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# The 2dF Galaxy Redshift Survey: Hierarchical galaxy clustering

## 1 Introduction

Current theoretical models of structure formation in the Universe are based on the paradigm of gravitational instability. This process is believed to be responsible for driving the growth of small primordial density perturbations into the nonlinear collapsed structures such as galaxies and clusters that are evident in the Universe today.

The premise of gravitational instability has been tested indirectly by comparing the clustering predicted by numerical simulations of the formation of cosmic structures with the observed distribution of galaxies (e.g. Benson et al. 2001). A direct test of this fundamental ingredient of structure formation models was made using the 2dFGRS by Peacock et al. (2001). The size of the 2dFGRS allowed the first accurate measurement of the two-point galaxy correlation function on large scales. Peacock et al. demonstrated that the two-point correlation function at large pair separations displays a form that is characteristic of the bulk motions of galaxies expected in the gravitational instability scenario.

We present an independent test of the gravitational instability paradigm. For a Gaussian distribution of density fluctuations, the volume averaged correlation functions, $`\overline{\xi }_p`$, are identically zero for $`p>2`$; the density field is completely described by its variance, $`\overline{\xi }_2`$. The evolution of an initially Gaussian density field due to gravitational instability generates non-zero $`\overline{\xi }_p`$ (Peebles 1980). A basic test of the gravitational origin of the higher order moments is to determine their relation to the variance of the distribution. This is traditionally encapsulated in the hierarchical model:

$$\overline{\xi }_p=S_p\overline{\xi }_2^{p1}.$$
(1)
This model applies to real space clustering; however, in redshift space the scaling still tends to hold even on small scales where the “fingers-of-God” effect is prominent (Lahav et al. 1993; Hoyle, Szapudi & Baugh 2000). Perturbation theory predicts that the hierarchical amplitudes for the mass distribution are independent of the cosmological density parameter, the cosmological constant and cosmic epoch (Bernardeau et al. 2002).

We use the 2dFGRS (Colless et al. 2001, 2003) to measure the higher order correlation functions of the galaxy distribution, focusing on the clustering of $`L_{}`$ galaxies. The size of the 2dFGRS is exploited to extract a volume limited sample of $`L_{}`$ galaxies, which greatly simplifies our analysis (Section 2). The results for the volume averaged correlation functions, up to sixth order, are presented in Section 3, in which we also test how well the hierarchical scaling model works. Our conclusions are given in Section 4.

## 2 Data and analysis

The density of galaxies is a strong function of radial distance in a magnitude limited survey. This needs to be compensated for in any clustering analysis by applying a suitable weighting scheme (e.g. Saunders et al. 1991). Alternatively, one may construct a volume limited sample by selecting certain galaxies from the full redshift survey. These galaxies are chosen so that they would appear inside the apparent magnitude range of the survey if displaced to any redshift within the interval defining the sample. The only radial variation in galaxy number density in a volume limited sample is due to large scale structure in the galaxy distribution. This makes volume limited samples much more straightforward to analyse than flux limited samples. However, only a fraction of the galaxies from the full redshift survey satisfy the selection criteria in redshift and absolute magnitude. This reduction in the density of galaxies has curtailed the utility of volume limited subsamples constructed from earlier redshift surveys.

We construct a volume limited sample of $`L_{}`$ galaxies from the 2dFGRS. The motivation for the choice of a sample centred on $`L_{}`$ is clear; this results in a volume limited sample with the largest possible number of galaxies for magnitude bins of a given size. As the luminosity used to define a sample increases, the selected galaxies can be seen out to larger redshifts and thus sample larger volumes. However, brighter than $`L_{}`$, the space density of galaxies drops exponentially (e.g. Norberg et al. 2002). Hence, the optimum balance between volume surveyed and intrinsic galaxy space density is achieved for $`L_{}`$ galaxies. In addition, the higher order clustering of $`L_{}`$ galaxies provides a benchmark or reference against which to compare trends in clustering strength with galaxy luminosity (see Norberg et al 2001; Croton et al. 2004a). We consider the two contiguous areas of the 2dFGRS, referred to as the NGP and SGP regions, which contain around 190,000 galaxies with redshifts and cover an effective area of approximately 1200 square degrees in total. After selecting galaxies with absolute magnitudes in the range $`19>M_{b_\mathrm{J}}5\mathrm{log}_{10}h>20`$ (corrected to $`z=0`$ using the global $`k+e`$ correction quoted by Norberg et al. 2002), the volume limited sample contains 44,931 galaxies. The redshift interval of the sample is $`z=0.021`$ to $`0.130`$, corresponding to a volume of $`7.97\times 10^6h^3\mathrm{Mpc}^3`$ for the combined NGP and SGP regions.

### 2.1 Counts in cells analysis

The distribution of counts in cells is estimated by throwing down a large number of spherical cells, on the order of $`10^7`$ for each cell radius considered, within the $`L_{}`$ volume limited 2dFGRS sample. Full details of how we deal with the spectroscopic incompleteness and the angular mask are given in Croton et al. (2004a); the corrections turn out to be small in any case (see figure 1 of Croton et al.).

The higher order correlation functions, $`\overline{\xi }_p`$, are the reduced $`p^{\mathrm{th}}`$ order moments of the distribution of galaxy counts in cells. The estimation of the higher order correlation functions from the cell count probability distribution is explained in a number of papers (e.g. Gaztañaga 1994; Baugh, Gaztañaga & Efstathiou 1995; Croton et al. 2004a). The variance or width of the count distribution is given by the case $`p=2`$. For $`p>2`$, the correlation functions probe further out into the tail of the count probability distribution.

We use mock 2dFGRS catalogues to estimate the errors on the measured higher order correlation functions. Full details of the mocks can be found in Norberg et al. (2002) and Croton et al. (2004a).

## 3 Results

The projected density of galaxies in the $`L_{}`$ volume limited sample is shown in Fig. 1. The galaxy density projected onto the right ascension–redshift plane is smoothed using circular windows. Two different smoothing radii have been used to produce these maps; the left-hand panel shows the density after smoothing with a circular cell of radius $`15h^1`$Mpc and the right hand panel shows the distribution as sampled with a cell of radius $`3h^1`$Mpc. The redder colours indicate higher galaxy densities, as shown by the scale that accompanies each cone plot. Two ‘hot-spots’ are readily apparent, particularly in the cone plot smoothed on the larger scale. These correspond to superclusters of galaxies that also appear in the 2dFGRS Percolation Inferred Galaxy Group catalogue (Eke et al. 2004) and in the reconstructed density field of the 2dFGRS (Erdogdu et al. 2004). The presence of these superclusters has an impact on the extreme event tail of the count probability distribution. Later in this section, we will investigate the influence of these structures on our measurement of the higher order correlation functions by excising the volumes that contain the superclusters from our analysis. The ‘cosmic web’ of filamentary structures and voids is apparent in the cone smoothed on the smaller scale.

The higher order correlation functions measured for $`L_{}`$ galaxies are plotted in Fig. 2. The correlation functions are only plotted on scales for which a robust measurement is possible. The correlation functions show a dramatic steepening on small scales as the order $`p`$ increases. For example, the ratio $`\overline{\xi }_6/\overline{\xi }_2`$ is $`10^5`$ at $`R=1h^1`$Mpc, falling to $`100`$ at $`R=6.3h^1`$Mpc. We also plot the higher order correlation functions for the dark matter distribution in the $`\mathrm{\Lambda }`$CDM Hubble Volume simulation (Evrard et al. 2002). These theoretical predictions include the effects of peculiar motions in the distant observer approximation. The variance of the dark matter in redshift space agrees spectacularly well with the measured $`\overline{\xi }_2`$ for $`L_{}`$ galaxies. This confirms the conclusions reached in independent analyses of the clustering of $`L_{}`$ galaxies in the 2dFGRS (Lahav et al. 2002; Verde et al. 2002). However, for the case of the $`\mathrm{\Lambda }`$CDM Hubble Volume simulation, the $`p>2`$ moments of the dark matter differ from the measurements for $`L_{}`$ galaxies for $`R<10h^1`$Mpc.

