrepancies are, in financial practice, completely inocuous (for example, we may check in  that realistic return distributions are larger than $`10^6`$, whereas in our present Figs. 4 and 5 we have simulated down to $`10^8`$).

Let us conclude by saying that the fact that a close connection has been shown to exist between the possibly ubiquitous ARCH stochastic processes and the nonextensive entropy Eq.(6) strongly suggests further possible connections. We refer to phenomena which might present some kind of scale invariant geometry, e.g., hierarchical or multifractal structures, low-dimensional dissipative and conservative maps , fractional and/or nonlinear Fokker-Planck equations , Langevin dynamics with fluctuating temperature , possibly scale-free network growth , long-range many-body classical Hamiltonians , among others. A more detailed study of this as well as of other heteroskedastic models (e.g., GARCH) is in progress.

We acknowledge useful remarks from J.D. Farmer, as well as partial support from Faperj, CNPq, PRONEX/MCT (Brazilian agencies) and FCT/MCES (contract SFRH/BD/6127/2001) (Portuguese agency).


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# 1 Introduction

## 1 Introduction

In experimental searches for resonances, tracks of secondary particles are combined to form resonance candidates. In high energy reactions with multiparticle final states, this method of resonance reconstruction may cause a huge combinatorial background. Any additional physical information about the resonance and its decays (life-time, the mass of secondary particles etc.) helps considerably to reduce the background. For instance, the presence in an event a well separated secondary vertex allows us to reconstruct $`\mathrm{\Lambda },K_s`$ and mesons from the $`D`$-meson family with a very low background. One such example is in Ref. . Moreover, if masses of decay products are known and significantly differ from each other, this information also has to be used to reduce the background. This note is a discussion of these issues.

Below only two-body decays are considered and for each final state particle a set of equations describing boundaries of the physical region is given. Features of each physical region, through implementation in selection criteria, can be used in the background suppression.

## 2  Two particle decay

Let us consider a two-particle decay, $`R𝐚+𝐛`$, of a resonance $`R`$ with a mass $`M_R`$ and a momentum $`\stackrel{}{P_R}`$ in the laboratory frame. Masses of the decay products are denoted as $`m_𝐚`$ and $`m_𝐛`$. At the rest frame of $`R`$ the particles $`𝐚`$ and $`𝐛`$ are flying in opposite directions with the momentum

$$P^{}=\frac{1}{2M_R}[(M_R^2m_𝐚^2m_b^2)^24m_𝐚^2m_𝐛^2]^{1/2}$$
(1)
In the laboratory frame, the absolute momenta $`p_𝐚`$ and $`p_𝐛`$ of the particles $`𝐚`$ and $`𝐛`$ depend on the relative orientation of the rest frame vectors $`\stackrel{}{p}_𝐚^{}`$ and $`\stackrel{}{p}_𝐛^{}`$ with respect to the boost vector. We shall consider only Lorentz boosts along the momentum $`\stackrel{}{P}_R`$ and denote by $`\theta _𝐚^{}`$ the polar angle between $`\stackrel{}{p}_𝐚^{}`$ and the direction given by $`\stackrel{}{P}_R`$. In that case, $`\theta _𝐛^{}=\pi \theta _𝐚^{}`$.

The energy and momentum components in both frames are related via

$$E_{𝐚(b)}=\gamma E_{𝐚(𝐛)}^{}\stackrel{}{\eta }\stackrel{}{p}_{𝐚(b)}^{}$$
(2)
$$\stackrel{}{p}_{𝐚(𝐛)}=\stackrel{}{p}_{𝐚(𝐛)}^{}+\stackrel{}{\eta }[\frac{\stackrel{}{\eta }\stackrel{}{p}_{𝐚(𝐛)}^{}}{\gamma +1}E_{𝐚(𝐛)}^{}]$$
(3)
For a boost along $`\stackrel{}{P}_R`$, the boost parameters are

$$\gamma =\frac{E_R}{M_R},\stackrel{}{\eta }=\frac{\stackrel{}{P}_R}{M_R}$$
(4)
and therefore

$$p_{𝐚(𝐛)}=\frac{1}{M_R}\sqrt{(E_RE_{𝐚(𝐛)}^{}+P_RP^{}cos\theta _{𝐚(𝐛)}^{})^2m_{𝐚(𝐛)}^2M_R^2}$$
(5)
If in an experiment there is no possibility to determine a particle type corresponding to a given charged track, then only information about the particle momentum, Eq.(5), is used. In the opposite case, when the particle type can be identified, for instance, by ionization, time of flight etc., one may incorporate this information and in addition use Eq. (2). Below, these cases are considered separately.

### 2.1  Particles without identification

The boundaries of the physical regions of the particle $`𝐚`$ on the $`(P_R,p_𝐚)`$ plane are easy to obtain with the use of the equation (5). For a given $`P_R`$, $`p_𝐚`$ reaches the upper limit at $`\theta _𝐚^{}=0`$

$$p_𝐚^+=\frac{1}{M_R}\left(P_RE_𝐚^{}+E_RP^{}\right)$$
(6)
when the lower limit at $`\theta _𝐚^{}=\pi `$

$$p_𝐚^{}=\frac{1}{M_R}|P_RE_𝐚^{}E_RP^{}|$$
(7)
The equations similar to (6)-(7) are valid for the particle $`𝐛`$ too. At the resonance rest frame (7) demonstrates an interesting feature of the momentum of the particle flying backward. With increasing $`P_R`$, the momentum $`p_𝐚`$ ($`p_b`$) first decreases, at $`P_R=M_RP^{}/m_{𝐚(b)}`$ it reaches the zero value and only at lager $`P_R`$ starts to increase. When plotted on the momentum $`(P_R,p_𝐚)`$ plane, Eqs.(6)-(7) select a band-like physical region ($`m`$-band). For secondary particles with equal masses, $`m_𝐚=m_𝐛`$, these $`m`$-bands are fully overlapping. However, if for instance, $`m_𝐚>m_𝐛`$, the $`m`$-bands overlap only partially or even separate out at

$$P_RP_R^{(s)}=\frac{2M_RP^{}}{\sqrt{(E_𝐚^{}E_𝐛^{})^24(P^{})^2}}$$
(8)
The last equation follows from the condition $`p_𝐚^{}p_𝐛^+`$. In Eq (8) the expression under the square root is positive only if

$$P^{}<\frac{m_𝐚^2m_𝐛^2}{\sqrt{8(m_𝐚^2+m_𝐛^2)}}$$
(9)
Thus, for $`m_𝐚m_𝐛`$ the physical regions of the particle $`𝐚`$ and $`𝐛`$ do not overlap if

$$m_𝐚\sqrt{8}P^{}$$
(10)
and $`P_R>P_R^{(s)}`$.

We shall now consider a few particular applications of equations (6)-(10). According to the PDG  only resonances with mass close to the threshold value $`m_𝐚+m_𝐛`$ satisfy the condition (10). Some of them are listed in Table 1, where $`P^{}`$ and $`P_R^{(s)}`$ values were calculated with use of (1) and (8), respectively.