The hierarchical amplitudes, $`S_p`$, obtained from the $`\overline{\xi }_p`$ by applying Eq. 1 are plotted as a function of cell radius for orders $`p=3`$$`5`$ in Fig. 3 ($`p=6`$ is omitted for clarity). For $`p=3`$, $`S_3`$ is approximately constant for cells with $`R<3h^1`$Mpc. At larger $`R`$, $`S_3`$ increases with radius. This behaviour is mirrored for $`p>3`$, with the upturn in $`S_p`$ seen at progressively smaller radii as $`p`$ increases. Perturbation theory predicts that, on large scales, the $`S_p`$ should have only a weak dependence on scale for CDM-like power spectra (Juszkiewicz, Bouchet & Colombi 1993). In redshift space, the hierarchical amplitudes are expected to be approximately independent of scale over an even wider range of scales than those on which perturbation theory is applicable (Hoyle et al. 2000; Bernardeau et al. 2004). We therefore attempt to fit a constant value of $`S_p`$ to the ratios plotted in Fig. 3. We use a principal component analysis to take into account the correlation between the $`\overline{\xi }_p`$ in neighbouring bins (e.g. Porciani & Givalisco 2002; for further details of our implementation see Croton et al. 2004a). The results of this analysis are given in Table 1. In Fig. 3, the horizontal lines show the best fit constant value for $`S_p`$, fitted over the scales $`0.71<(R/h^1\mathrm{Mpc})<7.1`$. The same range of scales is used to fit the $`S_p`$ for each order $`p`$. (The choice of scales is set by the cell radii for which a reliable measurement of $`\overline{\xi }_6`$ is possible.) The dotted lines indicate the $`1\sigma `$ uncertainty on the fit. The errorbars plotted in Fig. 3 show only the diagonal component of the full covariance matrix. The amplitudes $`S_p`$ are extremely correlated, with the principal component analysis showing that the first few eigenvectors contain the bulk of the variance, indicating that there are typically just 2 or 3 independent points. Sample variance leads to measurements which could be coherently shifted either low or high with respect to a fixed value. This therefore drives the best fit value of $`S_p`$ to lie either below or above a sizeable fraction of the data points. For the $`L_{}`$ sample, we note that neither $`S_3`$ nor $`S_4`$ are particularly well described by a constant fit (see the reduced $`\chi ^2`$ values in Table 1).

For purely illustrative purposes, we have carried out the experiment of removing the two superclusters from the $`L_{}`$ volume limited sample and repeating our measurement of the higher order correlation functions. The corresponding results for the hierarchical amplitudes are plotted using open symbols in Fig. 3. The upturn in the $`S_p`$ values at large radii is no longer apparent. Rather than being considered as a correction, the results of this exercise simply serve to show the influence of the supercluster regions on our measurements of the $`\overline{\xi }_p`$. Where the difference matters, it effectively indicates that the volume of even the 2dFGRS is too small to yield a robust higher-order clustering measurement. A further discussion of this test is given by Croton et al. (2004a).

Armed with the best fit values of $`S_p`$, the hierarchical model stated in Eq. 1 can be used to make predictions for the form of the higher order correlation functions and compare these with the measurements from the 2dFGRS $`L_{}`$ galaxy sample (symbols in Fig. 4, reproduced from Fig. 2). The solid lines in Fig. 4 show the $`\overline{\xi }_p`$ predicted from the hierarchical scaling relation (Eq. 1), assuming a constant value for the hierarchical amplitudes, $`S_p`$, and using the measured variance, $`\overline{\xi }_2`$. The dotted lines show the uncertainty in the theoretical predictions, derived from the 1$`\sigma `$ error in the fitted values of the $`S_p`$ and the error on the measured variance, $`\overline{\xi }_2`$. The theoretical predictions for the different orders agree spectacularly well with the measured higher order correlation functions over the range of scales for which the $`S_p`$ are fitted.

## 4 Conclusions

We have measured the higher order correlation functions of $`L_{}`$ galaxies up to sixth order in the 2dFGRS. Previous studies of galaxy clustering in redshift space have been limited to fourth order (e.g. for optically selected samples: Gaztañaga 1992; Benoist et al. 1999; Hoyle et al. 2000: for infra-red selected samples: Bouchet et al. 1993; Szapudi et al. 2000). The volume limited sample of $`L_{}`$ galaxies analysed here contains 100 times more galaxies and covers 10 times the volume of the previous best measurements from an optically selected galaxy redshift survey (Hoyle et al. 2000). The measured correlation functions have a form that is in remarkably good agreement with the predictions of hierarchical scaling, and extend to smaller scales than those for which the perturbation theory predictions are expected to be valid (Bernardeau et al. 2002). A similar conclusion was reached by Croton et al. (2004b), who found hierarchical scaling in the reduced void probability function measured in the 2dFGRS.

On scales larger than about $`4h^1`$Mpc, there is an upturn in the values of $`S_p`$, which we have demonstrated is influenced by the presence of two large superclusters in the 2dFGRS (see Fig. 3). This suggests that finite sampling affects our measurements on these scales. A similar feature was found in the angular Edinburgh-Durham Southern Galaxy Catalogue (EDSGC). Szapudi & Gaztañaga (1998) found that the projected $`S_p`$ measured from the EDSGC displayed an up-turn for scales larger than $`0.5`$ degrees, which corresponds to $`4h^1`$Mpc at the characteristic depth of the survey. The EDSGC covers a similar part of the sky to the 2dFGRS. This feature in $`S_p`$ was not found, however, in the APM Survey, which covers a four times larger solid angle than the EDSGC (Gaztañaga 1994). This behaviour is not seen in the mock catalogues drawn from the $`\mathrm{\Lambda }`$CDM Hubble Volume simulation. Intriguingly, an upturn in the hierarchical amplitudes on large scales is expected in structure formation models with non-Gaussian initial density fields (Gaztañaga & Fosalba 1998; Bernardeau et al. 2002).

Finally, we note that the variance of the distribution of cell counts for $`L_{}`$ galaxies is in excellent agreement with the predictions for CDM, obtained from the Hubble Volume $`\mathrm{\Lambda }`$CDM simulation, which includes the effects of peculiar motions on the clustering pattern. However, for cells with radii $`R<10h^1`$Mpc the higher order correlation functions of $`L_{}`$ galaxies have significantly lower amplitudes than the dark matter. This implies that the relation between the distribution of galaxies and the underlying dark matter may be more complicated than the popular linear bias model, suggesting that nonlinear contributions to the bias may be important on small and intermediate scales (Fry & Gaztañaga 1993; see also the analyses by Conway et al. 2004 and Wild et al. 2004). We note that on large scales ($`R>10h^1`$Mpc), the $`\overline{\xi }_p`$ measured for $`L_{}`$ galaxies agree better with the $`\mathrm{\Lambda }`$CDM predictions, supporting the conclusion reached previously, that on these scales, $`L_{}`$ galaxies approximately trace the mass distribution (Gaztañaga & Frieman 1994; Lahav et al. 2002; Verde et al. 2002).

We explore the distribution of galaxy counts in cells for the 2dFGRS in more detail in Croton et al. (2004a), where we study the dependence of the correlation functions on luminosity.

## Acknowledgements

The 2dFGRS was undertaken using the two-degree field spectrograph on the Anglo-Australian Telescope. CMB is supported by a Royal Society University Research Fellowship. DC acknowledges a PhD fellowship from the International Max Planck Research School in Astrophysics. EG acknowledges support from the Spanish Ministerio de Ciencia y Tecnologia, project AYA2002-00850 and EC FEDER funding. PN acknowledges receipt of a Zwicky Fellowship.


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# Stability of adhesion clusters under constant force

## Abstract

We solve the stochastic equations for a cluster of parallel bonds with shared constant loading, rebinding and the completely dissociated state as an absorbing boundary. In the small force regime, cluster lifetime grows only logarithmically with bond number for weak rebinding, but exponentially for strong rebinding. Therefore rebinding is essential to ensure physiological lifetimes. The number of bonds decays exponentially with time for most cases, but in the intermediate force regime, a small increase in loading can lead to much faster decay. This effect might be used by cell-matrix adhesions to induce signaling events through cytoskeletal loading.

Biological systems have to be able to change quickly in response to external stimuli. This is one of the reasons why molecular bonds in biological system are based on non-covalent interactions and have short lifetimes of the order of seconds. In order to achieve long-lived assemblies, cells in multicellular organisms adhere to the extracellular matrix and to each other through clusters of adhesion molecules. The number of receptors in adhesion contacts can range from just a few (e.g. for tethering of leukocytes to vessel walls or in the nascent contacts close to the leading edge of a locomoting cell) to $`10^5`$ (e.g. in mature cell-matrix contacts). Most types of adhesion clusters are coupled to the cytoskeleton and have to function under mechanical load, which leads to exponentially increased dissociation rates Bell (1978). Rebinding of broken bonds is often facilitated by the densely packed arrangement of molecular bonds in the cluster. However, if the cluster operates under force, it is likely to be pulled away by some elastic relaxation process in the moment the last bond has been broken. Therefore the cluster usually cannot rebind from the completely dissociated state. Recently, the interest in the role of force at adhesion clusters has strongly increased also in the biological community, since it has been shown that force at cell-matrix adhesions correlates with contact size and intracellular signaling Galbraith and Sheetz (1998).