Table 1

| $`R𝐚+𝐛`$ | $`M_R,`$ GeV | $`m_𝐚`$, GeV | $`\sqrt{8}P^{}`$, GeV | $`P_R^{(s)}`$, GeV |
| --- | --- | --- | --- | --- |
| $`\mathrm{\Lambda }p+\pi ^{}`$ | 1.115 | 0.938 | 0.284 | 0.301 |
| $`\mathrm{\Delta }N+\pi `$ | 1.232 | 0.939 | 0.643 | 1.052 |
| $`\mathrm{\Sigma }N+\pi `$ | 1.193 | 0.939 | 0.528 | 0.714 |
| $`\mathrm{\Sigma }\mathrm{\Lambda }+\pi `$ | 1.385 | 1.115 | 0.596 | 0.752 |
| $`\mathrm{\Sigma }N+K`$ | 1.480 | 0.939 | 0.494 | 2.066 |
| $`D^0a_1(1260)^++K^{}`$ | 1.865 | 1.230 | 0.924 | 6.457 |
| $`D^\pm D^0+\pi ^\pm `$ | 2.010 | 1.865 | 0.107 | 0.088 |
| $`D_{s1}^+D^{}(2010)^++K^0`$ | 2.535 | 2.010 | 0.424 | 0.519 |
|  |  |  |  |  |

Figs. 1a , 1b and 1c shows $`m`$-bands of decay products for some resonances listed in Table 1. For all of them always

$$p_𝐚>p_𝐛$$
(11)
at $`P_R>P_R^{(s)}`$, and $`m_𝐚`$ significantly larger than $`m_𝐛`$. We will refer to the momentum condition (11) as a $`m`$-selector. Thus, for resonances of the type in Table 1, fulfillment of the condition (11) allows an assignment to the particle $`𝐚`$ of the mass $`m_𝐚`$, i.e. we identify the particle $`𝐚`$. The $`m`$-selector (11) is a powerful tool for background suppression.

In the two-body decay modes one meet with a higher incidence the situation shown in Fig. 1d. For these decays the conditions (9)-(10) are not fulfilled and at any $`P_R`$ the phase space bands remain overlapping. Nevertheless, if $`m_𝐚>m_𝐛`$, one can demand fulfillment of (11) for the particle $`𝐚`$ in order to assign it the mass $`m_𝐚`$. In course of the resonance search the condition (11) rejects not only a significant part of the background, but also some fraction of the signal combinations. To estimate the efficiency of the $`m`$-selector we proceed in the following way.

On $`(P_R,p_𝐚)`$ plane the condition (11) is valid up to the line defined by the equation

$$p_𝐚(cos\theta _𝐚^{},P_R)=p_𝐛(cos\theta _𝐛^{},P_R)$$
(12)
For $`K^{}K\pi `$ decays the last equality is shown in Fig. 1d by the dashed line. The true $`K^{}`$ is a combination of a kaon from the region above the line (12) with a pion below it, and vice versa. From (12) and (5) we find the variation of $`\theta _𝐚^{}=\pi \theta _𝐛^{}`$ along the line (12)

$$cos\widehat{\theta }_𝐚^{}=\frac{P_R}{E_R}\frac{(E_𝐚^{}E_𝐛^{})}{2P^{}}$$
(13)
At the rest frame of $`R`$, (11) is equivalent to the exclusion of the region $`\theta _𝐚^{}>\widehat{\theta }_𝐚^{}`$. For unpolarized particles the distribution of $`cos\theta _𝐚^{}`$ is uniform and we define the efficiency of the $`m`$-selector (11) as

$$E_{ff}=\frac{1cos\widehat{\theta }_𝐚^{}}{2}100\%$$
(14)
With the definition (14) we get $`E_{ff}=100\%`$, when the conditions (9)-(10) are fulfilled, and $`E_{ff}=50\%`$ for decays with $`m_𝐚=m_𝐛`$ 111For real data $`E_{ff}<50\%`$, see discussion in Sec.3. As another example, in Fig. 4 by the dashed line is shown the evolution of $`E_{ff}`$ with $`P_R`$ in $`K^{}K\pi `$ decays. $`E_{ff}`$ grows because with the increase of $`P_R`$ the overlap of $`m`$-bands decreases.

In the limit large $`P_R`$, the expression for the efficiency can be simplified:

$`E_{ff}`$ $`=`$ $`{\displaystyle \frac{1}{2}}\left(1+{\displaystyle \frac{m_𝐚^2m_𝐛^2}{\sqrt{\left[M_R^2(m_𝐚m_𝐛)^2\right]\left[M_R^2(m_𝐚+m_𝐛)^2\right]}}}\right)100\%`$ (15)
$``$ $`{\displaystyle \frac{1}{2}}{\displaystyle \frac{M_R^2}{M_R^2m_𝐚^2}}100\%`$ (16)
The last equation is a good approximation only if $`m_𝐚m_𝐛`$. Equations (15)-(16) confirms the result we have already seen in Fig. 4a, where $`E_{ff}`$ is independent of $`P_R`$ at large $`P_R`$. On the other hand, for fixed values of $`m_𝐚`$ and $`m_𝐛`$, $`E_{ff}`$ decreases with increasing $`M_R`$, the mass of the resonance candidate. Thus, the higher the invariant mass of a two-particle combination, the more strongly (11) suppresses that part of the mass spectrum.

### 2.2  Identified particles

Accounting for the particle masses222The author is grateful to S.Chekanov for a discussion of that subject. transforms Eqs (6)-(7) into

$$E_𝐚^+=\frac{1}{M_R}\left(E_RE_𝐚^{}+P_RP^{}\right)$$
(17)
$$E_𝐚^{}=\frac{1}{M_R}\left(E_RE_𝐚^{}P_RP^{}\right)$$
(18)
and at low $`P_R`$ leads to a ’repulsion’ between the phase space $`E`$-bands on the energy ($`P_R,E_𝐚`$) plane (Fig. 2). For all resonances with $`m_𝐚m_𝐛`$ (see Table 1)

$$E_𝐚>E_𝐛$$
(19)
independently of $`P_R`$. This is not always true for the background combinations. Therefore, if applied, the condition (19) suppresses the background even more strongly than (11). We will refer to the energy condition (19) as a $`E`$-selector.