Quantitative characterization of adhesion bonds has made tremendous progress during the last decade, mainly on the level of single molecules Florin et al. (1994); Alon et al. (1995); Merkel et al. (1999). Due to the low binding energies of adhesion bonds, thermal activation is important and theoretical models are required to interpret experimental data Evans and Ritchie (1997). In order to make contact with situations of biological interest, the quantitative effort now has to be extended to clusters of adhesion bonds. Clusters also allow to study the effect of rebinding, which is difficult to address on the level of single molecules Evans (2001). Recently, micropipette techniques have been used to study cluster dissociation under a linear ramp of force Prechtel et al. (2002), in good agreement with a theoretical analysis by Seifert Seifert (2000). However, physiological loading of adhesion clusters is usually more or less constant on the timescale of cluster lifetime. The stability of adhesion clusters under constant force has been first modeled by Bell Bell (1978), but his treatment was based on a simplifying deterministic equation for the mean number of bonds.

In this Letter, we present exact and simulation results for a stochastic version of the Bell-model. In contrast to the deterministic model, the stochastic one allows to treat the completely dissociated state as an absorbing boundary. Moreover, it includes fluctuation and non-linear effects which are important for small adhesion clusters. The main objective of this work is to obtain analytical results for generic features of adhesion clusters. We present several new formulae for cluster lifetime as a function of cluster size, rebinding rate and force, which now can be used for quantitative analysis of adhesion experiments. Although we do not address the specific features of cell-matrix adhesions, our model suggests an appealing mechanism by which cells might induce signaling events through cytoskeletal loading.

Following Bell Bell (1978), we consider a cluster with a constant number $`N_0`$ of parallel bonds. At any given time, each of the different bonds can be either open or closed. The constant force $`F`$ applied to the cluster is assumed to be shared equally between the $`i`$ closed bonds ($`0iN_0`$). We assume that a single bond under force $`F`$ ruptures with the dissociation rate $`k=k_0e^{F/iF_b}`$ introduced by Bell Bell (1978), which can be rationalised by modelling bond rupture as thermally activated escape over a sharp transition state barrier Evans and Ritchie (1997). In this framework, the force scale $`F_b=k_BT/x_b`$ is set by thermal energy $`k_BT`$ and the distance $`x_b`$ between the potential minimum and the transition state barrier along the reaction coordinate of rupture. For typical values $`x_b1`$ nm and $`T300`$ K, we find the typical force scale $`F_b4`$ pN. For the single bond association rate $`k_{on}`$, we assume that it is independent of force. Physiological values for both $`k_0`$ and $`k_{on}`$ are expected to be in the $`1/s`$-range. For the following, it is useful to introduce dimensionless time $`\tau =k_0t`$, dimensionless rebinding rate $`\gamma =k_{on}/k_0`$ and dimensionless overall force $`f=F/F_b`$. Since bond rupture is a discrete process, the stochastic dynamics of the bond cluster can be described by a one-step Master equation van Kampen (1992)

$$\frac{dp_i}{d\tau }=r(i+1)p_{i+1}+g(i1)p_{i1}[r(i)+g(i)]p_i$$
(1)
where $`p_i(\tau )`$ is the probability that $`i`$ bonds are closed at time $`\tau `$. The reverse and forward rates between the possible states $`i`$ are

$$r(i)=ie^{f/i},g(i)=\gamma (N_0i).$$
(2)
Depending on the experimental setup, rebinding from the completely dissociated state ($`i=0`$) might be possible (reflecting boundary) or not (absorbing boundary). For $`f=0`$ and a reflecting boundary at $`i=0`$, we deal with natural boundaries, that is given reasonable initial conditions, no special equations are needed to treat the boundaries. For finite $`f`$, $`r(0)=0`$ is required to prevent $`i`$ from becoming negative. An absorbing boundary at $`i=0`$ requires $`g(0)=0`$. The mean number of closed bonds $`N`$ as a function of time $`\tau `$ is $`N=i=_{i=0}^{N_0}ip_i`$. From the Master equation Eq. (1), one can derive

$$\frac{di}{d\tau }=r(i)+g(i).$$
(3)
If $`r`$ and $`g`$ are both linear functions in $`i`$, Eq. (3) becomes an ordinary differential equation for $`N`$. This suggests to study the following deterministic equation

$$\frac{dN}{d\tau }=Ne^{f/N}+\gamma (N_0N)$$
(4)
as has been done by Bell Bell (1978) for constant loading and by Seifert Seifert (2000) for linear loading. However, for finite force $`f`$ solution of Eq. (4) does not give the correct result for the first moment, since then the rate $`r`$ defined in Eq. (2) is non-linear in $`i`$ and the average in Eq. (3) cannot be taken. More importantly, a differential equation like Eq. (4) follows from the stochastic equations only in the case of natural boundaries. In order to treat the biologically relevant case of an absorbing boundary, one therefore has to study the stochastic description Eq. (1).

A full stochastic solution amounts to finding the set of state probabilities $`p_i(\tau )`$ as a function of the three dimensionless parameters $`N_0`$, $`\gamma `$ and $`f`$. For force $`f=0`$ and a reflecting boundary, the solution results from the generating function given by McQuarrie McQuarrie (1963):

$$p_i(\tau )=\left(\genfrac{}{}{0pt}{}{N_0}{i}\right)\frac{\left(\gamma +e^{(1+\gamma )\tau }\right)^i\left(1e^{(1+\gamma )\tau }\right)^{N_0i}}{(1+\gamma )^{N_0}}.$$
(5)
Here and in the following we use the initial condition $`N(0)=N_0`$. If also rebinding $`\gamma =0`$, then we deal with the simple case of independently decaying bonds. Fig. 2a shows that in this case, a cluster with $`10`$ bonds decays from $`i=10`$ to $`0`$ by visiting each of the intermediate states to an appreciable degree. In order to stabilize the cluster, one has to introduce rebinding. Then there is fast relaxation to a stable stationary state, as shown in Fig. 2b for $`\gamma =1`$. For the biologically relevant case of an absorbing boundary, a stable stationary state does not exist and the cluster will always dissociate on the long run. In this case, one has to solve the first passage problem of reaching the state $`i=0`$ for the first time. This can be done semi-analytically by using Laplace transforms, where the last backtransform has to be done numerically. Alternatively, one can solve the Master equation numerically by the Monte Carlo method (most efficiently with the Gillespie algorithm Gillespie (1977)), as we always do in the general case, when both rebinding $`\gamma `$ and force $`f`$ are finite. Fig. 2c shows that in this case, the plateaus from Fig. 2b tilt downward, while $`p_0`$ increases steadily with time $`\tau `$. Stability further decreases if force $`f`$ is turned on. For very large force, rebinding (including the boundary type at $`i=0`$) becomes irrelevant, because the reverse rate $`r`$ dominates the forward rate $`g`$. Using a recursive scheme to construct $`p_i`$ from $`p_{i1}`$, for $`\gamma =0`$ we find

$$p_i(\tau )=\left(\underset{j=i+1}{\overset{N_0}{}}r(j)\right)\underset{j=i}{\overset{N_0}{}}\left\{\underset{\begin{array}{c}k=i\\ kj\end{array}}{\overset{N_0}{}}\frac{e^{r(j)\tau }}{r(k)r(j)}\right\}.$$
(6)
The probability for cluster dissociation at time $`\tau `$ is $`p_1(\tau )r(1)`$. Setting $`i=1`$ in Eq. (6) and using Eq. (2), one obtains a formula which has been given before in Ref. Tees et al. (2001). Fig. 2d shows, for the case $`f=50`$, that now the cluster decays very rapidly, with only few of the intermediate states being visited to an appreciable degree.

Once the set of state probabilities $`p_i(\tau )`$ is known, one can calculate any quantity of interest, in particular the mean number of closed bonds $`N`$ as a function of time $`\tau `$. We find that $`N(\tau )`$ usually decays exponentially. This is demonstrated in Fig. 3a for the case $`f=0`$. The origin of the exponential decay can be understood as follows: first the system equilibrates into a binomial distribution peaked around $`N_{eq}=\gamma N_0/(1+\gamma )`$ as described by the result for the reflecting boundary, that is Eq. (5). The lower tail of this distribution then ’leaks’ into the state $`i=0`$ due to the absorbing boundary. The smaller $`N_0`$ or $`\gamma `$, the larger the tail contribution at $`i=1`$ and the faster the systems loses realizations to the absorbing boundary. The resulting decay can be approximated by $`N(\tau )N_{eq}e^{a\tau }`$ with $`ap_1(\mathrm{})`$ from Eq. (5). For the values of $`N_0`$ used in Fig. 3a, one finds $`a4.6\times 10^4,9.7\times 10^3,0.16`$ and $`0.5`$ for $`N_0=2,5,10`$ and $`15`$. Numerically we find $`a=2.5\times 10^4,8.5\times 10^3,0.13`$ and $`0.6`$, thus the leakage estimate is rather good.