As in the previous section, if the masses of the secondary particles do not differ significantly, at $`P_R`$ greater than

$$\widehat{P}_R=\frac{M_R(E_𝐚^{}E_𝐛^{})}{\sqrt{4(P^{})^2(E_𝐚^{}E_𝐛^{})^2}}$$
(20)
the $`E`$-bands start overlapping in the way shown in Fig 2d. The loss of signal combinations by demanding (19) for resonance candidates we estimate again with Eq. (14). In the case under consideration, $`cos\widehat{\theta }_𝐚^{}`$ is a solution of the equation

$$E_𝐚(cos\theta _𝐚^{},P_R)=E_𝐛(cos\theta _𝐛^{},P_R)$$
(21)
Thus

$$cos\widehat{\theta }_𝐚^{}=\frac{E_R}{P_R}\frac{(E_𝐚^{}E_𝐛^{})}{2P^{}}$$
(22)
In the limit large $`P_R`$, with (22) we again recover Eqs. (15)-(16). The evolution of $`E_{ff}`$ in $`K^{}K\pi `$ decays is shown in Fig. 4a by the full line. $`E_{ff}=100\%`$ at $`P_R<\widehat{P}_R`$ and drops down up to the value (15), $`E_{ff}71\%`$, with increase of $`P_R`$.

Figure 1:Phase space $`m`$-bands of the particle a and b in the decays $`R𝐚+𝐛`$ as a function of the resonance momentum $`P_R`$. The dashed line on (c) corresponds to the momentum cut $`p_\pi =0.15`$ GeV (See Section 3). The dashed line on (d) is correspond to Eq.(12).

Figure 2:Phase space $`E`$-bands in $`R𝐚+𝐛`$ decays as a function of the resonance momentum $`P_R`$. The dashed line on (d) corresponds to Eq.(21).

Figure 3:Phase space $`m`$-bands ((a), (c), (e)) and $`E`$-bands ((b), (d), (f)) in decays of the pentaquark states $`\mathrm{\Theta }(1530)`$ and $`\mathrm{\Xi }_{3/2}(2070)`$. The dashed lines correspond to Eqs.(12) and (21).

## 3 Remark about $`D^{}`$ reconstruction

Charged particles are tracked in a tracking detector (TD). The resolution of the transverse momentum of a track traversing the TD is parametrized by $`\sigma (p_T)/p_T=Ap_TBC/p_T`$, with $`p_T`$ being the track transverse momentum (in GeV). The coefficients $`A,B`$ and $`C`$ characterize the resolution of the TD. Usually, to increase the momentum resolution, only tracks with $`p_T>0.120.15`$ GeV are selected. That cut, as shown in Fig. 1c, make impossible the reconstruction of $`D^{}`$ mesons with momenta lower than 1.8-2.0 GeV. The $`m`$-band of $`\pi `$ mesons is very narrow and grows rather slowly with $`P_R`$. Tracks with momenta greater than $`p_\pi ^+(P_D^{})`$ belong to the background. This property can be used to suppress the background contribution to the distribution of the mass difference, $`\mathrm{\Delta }M=M(K\pi \pi _s)M(K\pi )`$, by applying to the momentum of the soft pion ($`\pi _s`$) the following cut

$$p_{\pi _s}<p_0+p_\pi ^+(P_D^{})$$
(23)
where $`p_0`$=0.0-0.3 GeV is a some shift from the pion $`m`$-band. In the decay $`D^{}D^0\pi `$, the rest frame momentum is small, $`P^{}=`$0.038 GeV, and the $`D^{}`$ momentum can be estimated with (6) by means of the reconstructed $`D^0`$ momentum,

$$P_D^{}=\frac{M_D^{}}{M_{D^0}}P_{D^0}$$
(24)
Thus, from Eqs.(24) and (6) one get for (23)

$$p_{\pi _s}<p_0+\frac{(m_\pi +P^{})}{M_{D^0}}P_{D^0}$$
(25)
Instead of (25) it is possible to apply another, less strict cut

$$p_{\pi _s}<p_\pi ^+(P_{max})\frac{(m_\pi +P^{})}{M_D^{}}P_{max}$$
(26)
here $`P_{max}`$ is the right-hand edge of the kinematic range of the $`D^{}`$ candidates, $`P_D^{}<P_{max}`$.

## 4 Pentaquark states

Now we apply the results of the previous sections to new resonances predicted  by Diakonov, Petrov and Polyakov in the framework of the chiral soliton model and detected both in the formation type  and in the production type  experiments.

### 4.1 $`\mathrm{\Theta }(1530)N(939)+K(498)`$

With the mass value predicted for $`\mathrm{\Theta }^+`$, $`M_\mathrm{\Theta }`$=1.530 GeV, and the masses333In calculations were used mass values averaged over the isomultiplet. of decay products, $`m_N`$=0.939 GeV and $`m_K`$=0.498 GeV, the condition (9) is not satisfied. That implies the overlap of the $`m`$-bands at all $`P_\mathrm{\Theta }`$ (Fig. 3a), as well as the overlap of the $`E`$-bands at $`P_\mathrm{\Theta }>\widehat{P}_\mathrm{\Theta }`$=2.15 GeV (Fig. 3b). The overlapping is not strong and both selectors (11) and (19) work with high efficiency (see Fig. 4). The $`m`$\- and $`E`$-selectors were already successfully applied in searches for the $`\mathrm{\Theta }^+`$ in production-type  and formation-type  experiments.

Figure 4:Efficiency of the selection rule $`p_𝐚>p_𝐛`$ (dashed line) and $`E_𝐚>E_𝐛`$ (full line) at different $`P_R`$ in decays of $`K^{}(892)`$, $`\mathrm{\Theta }(1530)`$ and $`\mathrm{\Xi }_{3/2}(2070)`$ resonances.

### 4.2 $`\mathrm{\Xi }_{3/2}(2070)\mathrm{\Xi }(1318)+\pi (139)`$

A baryonic state $`\mathrm{\Xi }`$ is a weakly decaying particle. In a cascade decay, the vertex of the decay $`\mathrm{\Xi }\mathrm{\Lambda }\pi `$ is separated from the primary vertex, similarly to $`\mathrm{\Lambda }p\pi ^{}`$ decays. This property is

Figure 5:The $`m`$-bands and the efficiency of the $`m`$\- and $`E`$-selectors for the $`\mathrm{\Xi }_{3/2}\mathrm{\Xi }+\pi `$ decay with the $`\mathrm{\Xi }_{3/2}`$ mass reported by the NA49 collaboration .

used to suppress combinations which do not result from a $`\mathrm{\Xi }`$ decay and helps to reconstruct the $`\mathrm{\Xi }`$ candidate and its invariant mass.

In spite of the large mass asymmetry, $`m_\mathrm{\Xi }m_\pi `$, the conditions (9)-(10) are not fulfilled in $`\mathrm{\Xi }_{3/2}`$ decays and the pictures of the $`m`$\- and $`E`$-bands shown in Figs 3c, and 3d are very similar to those in $`\mathrm{\Theta }^+`$ decays. At low momenta the efficiency of the $`E`$-selector is 100$`\%`$. The $`E`$-bands start overlapping at $`P_\mathrm{\Xi }>`$1.96 GeV. Thus, the efficiency of the $`E`$-selector is no worse than 84$`\%`$ (Fig.4).