In order to assess the role of fluctuations, it is instructive to study single simulation trajectories. Since we use the Gillespie algorithm for exact stochastic simulations Gillespie (1977), they are expected to resemble experimental trajectories. Fig. 3b shows that for large cluster size and small force, typical trajectories fluctuate around a plateau value close to $`N_{eq}`$. However, for small cluster sizes, fluctuations to smaller bond numbers lead to fast loss of realizations to the absorbing boundary. Final decay is rather abrupt due to force-accelerated rupture for decreasing bond numbers. Fig. 3c shows that for sufficiently large force, also the large clusters decay quickly. The loss of stability for any cluster size follows from Bell’s stability analysis of the deterministic equation Eq. (4), which yields a critical force $`f_c=N_0\mathrm{plog}(\gamma /\mathrm{e})`$ Bell (1978), where the product logarithm $`\mathrm{plog}(\mathrm{a})`$ is defined as the solution $`x`$ of $`xe^x=a`$. For typical values of $`N_0`$ and $`\gamma `$, $`f_c`$ belongs to the intermediate force regime, $`1<f<N_0`$. For $`\gamma =1`$, we have $`f_c/N_0=0.278`$. Fig. 3b and c are below and above the critical force, respectively. In contrast to Bell’s continuum analysis, our stochastic analysis shows that for small clusters a small increase in loading can lead to the fast decay characteristic for the case without rebinding also for forces below $`f_c`$. Fig. 3d compares $`N(\tau )`$ as obtained from simulations to $`N(\tau )`$ as obtained from numerical integration of the deterministic equation Eq. (4). This shows that stochastic and deterministic results differ also on the level of the first moment.

The quantity of largest practical interest is cluster lifetime $`T`$ as a function of the model parameters $`N_0`$, $`\gamma `$ and $`f`$. In general, $`T`$ can be calculated from the adjoint Master equation van Kampen (1992). For $`N_0=2`$ and $`3`$, the solutions can also be found by directly summing with appropriate weights over all possible dissociation paths, each of which is a sequence of Poisson processes. For $`N_0=2`$ we find

$$T=\frac{1}{2}\left(e^{f/2}+2e^f+\gamma e^{3f/2}\right).$$
(7)
For $`N_04`$, the direct procedure becomes intractable. However, in the case of vanishing rebinding ($`\gamma =0`$), there is only one dissocation path and the exact solution is simply $`T=_{i=1}^{N_0}1/r(i)`$ for all values of $`N_0`$ Tees et al. (2001). In Fig. 4a we plot $`T`$ as a function of $`f/N_0`$ for different cluster sizes $`N_0`$. In the small force regime, $`f<1`$, $`T`$ plateaus at the value $`H_{N_0}=_{i=1}^{N_0}1/i\mathrm{ln}N_0+1/(2N_0)+\mathrm{\Gamma }`$. Here $`H_{N_0}`$ are the harmonic numbers and $`\mathrm{\Gamma }=0.577`$ is Euler’s constant. In this regime, $`T`$ depends only weakly (logarithmically) on $`N_0`$ and large cluster sizes are required to achieve long lifetimes Goldstein and Wofsy (1996); Tees et al. (2001). In the intermediate force regime, $`1<f<N_0`$, we find $`TH_{N_0}H_f\mathrm{ln}(N_0/f)`$. Here the effective cluster size is reduced to $`N_0/f`$, because the cluster dissociates very rapidly for $`i<f`$. In the high force regime, $`f>N_0`$, only the term with $`i=N_0`$ contributes: if the first bond breaks, all remaining bonds break within no time. The destabilizing effect of force can be counteracted by rebinding. In the case of vanishing force ($`f=0`$), the solution can also be found by using Laplace transforms van Kampen (1992). We find

$$T=\frac{1}{1+\gamma }\left(\underset{n=1}{\overset{N_0}{}}\left\{\left(\genfrac{}{}{0pt}{}{N_0}{n}\right)\frac{\gamma ^n}{n}\right\}+H_{N_0}\right).$$
(8)
For $`\gamma =0`$, we recover the result $`T=H_{N_0}`$ from above. For $`N_0=2`$, we get the result $`T=(3+\gamma )/2`$ following from Eq. (7). In general, $`T`$ scales $`\gamma ^{N_01}`$ with rebinding rate. In Fig. 4b we plot $`T`$ as a function of $`N_0`$ for different values of $`\gamma `$. For $`\gamma <1`$, the logarithmic dependence of $`T`$ on $`N_0`$ is valid over a wide range of cluster size. However, for very large clusters, lifetime starts growing exponentially with $`N_0`$. For $`\gamma >1`$, this strong increase of $`T`$ with $`N_0`$ is found for any value of $`N_0`$. Therefore increasing rebinding is much more effective than increasing cluster size in achieving cluster stability, and essential to ensure physiological cluster lifetimes with reasonable numbers of bonds. For example, in the absence of both force and rebinding and if the lifetime of each bond was $`1`$ s ($`k_0=1`$ Hz), Eq. (8) predicts that the astronomical number of $`10^{40000}`$ independent bonds would be needed to achieve a cluster lifetime of one day ($`T10^5`$ s). In contrast, for $`k_{on}=1`$ Hz ($`\gamma =1`$), the same cluster lifetime $`T`$ is achieved by $`N_0=20`$. If rebinding is ten times slower than unbinding ($`\gamma =0.1`$), cluster lifetime $`T`$ is down to $`7`$ s and one needs $`N_0=150`$ bonds to regain a cluster lifetime of one day. In this way, knowing cluster lifetime and two out of the three parameters $`N_0`$, $`\gamma `$ and $`f`$ allows to estimate the unknown one.

Our model is also relevant for cell adhesion if initial loading is much faster than cluster lifetime (otherwise the assumption of constant force is not valid) and if cluster decay is much faster than potential reinforcement process (otherwise the assumption of constant cluster size is not valid). One example which might satisfy these conditions is L-selectin mediated leukocyte tethering in shear flow Dwir et al. (2003). Our assumptions do certainly not hold for cell-matrix adhesions, which have been shown to grow rather than to decay under the effect of force Galbraith and Sheetz (1998). Although the specific processes at work at cell-matrix processes are not the subject of this work, our model suggests that the stress constant $`5.5`$ nN/$`\mu m^2`$ recently measured on elastic substrates for the physiological loading of cell-matrix contacts through the cell’s own contractile machinery Balaban et al. (2001) might be close to the critical force $`f_c=N_0\mathrm{plog}(\gamma /\mathrm{e})`$, because then small changes in cytoskeletal loading would result in strongly accelerated cluster decay. Increased force on a subset of bonds might in turn induce signaling events (possibly through mechanical opening-up of protein domains) leading to subsequent recruitment of additional bonds. Recent single molecule experiments for activated $`\alpha _5\beta _1`$-integrin binding to fibronectin gave $`k_0=0.012`$ Hz and $`F_b=9`$ pN Li et al. (2003). Setting $`F_c=5.5`$ nN and using $`N_0=10^4`$, we predict $`\gamma =0.2`$, corresponding to a rebinding rate $`k_{on}=0.002`$ Hz.

This work was supported by the German Science Foundation through the Emmy Noether Program.


text:
# Citation measures and impact within astronomy

## 1 Introduction

What makes a good paper? No objective measure is ever going to be perfect but being cited in another paper at least indicates that the work has been noticed and thought to be worth mentioning. Papers with many citations are, in general, likely to be more useful and interesting than those that sink without a trace. This is much the same system as that used successfully by fast internet search engines to score sites so that they can provide a list ordered by usefulness; those sites which many people link to get a high score and appear near the top of the returned list. Such a system is admittedly far from perfect, as it can be influenced by many factors such as having a large number of friends who cite you, self-citing your own papers excessively or producing a very good paper that concludes an avenue of research in such a way that it doesn’t form the basis for a large body of subsequent endeavour. That said, there is undoubtedly a trend; papers with high citation counts tend to be better written, more interesting and useful than those that never get referred to again.

In section 2 I first look at citation classics, the 1000 most cited astronomy papers according to the ADS. Next I examine the citation counts for refereed astronomy papers published since 1970. From this the number of citations received by 1-in-10, 1-in-100 and 1-in-1000 papers can be obtained, and are shown in table 1. The number of citations received by papers of a specified age is also shown, where the age stated defines the centre of a one year range (so 2 years ago means papers published between 18 and 30 months ago).

When can a researcher be said to have a high ongoing impact on the field? This question is even harder to answer, but a sequence of well cited papers would be a good start. In section 3 I suggest two measures of current impact on the field which are calculated by tallying up a researchers total citations or normalised total citations over a rolling five year interval. I calculate these numbers for a random sample of over 5000 astronomers with current publications in order to produce likelihood curves.

## 2 Citation classics

Quite how a paper passes into folklore and becomes a citation classic is difficult to determine. To enter the ranks of the 1000 most cited astronomical papers in the ADS archive requires a paper to have obtained 257 citations (as of november 2003, when the archive contained 439746 papers). For the purposes of this study, papers are defined to be those found in the astronomy/planetary ADS archive, published in all refereed journals. Citations counts are those returned by ADS. It should be noted that these citation counts are not complete, with some references omitted because the citing journal is not within the ADS database or because an older article has only been scanned at present. Inaccuracies in the citing papers reference list can also lead to missed citations. The ADS does contain complete reference lists for all the major astrophysics journals back to issue 1.

Figure 1 shows the distribution by publication year of the 1000 most cited astronomical papers. This peaks around 1985, a year which contributes nearly 50 papers to the total. It takes around a decade for the number of citation classics per year to rise to over 30, a figure which tallies well with the 5 year timescale required to reach a maximum citation rate followed by a slow decline (Abt 1981).

The oldest of these (Chandrasekhar 1943), ‘Stochastic Problems in Physics and Astronomy’, is a true classic, with over 900 citations, whilst the second oldest (Bondi & Hoyle 1944), ‘On the mechanism of accretion by stars’ will most likely soon drop out of the list as it ‘only’ has 284 citations. Papers published this long ago are likely to have many contemporary citations missed as they have not yet been entered into the archive. The most recently published additions to the list are Ahmad et al. (2001) – (for neutrino measurements) and Freedman et al. (2001) – (measuring the Hubble constant), with just over 300 citations each.

Many of the most highly cited papers in this list are measurements of fundamental parameters - Kurucz 1979, ‘Model atmospheres for G, F, A, B, and O stars’, Anders & Grevesse 1989, ‘Abundances of the elements \- Meteoritic and solar’, Landolt 1992, ‘UBVRI photometric standard stars in the magnitude range 11.5-16.0 around the celestial equator’, Savage & Mathis, 1979 ‘Observed properties of interstellar dust’ and Draine & Lee, 1984, ‘Optical properties of interstellar graphite and silicate grains’, are all in the top 10 most cited papers.

How many citations do more normal papers receive? Using the counts in the ADS archive I have calculated the likelihood of a paper achieving a specified number of citations for all papers in the archive published since 1970. I have also calculated these likelihoods for papers of a specified age, plus or minus six months. Nowadays there are roughly 15,000 papers published per year, falling to 10,000 and 8,500 ten and twenty years ago. Figure 2 shows these likelihoods for a range of ages as well as the long term average (bold line) and the required number of citations to cross certain thresholds are given in table 1. One-in-ten papers published five years ago has now received 26 citations, with one-in-100 getting more than 91 and one-in-1000 more than 253 citations.

## 3 Good researchers

Defining a rating system for researchers is a subject fraught with danger as any single proposed scheme is bound to contain inconsistencies. Here I attempt to come up with a scheme that provides a general guideline. An individual high score on either of the metrics should be subject to further examination and should only be treated as an indication - a researcher in the top few percent of both metrics is likely to be far more widely known than one in the bottom half.

The basis of both schemes described here is to only consider papers published in refereed journals within a rolling five year time interval. This timespan is set to start five and a half years before the current time and finish six months ago (as there are almost no citations in the first six months after publication). The citation score is then calculated by summing up the total number of citations for those papers up to the current date using the automatic facility built in to ADS. This procedure is achieved by going to the page; http://ukads.nottingham.ac.uk/abstract\_service.html, typing a name in the author field and (in November 2003) the dates 06/1998 and 05/2003 as the range of publication dates. The “select references from” field needs to be changed to “All refereed journals” and sorting done by citation count. This should return figures for the number of papers found and the total number of citations for those papers. There will also be an ordered list of the papers, each with its own citation count, although this information is not used here. A second measure, the normalised citation score is calculated by weighting each paper by the number of authors, reducing the impact of large collaborations which often produce a large number of papers. No attempt is made to remove self citations, however gratuitous (Pearce et al. 2000).

The difficult part of this study is obtaining a useful list of names to feed to the algorithm. I have taken all the unique names plus first initial contributing two or more items to the ADS for authors whose surname starts with A, B or C. In addition, I have also disabled synonym matching on author names, which avoids pattern matching on middle initials and phonetic pronunciation matching. This procedure will combine authors with names such as Martin, A. S. and Martin, A. C. together, but such very similar names appear to be rare, at least when both are successful. I have checked that results near the top of the study suffer no detectable contamination.

The final list of 18,346 names is automatically passed to the ADS server which returns citation and normalised citation figures as detailed above. Not all these astronomers have published during the five year period, as the source list of names spans the entire database. In total 5136, or roughly 30% of the authors have published two or more refereed papers in the study period. Figures 3 & 4 below show the likelihood of achieving different citation and normalised citation counts respectively, both for all the authors with two or more citations and for the 2467 active researchers who published at least one paper a year over the study period.

As table 1 lists, ten percent of astronomers with two or more refereed papers in the last five years received more than 231 citations, with this figure rising to 382 for active researchers. Similarly, one-in-ten publishing astronomers receive more than 40 normalised citations in the same period.

## 4 Conclusions

By extracting citation counts from the ADS I have produced a list of the 1000 most cited astronomical papers and produced likelihoods for papers receiving a certain number of citations as a function of the number of years that have elapsed since publication.

In this short work I have calculated two easily determined measures of success within the astronomical community. Although these numbers should be treated carefully they do at least provide some indication of the impact of a particular researcher on the field and relative to their contemporaries. The numbers derived here are simply reproducible for any given person and comparisons can be made against the averages for the community as a whole.

## Acknowledgements

This research has made use of NASA’s Astrophysics Data System and arose out of discussion with Duncan Forbes over relevant measures of success for use in funding battles.

## References

Abt, H. A. 1981, PASP, 93, 207

Ahmad, Q. R. et al. 2001, Physical Review Letters, 87, 71301

Anders, E. & Grevesse, N. 1989, GCA, 53, 197

Bondi, H. & Hoyle, F. 1944, MNRAS, 104, 273

Chandrasekhar, S. 1943, Reviews of Modern Physics, 15, 1

Draine, B. T. & Lee, H. M. 1984, ApJ, 285, 89

Freedman, W. L. et al. 2001, ApJ, 553, 47

Kurucz, R. L. 1979, ApJS, 40, 1

Landolt, A. U. 1992, AJ, 104, 340

Pearce, F. R., Thomas, P. A., Couchman, H. M. P., & Edge, A. C. 2000, MNRAS, 317, 1029

Savage, B. D. & Mathis, J. S. 1979, ARAA, 17, 73


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# On pricing of interest rate derivatives

## 1 Introduction

In financial theory and practice, interest rates are a very important subject which can be approached from several different perspectives. The classical theoretical approach models the term structure of interest rates using stochastic processes. Various models have been proposed and can be found in . Although they provide analytical formulas for the pricing of interest rate derivatives, the implied deformations of the term structure have a Brownian motion component and are often rejected by empirical data (see ). The inadequacies of the Gaussian model for the description of financial time series has been reported since a long time ago by Mandelbrot , but thanks to the availability of large sets of financial data, the interest on this point has risen recently . In particular, the fat-tail property of the empirical distribution of price changes has been widely documented and is a crucial feature for monitoring the extreme risks and for accurately pricing interest rate derivatives. An important recent development in the pricing of interest rate derivatives is the emergence of models that incorporate lognormal volatilities for forward LIBOR or forward swap rates while keeping interest rates stable . To our knowledge, up to now, no universally accepted theory has been obtained for the description of interest rates data .

In this framework, we have empirically studied the probability density distribution of LIBOR, in order to characterize the stochastic behavior of the daily fluctuations. In Section 2, we present the data set and the data analysis. Section 3 contains a short discussion of a possible IR derivative pricing scheme using martingale methods.

## 2 Empirical findings

LIBOR stands for the London Interbank Offered Rate and is the rate of interest at which banks are willing to offer deposits to other prime banks, in marketable size, in the London interbank market. BBA (British Bankers’ Association) LIBOR  is the most widely used benchmark or reference rate. It is used as the basis for settlement of interest rate contracts on many of the world’s major future and option exchanges as well as most Over the Counter and lending transactions.