### 4.3 $`\mathrm{\Xi }_{3/2}(2070)\mathrm{\Sigma }(1385)+K(498)`$

The $`\mathrm{\Sigma }(1385)`$ decays strongly and exclusively at the primary event vertex. The decay modes $`\mathrm{\Sigma }^{\pm \mathrm{\hspace{0.17em}0}}\mathrm{\Lambda }\pi ^{\pm \mathrm{\hspace{0.17em}0}}`$ are dominant. Therefore, after the reconstruction of $`\mathrm{\Lambda }`$, the use of the $`m`$\- or $`E`$-selector allows reconstruction of the $`\mathrm{\Sigma }(1385)`$ with 100$`\%`$ efficiency (see Fig 1b, Fig. 2b).

Figs 3e and 3f shows the $`m`$\- and $`E`$-bands in $`\mathrm{\Xi }_{3/2}(2070)`$ decays. The $`m`$-bands slightly overlap at low $`P_\mathrm{\Xi }`$ and diverge at $`P_\mathrm{\Xi }>`$ 7 GeV. The $`E`$-bands are totally separated. Thus, in that decay mode, the $`m`$\- and $`E`$-selectors work with 100$`\%`$ efficiency (see Fig. 4).

### 4.4 $`\mathrm{\Xi }_{3/2}(2070)`$ or $`\mathrm{\Xi }_{3/2}(1860)`$ ?

The NA49 collaboration is provided  the evidence for the existence of a narrow $`\mathrm{\Xi }^{}\pi ^{}`$ baryon resonance with mass of 1.862$`\pm `$0.002 GeV. This state is considered as a candidate for the exotic pentaquark state $`\mathrm{\Xi }_{3/2}`$. The reported mass value is much lower as predicted in . The last developments in the theory of pentaquark states did not exclude the lower mass for the $`\mathrm{\Xi }_{3/2}`$ . There are also arguments  that the result of the NA49 collaboration perhaps is inconsistent with data collected over the past decades.

In Fig. 5 shown the $`m`$-bands and the efficiency. They are much the similar to those in Fig. 3e and Fig. 4d. The picture of the $`E`$-bands is also similar to Fig. 3f. Thus, the $`E`$-selector will not suppress the signal but suppress background at higher masses.

## 5 Conclusions

Kinematics of the two-body decay, $`R𝐚+𝐛`$, has been analyzed in terms of the phase space $`m`$\- and $`E`$-bands. On the basis of many examples, in particular, the exotic anti-decuplet baryons (pentaquark states), it has been demonstrated that for $`m_𝐚>m_𝐛`$ the selection rules $`p_𝐚>p_𝐛`$ and $`E_𝐚>E_𝐛`$ can be with a high efficiency applied to reconstruct many resonances and to suppress backgrounds.

Acknowledgments

The author is indebted to P. Bussey and A. Geise for a reading of the manuscript and comments, and grateful to other colleagues from the ZEUS collaboration for useful discussions. Special thanks are due to P. Ermolov and A. Kubarovsky for discussions of preliminary results of the SVD collaboration. This study is partially supported by the RFBR under Grant no. 02-02-81023.


text:
# Thermopower induced by a supercurrent in superconductor-normal-metal structures

## Abstract

We examine the thermopower $`Q`$ of a mesoscopic normal-metal (N) wire in contact to superconducting (S) segments and show that even with electron-hole symmetry, $`Q`$ may become finite due to the presence of supercurrents. Moreover, we show how the dominant part of $`Q`$ can be directly related to the equilibrium supercurrents in the structure. In general, a finite thermopower appears both between the N reservoirs and the superconductors, and between the N reservoirs themselves. The latter, however, strongly depends on the geometrical symmetry of the structure.

Thermoelectric effects in electrical conductors typically result from the asymmetry of the Fermi sea between the electron ($`E>E_F`$) and hole-like ($`E<E_F`$) quasiparticles. This is illustrated by the Mott relation Ashcroft and Mermin (1967) for the thermopower

$$Q\frac{\mathrm{\Delta }V}{\mathrm{\Delta }T}|_{I=0}=\frac{\pi ^2}{3}\frac{k_B^2T}{e}\frac{\mathrm{d}\mathrm{ln}\sigma (E)}{\mathrm{d}E}|_{E=E_F}.$$
(1)
This relates the potential difference $`\mathrm{\Delta }V`$ generated by the temperature difference $`\mathrm{\Delta }T`$ to the energy dependence of the conductivity $`\sigma `$ due to the asymmetry above and below the Fermi sea.

In metals, the electron-hole asymmetry is governed by the parameter $`k_BT/E_F`$ arising from the next-to-leading term in the Sommerfeld expansion. At sub-Kelvin temperatures, this leads to a very small $`Q`$, typically below 10 nV/K. However, recent experiments Eom et al. (1998); Dikin et al. (2002); Parsons et al. (2003) measuring the thermopower in normal-metal wires connected to superconducting electrodes indicate that it exceeds this prediction at least by an order of magnitude, and, moreover, show that $`Q`$ oscillates with the phase difference between the two superconducting contacts.

Mott relation is expected to fail in the presence of the superconducting proximity effect when the geometrical symmetry in the measured sample is broken Heikkilä et al. (2000). Our aim is to show that with nearby superconductors, normal-metal circuits can show a thermoelectric effect independent of electron–hole-symmetries, since the proximity effect couples the temperatures to the potentials through the supercurrent. This effect is at least two orders of magnitude larger than that predicted by Eq. (1) (c.f. Fig. 1).

We discuss the system shown in the inset of Fig. 2, with a supercurrent flowing between the two superconducting elements. Our main result (Eq. (8)) states that the thermopower $`Q_{\mathrm{NS}}`$ between the N and S parts of the structure is proportional to the difference in the supercurrents at the temperatures $`T_1`$, $`T_2`$ of the two N electrodes. Moreover, we obtain a similar result (Eq. (10)) for the thermopower $`Q_{\mathrm{NN}}`$ between the normal parts in a geometrically asymmetric structure. This can be understood phenomenologically as follows. If $`T_1T_2`$, the temperature-dependent Dubos et al. (2001) equilibrium supercurrent $`I_S(T_1)`$ in wire 3 is different from $`I_S(T_2)`$ in wire 4. (For this qualitative picture, we approximate these wires to be at the temperatures $`T_1`$, $`T_2`$.) Thus, a compensating effect must arise to guarantee the conservation of currents. Should the N reservoirs be kept at the same potential as the superconductors, a quasiparticle current $`I_{\text{qp}}(I_S(T_1)I_S(T_2))`$ from them to the superconductors would balance the difference. However, when no current is allowed to flow in wires 1 and 2, a compensating N–S potential difference $`V_NV_SR(I_S(T_1)I_S(T_2))`$ is induced instead. The induced potentials oscillate with phase differences, similarly to the supercurrent, and may differ in the two N reservoirs, especially in asymmetric structures.