BBA LIBOR is compiled each working day and broadcast through ten international distribution networks. BBA LIBOR fixings are provided in seven international currencies: Pound Sterling, US Dollar, Japanese Yen, Swiss Franc, Canadian Dollar, Australian Dollar, EURO. LIBOR rates are fixed for each currency at monthly maturities from one month to $`12`$ months. Rates shall be contributed in decimal to at least two decimal places but no more than five. In the following, we have analyzed a data set of LIBOR interest rates $`r(T,t)`$, where $`T`$ is the maturity date and $`t`$ the current date, for EURO and Pound Sterling. These data are shown in Fig.1 where $`t`$ goes from January 2, $`1997`$ to September $`17`$, $`1999`$, and $`T`$ assumes the following values: $`1`$, $`3`$, $`6`$, $`9`$ and $`12`$ months for the Pound Sterling and $`1`$, $`3`$, $`6`$, $`12`$ months for the EURO. In Fig.2 the 1-month LIBOR is compared to the interest rates fixed by Central Banks at that time, namely the REPO (repurchase agreement) data. It is quite evident that BBA LIBOR follows the trend determined by the decisions of Central Banks. In order to roughly eliminate these trends, in Fig.3 the interest rates differences $`\mathrm{\Delta }r(T,t)`$=$`r(T,t+\mathrm{\Delta }t)r(T,t)`$, with $`\mathrm{\Delta }t`$ being $`1`$ day and $`T`$=$`1`$ month, are plotted as a function of the current date, for the EURO and the Pound Sterling, respectively. A similar behavior is also found for the other maturities. Some large oscillations of $`\mathrm{\Delta }r`$ are induced by Central Banks. In any case, $`\mathrm{\Delta }r`$ heavily fluctuates around zero. We focus the attention on the probability distribution behavior of the interest rates increments $`\mathrm{\Delta }r(T,t)`$.

To this purpose, we estimate $`\mathrm{\Psi }(\mathrm{\Delta }r)`$, the complementary cumulative distribution function of the daily interest rates increments, defined as:

$$\mathrm{\Psi }(\mathrm{\Delta }r)=1_{\mathrm{}}^{\mathrm{\Delta }r}p(\eta )𝑑\eta $$
(1)
where $`p`$ is the probability density of $`\mathrm{\Delta }r(T,t)`$. Because LIBOR data are supplied with only few decimal digits, it is interesting to examine the effects of different data cut-offs in the behavior of $`\mathrm{\Psi }(\mathrm{\Delta }r)`$. In Fig.4, we plot the complementary cumulative distribution function for a simulated Gaussian stochastic process using data characterized by three different decimal digit precisions.

It turns out that the numerical rounding does not influence the results. Fig.5 shows the tail distribution behaviors in the case of EURO and Sterling Pound, respectively. In particular, in Fig.5 (Left side), we report the empirical results obtained estimating the probability density function of both positive and negative LIBOR increments with $`\mathrm{\Delta }t`$=$`1`$ day and $`T`$=$`1`$ month. These empirical curves are slightly asymmetric and the negative variations are more probable than the positive one. In the same figure, these two curves are compared with the equivalent (i.e. with the same average and standard deviation) Gaussian complementary cumulative distribution. The non-Gaussian behavior is also evident from Fig.5 (Right side). In both Figures 5, the empirical LIBOR data exhibit a fat tail or leptokurtic character, which is present for the other maturities as well. These observations indicate that the random behavior of $`\mathrm{\Delta }r(T,t)`$ is non-Gaussian and that using a Gaussian probability density function leads to underestimating the probability of large fluctuations. For a better understanding of the deviations from a pure Brownian motion and what kind of stochastic process we are dealing with, we analyze the power spectral density behavior. The power spectra , $`S(f)`$, for both $`r(1,t)`$ and $`\mathrm{\Delta }r(1,t)`$ are reported in Fig.6 for the EURO and in Fig.7 for the Sterling Pound. For $`r`$ the spectral density shows a power law behavior. A linear fit gives a slope value $`\alpha =1.80\pm 0.02`$ and $`\alpha =1.79\pm 0.01`$ for EURO and Sterling Pound, respectively. A similar result holds for the other maturities. Therefore, we argue that the power spectrum analysis for $`r(T,t)`$ indicates a stochastic process with spectral components decreasing as $`S(f)f^\alpha `$ . The power spectrum for the increments (Figs.6 and 7 (Right)) is flat, typical of a white noise process. These results are also corroborated by a similar analysis performed on Eurodollars interest rates for a longer time period .

## 3 Discussion

In the previous section, we have shown that the daily increment of the interest rate series is non-Gaussian, non-Brownian and follows a leptokurtic distribution. The problem arises of how derivatives written on interest rates can be evaluated, given that the usual Gaussian white-noise assumption of many models is not satisfied. Indeed, a first partial answer, is that the central limit theorem ensures that, after a sufficiently long time, the increment distribution will tend to a Gaussian distribution. However, if the time horizon of derivative evaluation is not appropriate, deviations from the Gaussian behavior may lead to a dramatic underestimate of large increments with a consequent improper risk coverage as well as option price estimate. Although well studied in mainstream finance, this problem has received much attention in recent times, within the community of physicists working on financial problems. In particular, Bouchaud and Sornette  suggested the direct use of the historical probability measure, rather than the equivalent martingale measure for evaluating options. In this way, one gets an option price depending on the expected rate of returns, a consequence which is not fully desirable due to the subjective character of that rate. Assessing trends is a difficult task, as they depend on decision taken by Central Banks (as shown in Fig.2) and are based on macroeconomic effects. Thus, martingale methods could prove more reliable. As early as 1977, some years after the seminal paper of Black and Scholes, Parkinson generalized their approach to option pricing and explicitly took into account leptokurtic distributions . More recently, Boyarchenko and Levendorskii have studied the problem of option pricing in the presence of a specific distribution which seems to fit well the empirical data in many instances: the truncated Lévy distribution . Wim Schoutens has recently published a book on Lévy processes in finance devoted to the extension of martingale methods to a large class of leptokurtic distributions .

The method can be described from a heuristic point of view. Let $`S(t)`$ denote the stochastic process underlying a contingent claim $`C(S,t)`$; thus, $`S(t)`$ can be a price process, an interest rate process, etc.. Let $`X(t)=\mathrm{log}S(t)`$ be the corresponding logarithmic process. Let further $`p(x,t)`$ be the probability density of finding the value $`x`$ of the random variable $`X`$ at time $`t`$ (this is a conditional probability density in $`x`$ with respect to suitable initial conditions; here, $`X(0)=0`$). This density defines the probability measure $`𝐏`$. It is possible to show that, if the following relation holds true:

$$E_𝐏\{\mathrm{exp}[aX(t)]\}=_{\mathrm{}}^+\mathrm{}\mathrm{exp}(ax)p(x,t)𝑑x=\mathrm{exp}[g(a)t]$$
(2)
where $`E_𝐏`$ denotes the expectation operator with respect to $`𝐏`$, $`a`$ is a complex number and $`g(a)`$ a complex function of $`a`$, then the process $`\xi (t,a)=\mathrm{exp}[aX(t)g(a)]`$ is a martingale with respect to the measure $`𝐏`$. Therefore, as a consequence of Girsanov’s theorem, we can build an equivalent martingale measure $`𝐐_{T,a}`$ such that the Radon-Nikodym derivative $`d𝐐_{T,a}/d𝐏`$ is given by:

$$\frac{d𝐐_{T,a}}{d𝐏}=\xi (T,a).$$
(3)
In order to price a contingent claim written on $`S(t)=S(0)\mathrm{exp}[X(t)]`$, we require that the discounted process $`S_d(t)`$ is a martingale with respect to the measure $`𝐐_{T,a}`$. This is equivalent to the requirement that the process $`\xi (t,a)S_d(t)`$ is a martingale with respect to $`𝐏`$. In this paper, we have shown that interest rates are fluctuating variables. However, just for the sake of simplicity, let us consider a fixed interest rate $`r`$. In this particular case, the martingale condition is equivalent to the following equation:

$$g(a+1)g(a)r=0.$$
(4)
In other words, if it is possible to determine a single value of $`a`$ such that Eq. (4) is satisfied, the measure $`𝐐_{T,a}`$ exists and is unique. For instance, if $`S(t)`$ is described by geometric Brownian motion with drift $`\mu `$ and volatility $`\sigma `$, we have $`g(a)=\mu a(ia\sigma )^2/2`$ and there is a unique solution of Eq. (4): $`a=(\mu +\sigma ^2/2r)/\sigma ^2`$. The reader is referred to  for the case of truncated Lévy processes. Then, under the requirement that $`C(S,t)`$ be a martingale with respect to the measure $`𝐐_{T,a}`$, one can find the price of the contingent claim. If $`C_d(S,t)`$ is the discounted process, we have:

$$C_d(S,t)=\xi ^1(t,a)E_𝐏[\xi (T,a)C_d(S,T)|F_t]$$
(5)
where $`F_t`$ is the appropriate filtration.