In the following, we concentrate on the diffusive limit, and model the setup with the Keldysh-Usadel equations Belzig et al. (1999). These equations assume electron-hole symmetry, under which Eq. (1) predicts a vanishing $`Q`$.

The Keldysh-Usadel equations are formulated in terms of the quasiclassical Green’s functions (which are matrices in the Keldysh-Nambu space), but here we use their $`\theta `$-parametrization Belzig et al. (1999), for convenience. It reduces the problem to two sets of equations, the spectral equations and the kinetic equations. In terms of the parameterizing functions $`\chi `$ and $`\theta `$, the phase and the proximity effect strength, the spectral equations in normal metals are

$$D^2\theta =2iE\mathrm{sinh}(\theta )+\frac{1}{2}D(\chi )^2\mathrm{sinh}(2\theta ),$$
(2a)
$$Dj_E=0,j_E\mathrm{sinh}^2(\theta )\chi .$$
(2b)
Here, the factor $`D`$ is the diffusion constant of the normal metal, and $`E`$ is the energy with respect to the superconductor potential. The kinetic equations are expressed using the symmetric and antisymmetric parts, $`f_T`$ and $`f_L`$ Belzig et al. (1999), of the electron distribution function $`f(E,\stackrel{}{r})`$:

$`Dj_L`$ $`=0,`$ $`j_L`$ $`𝒟_Lf_L𝒯f_T+j_Sf_T,`$ (3a)
$`Dj_T`$ $`=0,`$ $`j_T`$ $`𝒟_Tf_T+𝒯f_L+j_Sf_L.`$ (3b)
The equations imply that the spectral current densities $`j_L`$ and $`j_T`$ are conserved (we neglect inelastic scattering). Thus the observable charge and energy current densities,

$`j_c={\displaystyle \frac{\sigma ^N}{2e}}{\displaystyle j_TdE}\text{and}j_Q={\displaystyle \frac{\sigma ^N}{2e^2}}{\displaystyle Ej_LdE},`$ (4)
are also conserved.

The coefficients $`𝒟_L`$, $`𝒟_T`$, $`𝒯`$ and $`j_S`$ appearing in the kinetic equations are obtained from the spectral equations:

$$𝒟_{L/T}\frac{1}{2}\left(1+|\mathrm{cosh}\theta |^2|\mathrm{sinh}\theta |^2\mathrm{cosh}(2\text{Im}[\chi ])\right),$$
(5a)
$$𝒯\frac{1}{2}|\mathrm{sinh}\theta |^2\mathrm{sinh}(2\text{Im}[\chi ]),j_S\text{Im}[j_E].$$
(5b)
Here, $`𝒟_L`$ and $`𝒟_T`$ are the local spectral energy and charge conductivities, and $`j_S`$ is the spectral density of the supercurrent Heikkilä et al. (2002). The factor $`𝒯`$ arises in the formalism and has an effect on the thermopower. The normal-state values of these coefficients are $`𝒟_L=𝒟_T=1`$ and $`j_S=𝒯=0`$.

At nodes of wires, assuming clean metallic contacts, the functions $`\theta `$, $`\chi `$ and $`f`$ are continuous and Kirchoff-like “spectral current conservation laws” Nazarov (1999) imply that $`A\sigma ^Nj_{L/T}`$ and $`A\sigma ^Nj_S`$ are conserved. Here, $`A`$ is the cross-sectional area of a wire and $`\sigma ^N`$ the normal-state conductivity. At clean metallic reservoir contacts most of the functions get their bulk values Belzig et al. (1999). However, for energies below the superconducting energy gap $`\mathrm{\Delta }`$, the valid boundary conditions at superconductor interfaces are $`j_L=0`$, prohibiting the energy flow, and $`f_T=0`$, assuming no charge imbalance in the superconductors.

The coefficients $`j_S`$ and $`𝒯`$ couple the energy and charge currents together, and give rise to a finite thermopower. Moreover, these coefficients oscillate with the phase difference in the system, and thus the value of the thermopower should also oscillate. When there is no phase difference, $`𝒯=j_S=0`$, and the thermopower vanishes.

The energy scale of temperatures and potentials is specified by the Thouless energy

$$E_T\frac{\mathrm{}D}{L^2}\left\{\begin{array}{cc}13\mu \text{V}& e\\ 0.15\text{K}& k_B\end{array}\right\}\frac{D/(200\frac{\mathrm{cm}^2}{\mathrm{s}})}{(L/\mu \mathrm{m})^2},$$
(6)
corresponding to a wire of length $`L`$ Heikkilä et al. (2002). Moreover, $`E_T`$ of the link between the superconductors is a natural energy scale for the spectral equations. As long as $`E_T\mathrm{\Delta }`$, the results can be scaled to fit all systems with similar ratios of wire lengths and areas.

Since there are no general analytical solutions to the problem, we solve the spectral equations numerically, and make a few approximations to solve the kinetic equations. However, the data shown in the figures is obtained numerically without any approximations.

First, we note that the “local potential” $`f_T`$ is generally small (as shown by the numerical results), as are the induced potentials at the reservoirs. Thus, we can neglect the terms proportional to it in the kinetic equation (3a). Physically this means that we mainly neglect the effect of supercurrent on the energy currents and the temperatures. (If the potentials were large, the omitted term would be the source for a Peltier-like effect Heikkilä et al. (2003).) With this approximation, we integrate the kinetic equations, which yields the connection between the spectral current densities and the distribution functions $`f_L(x)`$ and $`f_T(x)`$ at the ends of a wire of length $`L`$:

$`j_L`$ $`={\displaystyle \frac{1}{LM_L}}(f_L(L)f_L(0)),`$ (7a)
$`j_T`$ $`={\displaystyle \frac{1}{LM_T}}(f_T(L)f_T(0))+j_Sf_L(0)`$ (7b)
$`+{\displaystyle \frac{1}{L^2M_LM_T}}\left({\displaystyle _0^L}{\displaystyle \frac{𝒯}{𝒟_L𝒟_T}}dx+j_S{\displaystyle _0^L}{\displaystyle _0^x}{\displaystyle \frac{\mathrm{d}x^{}\mathrm{d}x}{𝒟_L(x^{})𝒟_T(x)}}\right)`$
$`\times (f_L(L)f_L(0)).`$
Here $`M_{L/T}\frac{1}{L}_0^L𝒟_{L/T}^1dx`$ are the dimensionless spectral energy and charge resistances. To simplify the final result, we also approximate $`𝒟_L=1`$ in (7), and $`𝒟_T=1`$ in the latter term in (7b), since the variation in $`𝒟_L`$ (away from superconductor interfaces) and $`𝒟_T`$ with respect to the energy is smaller than that of the other coefficients. Numerical results verify that this does not affect the result crucially. The energy-dependent $`1/M_T`$ as a coefficient for $`f_T`$ causes an important temperature dependence of the conductance, so we retain it.

Using Eqs. (7) and the conservation of spectral currents, we obtain a linear system of equations for the spectral current densities. They can be solved with respect to the given temperatures and potentials in the reservoirs, with different results for $`|E|<\mathrm{\Delta }`$ and $`|E|>\mathrm{\Delta }`$, due to the different boundary conditions. Next, we integrate over the energy to obtain the observable current densities, after which we require the condition $`j_{c,1}=j_{c,2}=0`$. To solve the resulting equations for the small induced potentials $`eV_1`$ and $`eV_2`$, we linearize the distribution functions with respect to them, and obtain a linear equation for the potentials, which can then be solved.

If we proceed with the analytical approximation in the limit $`\mathrm{\Delta }E_T,eV,k_BT`$ by neglecting $`𝒯`$ and the energy dependence of $`𝒟_T`$, we obtain the dominant term:

$$\begin{array}{c}\hfill V_{1/2}^0=\frac{1}{2}\frac{R_5(2R_{4/3}+R_5)R_{3/4}(I_S(T_1)I_S(T_2))}{(R_1+R_2+R_5)(R_3+R_4+R_5)}.\end{array}$$
(8)
Here, $`I_S(T)=(A\sigma ^N/e)_0^{\mathrm{}}j_Sf_L^0dE`$ is the observable equilibrium supercurrent flowing in the system when all parts are at the temperature $`T`$ and there are no potential differences. Moreover, $`f_{L,k}^0\mathrm{tanh}\left(E/(2k_BT_k)\right)`$ is a linearized distribution function, and $`R_k=L_k/(A_k\sigma _k^N)`$ are the normal-state resistances of the wires. Thus a difference in equilibrium supercurrents due to the varying $`f_L`$ contributes significantly to the thermopower.

Similarly, we can take the effect of $`𝒯`$ into account and obtain the correction terms

$`eV_{1/2}^1`$ $`={\displaystyle \frac{R_{1/2}}{R_1+R_2+R_5}}{\displaystyle _0^{\mathrm{}}}\left(f_{L,1}^0f_{L,2}^0\right)𝒯_{1/2}dE`$ (9)
$`{\displaystyle \frac{R_{3/4}R_5}{(R_1+R_2+R_5)R_{SNS}}}{\displaystyle _0^{\mathrm{}}}\left(f_{L,1}^0f_{L,2}^0\right)𝒯_5dE,`$
where $`R_{SNS}=R_3+R_4+R_5`$. Here, we denoted $`𝒯_k\frac{1}{L_k}_0^{L_k}𝒯_kdx`$ (shown in Fig. 3d compared with $`j_S`$). The correction is necessary, as it compensates for the fast decay of $`V_{1/2}^0`$ at high temperatures $`k_BT10E_T`$, but it is not negligible even at lower temperatures (see Fig. 2).

The induced $`Q_{\mathrm{NS},2}V_2/(T_2T_1)Q_{\mathrm{NS},1}`$ is shown in Fig. 1. The magnitude of $`Q_{\mathrm{NS}}`$ is of the order $`\frac{\mu \mathrm{V}}{\mathrm{K}}`$ at highest, but there is also a strong temperature dependence. Figure 2 shows cross sections of Fig. 1, compared with the approximation (8).

We see that Eqs. (8) and (9) predict an induced N–N potential difference

$$\mathrm{\Delta }VV_2V_1(V_2^0V_1^0)+(V_2^1V_1^1).$$
(10)
In a left-right symmetric structure both terms vanish, but $`Q_{\mathrm{NN}}`$ may still be finite since $`𝒟_T`$ is energy-dependent:

$`\mathrm{\Delta }V`$ $`{\displaystyle _0^{\mathrm{}}}\stackrel{~}{R}^1\left({\displaystyle \frac{\mathrm{sech}^2\mathbf{\left(}\frac{E}{2k_BT_1}\mathbf{\right)}}{2k_BT_1}}{\displaystyle \frac{\mathrm{sech}^2\mathbf{\left(}\frac{E}{2k_BT_2}\mathbf{\right)}}{2k_BT_2}}\right)dE`$
$`\times (R_1+(R_3R_5)/(2R_3+R_5))(V_1^0+V_1^1),`$ (11)
valid for a symmetric structure $`R_1=R_2`$, $`R_3=R_4`$. Here the coefficient $`\stackrel{~}{R}=\stackrel{~}{R}_1+(\stackrel{~}{R}_3\stackrel{~}{R}_5)/(2\stackrel{~}{R}_3+\stackrel{~}{R}_5)`$, where $`\stackrel{~}{R}_k=M_{T,k}R_k`$ are the spectral resistances of the wires. The voltage (Thermopower induced by a supercurrent in superconductor-normal-metal structures) can be understood to be caused by the proximity-effect-induced temperature dependence of conductances Charlat et al. (1996), which creates asymmetry in resistances. However, in reality the asymmetry of the structure causes likely a more significant effect (see Fig. 4), especially at $`T_1T_2`$, where Eq. (Thermopower induced by a supercurrent in superconductor-normal-metal structures) predicts $`\mathrm{\Delta }V(T_2T_1)^2`$ 111The $`𝒟_T`$-effect may be measurable by examining the symmetry of $`Q_{\mathrm{NN}}`$ around $`T_1=T_2`$..

Equation (8) implies that the thermopower should oscillate as a function of the phase difference $`\varphi `$ between the two superconducting elements, because the equilibrium supercurrent oscillates roughly as $`\mathrm{sin}(\varphi )`$. Numerical simulations show (see Fig. 3c) that also the exact solution oscillates similarly, vanishing at $`\varphi =0`$.

Besides changing the prefactors in Eqs. (8,9), varying the resistances of the wires from the near-symmetric presented in the figures changes the behavior in the supercurrent Heikkilä et al. (2002) and the coefficient $`𝒯`$. In general, large departures from such symmetry decrease the potentials.

A finite value for $`\mathrm{\Delta }`$ causes two distinct modifications to the thermopower. First, the coefficients (5) are modified, but changes are mostly only quantitative, e.g. sharpening of peaks (see Fig. 3a). Secondly, there is also a contribution from energies $`E>\mathrm{\Delta }`$, which couples the superconductor temperature $`T_0`$ to the system. The latter effect is weaker than those predicted by Eqs. (8) and (9) at least for $`\mathrm{\Delta }>30E_T`$. Although the coupling of $`T_0`$ is weak, it induces finite potentials even for $`T_1=T_2`$ (Fig. 3b).

Our predictions agree quantitatively with the experimental results with the correct order of magnitude for both the linear thermopower Dikin et al. (2002) and the temperature scale Eom et al. (1998). The flux dependence (antisymmetric about $`\varphi =0`$ — this holds for the exact as well as the approximate solutions) is in accord with most of the measurements in Eom et al. (1998); Dikin et al. (2002); Parsons et al. (2003). However, we cannot explain the symmetric oscillations with respect to zero flux, seen in the ”house” interferometers in Ref. Eom et al. (1998). Moreover, the main result, Eq. (8) cannot describe a sign reversal of $`Q_{\mathrm{NS}}`$ Parsons et al. (2003), but there is no principal reason forbidding such an effect in a suitable structure. Nevertheless, further experiments are required to quantitatively demonstrate the connection between the thermopower and the supercurrent.