The technique has been already applied to derivatives written on interest rates, here, we outline the generalization of a popular IR model: the Heath, Jarrow and Morton (HJM) model, following Eberlein and Reible . Within this model, the zero-coupon bond price $`P(T,t)`$ is given by:

$$P(T,t)=P(T,0)\mathrm{exp}\left[_0^tr(s,s)𝑑s\right]\frac{\mathrm{exp}[_0^t\sigma (T,s)𝑑W_s]}{E\{\mathrm{exp}[_0^t\sigma (T,s)𝑑W_s]\}},$$
(6)
where $`\sigma (T,t)`$ is the bond volatility structure, $`W_t`$ is the Wiener process, $`E`$ is the expectation operator and $`r(s):=r(s,s)`$. Note that $`r(T,t)`$ has been interpreted as the instantaneous forward rate $`f(T,t)`$. The Wiener process can be replaced by a leptokurtic Lévy process $`L_t`$, such that the expectation in the denominator is finite. In this case, it is possible to show that the discounted bond-price process is a martingale and that the martingale measure is unique . Also, the European vanilla call option price on a bond maturing at time $`T`$ can be obtained . Along these lines, we believe, it is possible to develop a consistent option pricing theory taking into account the leptokurtic character of the empirical short to mid-term interest rate distributions.

## Acknowledgements

We thank the Risk Management division of Banca Intesa (Milano, Italy) for providing us the data. This work was partially supported by grants from the Italian M.I.U.R. Project COFIN 2003 “Order and Chaos in nonlinear extended systems: coherent structures, weak stochasticity and anomalous transport” and by the Italian M.I.U.R. F.I.S.R. Project “Ultra-high frequency dynamics of financial markets”.


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# Model-independent methods to measure the 𝑃-parity of the Θ⁺-pentaquark in photoproduction experiments

## Abstract

We discuss model independent methods to measure the $`P`$-parity of the $`\mathrm{\Theta }^+`$-pentaquark, in the simplest processes of photoproduction, $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$, using definite relations between T-even polarization observables, which depend on the $`P`$-parity of the $`\mathrm{\Theta }^+`$ baryon (with respect to the $`NK`$ system). One method, which holds for any photon energy and any $`K`$ meson production angle, is based on the relation between the $`\mathrm{\Sigma }_B`$ asymmetry (induced by a linearly polarized photon beam, with unpolarized target) and the $`D_{nn}`$ component of the depolarization tensor (for unpolarized photon beam). Another method, which applies in collinear kinematics (or in threshold conditions), is related to the sign of the $`D_{nn}`$ component, with linearly polarized photon beam.

The experimental determination of the $`P`$-parity of the $`\mathrm{\Theta }^+`$-pentaquark is important for the understanding of the underlying structure of this resonance Di97 ; Ja03 ; St03 ; Ho03 ; Cs03 ; Sa03 ; Zh03a ; Bi03 , therefore, several suggestions concerning different processes, have been recently proposed in the literature Zh03 .

The simplest photoproduction reaction of the $`\mathrm{\Theta }^+`$-baryon, $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$, is in principle interesting for the determination of the $`\mathrm{\Theta }^+`$ parity: all the observables (the differential cross section and the polarization effects) depend of course on the $`P`$-parity. However different models give different predictions on the angular and $`E_\gamma `$ behavior of the observables. Presently, the choice of a reliable model for the considered reaction is extremely difficult - due to the absence of the necessary experimental information: too much freedom is left in building a model, from the choice of an adequate approach to the knowledge of necessary coupling constants and phenomenological form factors. In this way, the determination of the P-parity would be ambiguous, because model dependent.

A similar example is given by photo- end electro-production of strange particles, where a wide number of different models give a comparable description of the available data. Different reaction mechanisms with many unknown parameters and constants (to be determined from the data), have been suggested, but their predictive power is quite poor, and any new experimental information require, as a rule, to update the fitting procedure Sa03b .

One can note that, in the first studies on photo- end electro-production of strange particles, both possibilities on the K-meson $`P`$-parity, $`P(K)=\pm 1`$, were systematically considered in the theoretical analysis Fa61 . Later on, many data on $`\gamma +NK+Y`$ and $`e^{}+Ne^{}+K+Y`$, ($`Y=\mathrm{\Lambda }`$ or $`\mathrm{\Sigma }`$ hyperon) were collected. Their phenomenological interpretation relies on the negative $`P`$-parity of the $`K`$ meson (or, more exactly, the relative $`P`$-parity with respect to the $`NY`$ system). There is a so large arbitrariness in the theoretical approaches, that it is, a priori, commonly assumed, for simplicity, that the $`K`$ meson $`P`$ parity is negative. Following the quark model, the $`K`$ meson is considered to be a pseudoscalar particle. But, in our opinion, the existing data and models on photo- and electro-production of strange particles can not be considered a proof of the pseudoscalar nature of the $`K`$-meson. The situation for $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$ is, in this respect, even more arbitrary, due to the lack of experimental data.

The same situation exists with charmed particles, mesons and baryons, because the $`P`$-parity of the lightest state, which is important for the identification of the parity of the excited charmed particles, is experimentally unknown. In the PDG tables PDG , one can read: ”The parity of the lowest $`\mathrm{\Lambda }_c^+`$ is defined to be positive, (as are the parities of the proton, neutron and $`\mathrm{\Lambda }`$)” \- with respect to the $`\mathrm{\Lambda }_c`$-hyperon - or $`I,`$ $`J,`$ $`P`$ need confirmation” \- concerning the charmed meson.

The problem of the $`P`$-parity of particles has to be solved independently on any model: parity is a fundamental property of a particle and affects the predictions of the models for particle photoproduction.

The basic question is therefore if it is possible, in general, i.e. in a model independent way, to determine the $`P`$-parity of the particles produced in the reaction $`\gamma +NM+B`$, where $`M`$ is a meson with zero spin and $`B`$ is a baryon with spin 1/2. More exactly, we are considering the following processes:

$`\gamma +N`$ $``$ $`\overline{K}+\mathrm{\Theta }^+,`$
$`\gamma +N`$ $``$ $`K+Y,Y=\mathrm{\Lambda }\text{ or }\mathrm{\Sigma },`$ (1)
$`\gamma +N`$ $``$ $`\overline{D}+Y_c,Y_c=\mathrm{\Lambda }_c\text{ or }\mathrm{\Sigma }_c.`$
The purpose of this paper is to give model independent relations between polarization observables for all processes (1), which allow, in principle, to determine the quoted P-parities.

The idea to determine the $`P`$-parity of particles through relations between polarization observables is not new. Many years ago it has been suggested Bi58 ; Bo59  to compare the analyzing power $`𝒜`$ in the processes:

$`\pi ^{}+\stackrel{}{p}`$ $``$ $`K^0+\mathrm{\Lambda },`$
$`K^{}+\stackrel{}{p}`$ $``$ $`\pi ^0+\mathrm{\Lambda },`$ (2)
induced by the proton target polarization, with the transversal polarization $`𝒫`$ of the produced $`\mathrm{\Lambda }`$ hyperon (on unpolarized target), because the relation

$$𝒫=𝒜P(N\mathrm{\Lambda }K)$$
(3)
holds for any reaction mechanism, where $`P(N\mathrm{\Lambda }K)`$ is the $`K`$ meson $`P`$-parity with respect to the $`N\mathrm{\Lambda }`$ reference frame. Let us recall here that one can not define an ’absolute’ kaon $`P`$-parity, as in case of neutral particles, $`\gamma `$, $`\pi ^0`$, $`\eta `$, $`\rho ^0`$, …, because the kaon has nonzero hypercharge, and this quantum number conserves in strong and electromagnetic interactions. Such experiment, fundamental and relatively simple, has not yet been realized.

More recently, other possibilities of model independent measurements of the kaon $`P`$-parity, related to polarization phenomena in the processes $`p+pK+p+\mathrm{\Lambda }(\mathrm{\Sigma })`$, in the near threshold region have been suggested Pa99 .

These methods can also be applied to the determination of the $`P`$-parity of the $`\mathrm{\Theta }^+`$ hyperon, through the study of polarization phenomena in the corresponding reactions of $`\mathrm{\Theta }^+`$-production in $`pp`$ collisions:

$`p+p`$ $``$ $`\pi ^++\mathrm{\Lambda }^0+\mathrm{\Theta }^+,`$
$`p+p`$ $``$ $`\overline{K}^0+p+\mathrm{\Theta }^+.`$ (4)
Again, in both reactions (4), we refer to the relative $`\mathrm{\Theta }^+`$ parity, i.e. the $`P`$-parity of the $`\pi \mathrm{\Lambda }\theta ^+`$ or $`p\overline{K}^0\mathrm{\Theta }^+`$ system, due to the conservation of strangeness in the production and the decay of $`\mathrm{\Theta }^+`$.