Results of similar type as presented in this Letter for the N-S thermopower have been obtained for small temperature differences in Refs. Seviour and Volkov (2000); Kogan et al. (2002), assuming high tunnel barriers at the N-S contacts. However, the direct connection between the thermopower and the supercurrents as in Eq. (8) has not been shown. Moreover, Ref. Kogan et al. (2002) discusses a finite N–N thermopower from the energies above $`\mathrm{\Delta }`$. Our results show that for an appreciable temperature difference between the N reservoirs, this effect is washed out by the asymmetry effects, at least for $`\mathrm{\Delta }30E_T`$.

In summary, we have obtained a relation linking the voltages induced by a temperature difference to the supercurrent in a mesoscopic structure. The phase-oscillating N–S thermopower is mostly induced by the temperature dependence in the supercurrent, and the N–N thermopower can be attributed to left-right-asymmetries in a structure. These effects are independent of electron-hole asymmetry, and can be much larger in magnitude than the thermopower due to electron-hole symmetry breaking.

###### Acknowledgements.

We thank Jukka Pekola, Frank Hekking and Mikko Paalanen for helpful discussions.


text:
# Crystalline Electric Field Excitations in the Heavy Fermion Superconductor CeCoIn5

## Abstract

The crystalline electric field (CEF) energy level scheme of the heavy fermion superconductor CeCoIn5 had been determined by means of inelastic neutron scattering (INS). Peaks observed in the INS spectra at $``$ 8 meV and $``$27 meV with incident neutron energies between $`E_i`$=30-60 meV and at a temperature $`T`$ = 10 K correspond to transitions from the ground state to the two excited states, respectively. The wavevector and temperature dependence of these peaks are consistent with CEF excitations. Fits of the data to a CEF model yield the CEF parameters $`B_2^0=0.80`$ meV, $`B_4^0=0.059`$ meV, and $`|B_4^4|=0.137`$ meV corresponding to an energy level scheme: $`\mathrm{\Gamma }_7^{(1)}`$(0) \[=$`0.487|\pm 5/2>0.873|3/2>`$\], $`\mathrm{\Gamma }_7^{(2)}`$(8.6 meV, 100 K), and $`\mathrm{\Gamma }_6`$(24.4 meV, 283 K).

The compound CeCoIn5 belongs to the family of CeMIn5 (M=Co, Rh, Ir) heavy fermion superconductors which crystallize in the tetragonal HoCoGa5 structure.Thompson et al. (2003) The superconducting transition temperature of this material $`T_c=2.3`$ K is among the highest observed in a heavy fermion system.Petrovic et al. (2001) There is ample evidence for unconventional superconductivity in CeCoIn5, in which power law $`T`$-dependences of the specific heat and thermal conductivity are observed in the superconducting state;Movshovich et al. (2001); Thompson et al. (2003) moreover, angular-dependent thermal conductivity measurements reveal a fourfold symmetry characteristic of $`d`$-wave superconductivity.Izawa et al. (2001) In addition, the unconventional superconductivity appears to evolve out of a non-Fermi liquid normal state deduced from the near-linear temperature dependence of the electrical resistivity $`\rho `$ and a logarithmic variation of the electronic specific heat coefficient $`C(T)/T`$, suggesting the CeCoIn5 may be in proximity to a quantum critical point.Petrovic et al. (2001); Nakatsuji et al. (2002) Knowledge of the ground state properties is important for the understanding both of the unusual normal and superconducting states of CeCoIn5. To this aim, we have carried out inelastic neutron scattering measurements on CeCoIn5 to directly probe the crystalline electric field (CEF) splittings in this material.

A polycrystalline sample ($`50`$ g) of CeCoIn5 was prepared by placing stoichiometric amounts of Ce, Co, and In in an alumina crucible sealed in a quartz tube, heating to 1100 C, then cooling to 900 C at 20 C/hr., and finally quenching in liquid nitrogen. The sample was then annealed at 600 C for 2-3 weeks. The superconducting properties of the polycrystalline sample (i.e., $`T_c=2.3`$ K) were found to be consistent with single crystal results. Various attempts to make LaCoIn5 in a similar manner were unsuccessful. The inelastic neutron scattering measurements were performed using LRMECS at IPNS (Argonne National Laboratory) and also at PHAROS at LANSCE (Los Alamos National Laboratory). Spectra were obtained at temperatures between $`T=10150`$ K at various incident neutron energies between $`E_i=3060`$ meV.

The inelastic neutron response of CeCoIn5 $`I`$ vs energy transfer $`\mathrm{\Delta }E`$ collected at PHAROS at $`T=15`$ K and $`E_i=30.2`$ meV is shown in Fig. 1a. A broad hump-like feature is visible in the data at $`\mathrm{\Delta }E8`$ meV suggesting a crystalline electric field excitation at that energy. Data collected using a somewhat higher incident energy $`E_i=48.5`$ meV at $`T=10`$ K and $`82`$ K, plotted as the difference of the spectra at the two temperatures $`I`$(15 K) - $`I`$(82 K) vs $`\mathrm{\Delta }E`$ (Fig. 1b), reveal another feature centered at $``$27 meV (the peak at 8 meV is not visible in this spectra due to the poorer energy resolution at $`E_i=48.5`$ meV). The temperature dependence of the peak at $``$ 27 meV, i.e., decreasing intensity with increasing $`T`$, suggests that it corresponds to a CEF transition from the ground state to an excited state, and not to a phonon excitation. The same conclusion can be drawn from the $`T`$-dependence of the 8 meV peak in data collected at LRMECS at $`E_i=35`$ meV (not shown). Further evidence for CEF transitions from the ground state to excited states at $`8`$ meV and $`27`$ meV in CeCoIn5 is provided by the wavevector dependence of these features, which corresponds to that of the Ce3+ form factor.

The CEF Hamiltonian in tetragonal symmetry is given by: $`_{CEF}=B_2^0O_2^0+B_4^0O_4^0+B_4^4O_4^4,`$ where $`B_l^m`$ and $`O_l^m`$ are the CEF parameters and Stevens’ operators, respectively. The six-fold degenerate Ce3+ $`J=5/2`$ multiplet splits into 3 doublets: $`\mathrm{\Gamma }_7^{(1)}=\alpha |\pm 5/2>\beta |3/2>`$, $`\mathrm{\Gamma }_7^{(2)}=\beta |\pm 5/2>+\alpha |3/2>`$, and $`\mathrm{\Gamma }_6=|\pm 1/2>`$ under the influence of the crystalline electric field.Fischer and Herr (1987)

The magnetic contribution to the inelastic neutron scattering response of CeCoIn5 at $`T=10`$ K is shown in Fig. 2a for $`E_i=35`$ meV and Fig. 2b for $`E_i=60`$ meV. The nonmagnetic contribution inferred from measurements on LaRhIn5 ($`E_i=35`$ meV, Fig. 2a) or LaIrIn5 ($`E_i=60`$ meV, Fig. 2b) has been subtracted from the low-angle scattering data of CeCoIn5 using the expression $`S_{mag}=S(\text{Ce},20^{})fS(\text{La},20^{})`$, where $`f`$ is the ratio (0.75 for Rh, 0.59 for Ir) of the total scattering cross section $`\sigma (\text{CeCoIn}\text{5})/\sigma (\text{LaMIn}\text{5})`$ (other background subtractions, i.e., YCoIn5, yield similar resultsChristianson ). The data have also been normalized to a vanadium standard to put the scattering on an absolute scale. A simultaneous least-squares fit of the two datasets to a CEF model yields the CEF parameters for CeCoIn5: $`B_2^0=0.80(7)`$ meV, $`B_4^0=0.059(3)`$ meV, and $`|B_4^4|=0.137(1)`$ meV (Fig. 2). Additional fit parameters include: 1) an overall scale factor ($`F=0.73`$ for $`E_i=35`$ meV, $`F=0.90`$ for $`E_i=60`$ meV), a Lorentzian width $`\mathrm{\Gamma }`$=6.5 meV of the CEF excitations, and 3) a quasielastic width $`\mathrm{\Gamma }_{QE}=1.6`$ meV fixed to be (1/4)$`\mathrm{\Gamma }`$ in accord with the value determined from NMR measurements of the spin-lattice relaxation rate.Curro et al. (2003) (The fit also includes the effects of instrumental resolution.) The resulting CEF level scheme from this fit for CeCoIn5 is: $`\mathrm{\Gamma }_7^{(1)}`$, $`\mathrm{\Gamma }_7^{(2)}`$\[8.6(5) meV, 100 K\], and $`\mathrm{\Gamma }_6`$\[24.4(7) meV, 283 K\] (Fig. 2b), with a mixing parameter $`\beta =0.87(5)`$. The magnetic susceptibility is reasonably well-described by this CEF level scheme above $`75`$ K including an isotropic molecular field constant ($`\lambda =50`$ mol/emu) to account for the Kondo effect and magnetic correlations in this material (not shown). The systematic errors due to the large background contribution and significant absorption are estimated to be larger than the statistical uncertainties of the various parameters listed above; a more complete analysis similar to that reported in Ref. Christianson et al., 2002 on the CeCoIn5 system will be presented elsewhere.Christianson

Three other reports of the CEF properties of CeCoIn5 exist in the literature. Nakatsuji et al.Nakatsuji et al. (2002) determined the following scenario based on $`\chi (T)`$ and $`C(T)`$ measurements: $`\mathrm{\Gamma }_7^{(1)}`$(0), $`\mathrm{\Gamma }_7^{(2)}`$(148 K), and $`\mathrm{\Gamma }_6`$(197 K) with $`\beta =`$0.92. Another CEF scheme determined from $`\chi (T)`$ by Shishido et al.Shishido et al. (2002) has been reported: $`\mathrm{\Gamma }_7^{(1)}`$(0), $`\mathrm{\Gamma }_7^{(2)}`$(151 K), and $`\mathrm{\Gamma }_6`$(166 K) with $`\beta =`$0.52. A CEF analysis of $`\chi (T)`$ by Pagliuso et al.Pagliuso et al. (2001) yield a different CEF level scheme: $`\mathrm{\Gamma }_6`$(0 K), $`\mathrm{\Gamma }_7^{(2)}`$(35 K), and $`\mathrm{\Gamma }_7^{(1)}`$(72 K), with $`\beta `$=0.1. \[The labels of Ref. Pagliuso et al., 2001, $`\mathrm{\Gamma }_7^{(1)}`$ and $`\mathrm{\Gamma }_7^{(2)}`$, have been switched to compare with the convention used in this paper\]. The relative level scheme and degree of mixing (i.e., $`\beta =0.87`$) that we observe are more consistent with that of Nakatsuji et al.Nakatsuji et al. (2002) and Shishido et al.Shishido et al. (2002). In addition, a negative value of $`B_2^0`$, consistent with the anisotropy of $`\chi (T)`$ of CeCoIn5 discussed below, indicates a $`\mathrm{\Gamma }_7^{(1)}`$ or $`\mathrm{\Gamma }_7^{(2)}`$ ground state rather than the $`\mathrm{\Gamma }_6`$ ground state scenario proposed in Ref. Pagliuso et al., 2001.

The family of CeMIn5 heavy fermion superconductors, in which the tetragonal structure is comprised of alternating layers of CeIn3 separated by a layer of MIn2 along the $`c`$-axis, can be considered to be the two-dimensional (2D) analogue of another heavy fermion superconductor CeIn3. As a result of the lower tetragonal symmetry in the “115” structure, the excited quartet of the doublet-quartet ($`\mathrm{\Gamma }_7`$-$`\mathrm{\Gamma }_8`$) crystalline electric field scheme of CeIn3 splits into two doublets. The effects of the CEF in this tetragonal system contributes, at least in part, to anisotropy in the magnetic susceptibility. A simple estimate of the $`B_2^0`$ CEF parameter is provided by the anisotropic Curie-Weiss temperatures (assuming no magnetic exchange) and is given by: $`\theta _{ab}\theta _c=[3(2J1)(2J+3)/10]B_2^0`$.Boutron (1973) Using $`\theta _{ab}=80`$ K and $`\theta _c=56`$ K, determined from fits of $`\chi (T)`$ to a Curie-Weiss law above $`200`$ K, a value $`B_2^0=0.22`$ meV is obtained. This is in reasonable agreement with the value determined from the CEF analysis of the INS data ($`B_2^0=0.80`$ meV) considering the strong Kondo interactions present in CeCoIn5. It has been postulated that the order of magnitude increase in $`T_c`$ from CeIn3 ($`T_c0.2`$ K) to CeCoIn5 ($`T_c=2.3`$ K) is related to the quasi-2D nature of the CeMIn5 compounds, in which the increase in anisotropy increases the 2D character of the spin fluctuations relevant for superconductivity;Pagliuso et al. (2001) this idea is supported by theoretical work by Monthoux and Lonzarich.Monthoux and Lonzarich (1999) It is less clear to what extent the crystalline electric fields influence the superconductivity in the CeMIn5 materials. Recent theoretical work by Hotta and UedaHotta and Ueda (2003) suggest that the shape of the $`f`$-orbitals under the influence of the CEF may affect the orbital fluctuations that contribute to superconductivity. Further experimental and theoretical efforts are needed to address this issue.

Work at Los Alamos was performed under the auspices of the DOE. The work has also benefited from the use of the Los Alamos Neutron Science Center at Los Alamos National Laboratory. LANSCE is funded by US Department of Energy under Contract W-7405-ENG-36.