Similarly, it is possible to determine the $`\mathrm{\Theta }^+`$ $`P`$-parity in the photoproduction processes $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$ without any assumption about the reaction mechanism, in different ways.

Due to the conservation of strangeness in the considered photoproduction process, the notion of absolute $`\mathrm{\Theta }^+`$ $`P`$-parity has no physical meaning. Instead, one considers the relative parity - with respect to the N$`\overline{K}`$-system, $`\mathrm{\Pi }(\mathrm{\Theta })=P(\mathrm{\Theta }N\overline{K})`$. This definition has also the advantage to be free from any assumption about the $`K`$-meson parity. Moreover, all the dynamics of the process $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$ depends on the $`\mathrm{\Theta }^+`$-parity, only through $`\mathrm{\Pi }(\mathrm{\Theta })`$. Therefore, throughout the paper, the $`\mathrm{\Theta }^+`$ $`P`$-parity, actually means $`\mathrm{\Pi }(\mathrm{\Theta })=P(\mathrm{\Theta }N\overline{K})`$, i.e. the relative parity of $`\mathrm{\Theta }^+`$ with respect to the N$`\overline{K}`$-system. Such convention is coherent with the fact that $`\mathrm{\Theta }^+N\overline{K}`$ is the main decay of the $`\mathrm{\Theta }^+`$-hyperon.

Let us firstly consider the case of collinear kinematics for $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$, where helicity conservation results in one spin structure for the matrix element. The expression of the amplitude depends on the discussed $`P`$-parity Re03  and can be written as:

$`_{col}^{(\pm )}`$ $`=`$ $`\chi _2^{}_{col}^{(\pm )}\chi _1,`$ (5)
$`_{col}^{(+)}`$ $`=`$ $`\stackrel{}{\sigma }\stackrel{}{ϵ}\times \widehat{\stackrel{}{k}}f^{(+)}(E_\gamma ),\text{ if }\mathrm{\Pi }(\mathrm{\Theta })=+1,`$ (6)
$`_{col}^{()}`$ $`=`$ $`\stackrel{}{\sigma }\stackrel{}{ϵ}f^{()}(E_\gamma ),\text{ if }\mathrm{\Pi }(\mathrm{\Theta })=1,`$ (7)
where $`\stackrel{}{ϵ}`$ is the real photon polarization vector, $`\chi _1`$ and $`\chi _2`$ are the two-component spinors of the initial nucleon and the final baryon, $`\widehat{\stackrel{}{k}}`$ is the unit vector along the three momenta of the photon beam (and of the $`K`$meson) in the reaction center of mass system (CMS), $`f^{(\pm )}(E_\gamma )`$ are the collinear amplitudes, where the upper indexes correspond to $`P(N\mathrm{\Theta }D)=\pm 1`$, $`\stackrel{}{ϵ}\widehat{\stackrel{}{k}}=0`$.

Due to the presence of a single allowed amplitude in Eq. (5), all polarization phenomena have definite numerical values, which are independent on the model chosen for $`f^{(\pm )}(E_\gamma )`$. Moreover all nonzero polarization effects take their maximal (absolute) value.

The spin structures Eqs. (6) and (7) are different, but as the single and double spin observables coincide, they can be distinguished only at the level of triple spin polarization correlations. This require the measurement of the dependence of the final baryon polarization on the polarization of the nucleon target, when the photon beam is linearly polarized.

Using Eqs. (5), (6) and (7), one can find:

$$𝒫_{2x}=\mathrm{\Pi }(\mathrm{\Theta })𝒫_{1x},𝒫_{2y}=\mathrm{\Pi }(\mathrm{\Theta })𝒫_{2x},$$
(8)
taking the $`z`$-axis along $`\widehat{\stackrel{}{k}}`$ and the $`x`$-axis along the vector $`\stackrel{}{ϵ}`$ of the photon linear polarization, when $`\stackrel{}{𝒫}_{1,2}`$ are the polarization vectors of the nucleon target and the produced $`\mathrm{\Theta }^+`$.

Note that the same spin structure, Eqs. (6) and (7) describes the threshold amplitude, when the final particles are produced in S-state. In this case, the angular distribution of the emitted particles is isotropic in the CMS, and again, only one physical direction is defined.

the second method we are suggesting holds for any kinematical conditions, i.e. for any $`E_\gamma `$ and $`\mathrm{cos}\theta `$ ($`\theta `$ is the $`\overline{K}`$ meson production angle). The following model independent relation holds between polarization observables in any reaction $`\gamma +NM+B(1/2^\pm )`$ ETG03 :

$`\mathrm{\Sigma }_B(E_\gamma ,\mathrm{cos}\theta )`$ $`=`$ $`P(BNM)D_{nn}(E_\gamma ,\mathrm{cos}\theta )`$ (9)
$`\mathrm{\Sigma }_B(E_\gamma ,\mathrm{cos}\theta )`$ $`=`$ $`{\displaystyle \frac{{\displaystyle \frac{d\sigma _{}}{d\mathrm{\Omega }}}{\displaystyle \frac{d\sigma _{}}{d\mathrm{\Omega }}}}{{\displaystyle \frac{d\sigma _{}}{d\mathrm{\Omega }}}+{\displaystyle \frac{d\sigma _{}}{d\mathrm{\Omega }}}}}`$ (10)
where $`P(BNM)`$ is the relative parity of $`B`$, with respect to the $`NM`$-system, $`d\sigma _{}/d\mathrm{\Omega }(d\sigma _{}/d\mathrm{\Omega })`$ is the differential cross section for $`\stackrel{}{\gamma }+NM+B`$ with a linearly polarized photon beam, when the three vector $`\stackrel{}{ϵ}`$ is transversal (parallel) to the reaction plane, and $`D_{nn}`$ is a specific component of the depolarization tensor, which characterizes the $`B`$-polarization normal to the reaction plane, in collisions of unpolarized photon beam with a nucleon target polarized normally to the reaction plane.

Note that in collinear kinematics, or at the reaction threshold, the relation (10) is equivalent to the identity $`0=0`$, because, in such conditions the reaction plane can not be defined, so that both polarization observables, $`\mathrm{\Sigma }_B`$ and $`D_{nn}`$ are proportional to $`\mathrm{sin}^2\theta `$ ($`0`$), independently on the reaction mechanism.

One can see that the model independent methods (which allow to determine the $`\mathrm{\Theta }^+`$ $`P`$-parity in $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$), Eqs. (8) and Eq. (10), require the measurement of the polarization of the produced baryon. In case of associative production of strange ($`K+Y`$) or charmed ($`\overline{D}+\mathrm{\Lambda }_c`$) particles, such measurements are relatively easy, because the hyperons $`Y`$ ($`\mathrm{\Lambda }`$ or $`\mathrm{\Sigma }`$) and $`\mathrm{\Lambda }_c^+`$, decaying through weak interaction, are self analyzing particles. Therefore for charm photoproduction such measurements can be done by the running COMPASS experiment COMPASS , with a polarized target and a muon beam, which can generate linearly polarized photons.

In case of $`\mathrm{\Theta }^+`$ photoproduction, the situation is more difficult, because the polarization of the $`\mathrm{\Theta }^+`$ baryon can be measured only through the measurement of the proton polarization in the decay $`\mathrm{\Theta }^+p+K^0`$. Therefore we agree with Ref. Thomas : ”Even under these ideal conditions, the decay angular distribution of this strongly decaying particle gives information only on the spin and not on the parity, unless the polarization of the final nucleon is measured”, but, contrary to Ref. Thomas , we showed here that the polarization of $`\mathrm{\Theta }^+`$ in photoproduction reactions, may give access to the $`\mathrm{\Theta }^+`$ parity, in a model independent way. We suggested above two different methods, one of which requires the measurement of the final nucleon polarization, to determine the $`\mathrm{\Theta }^+`$ parity in $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$. These methods represent the theoretical solution of the problem of the model-independent determination of the $`\mathrm{\Theta }^+`$ parity. The realization of the suggested experiments may be difficult from the experimental point of view, but in the literature one can find only model-dependent methods, not necessarily more simple.

Let us mention that the model independent methods, based on Eq. 3, can be applied also for the measurement of the $`P`$-parity of $`\mathrm{\Theta }^+`$ and charm particles, through other binary reactions:

$$K+N\pi +\mathrm{\Theta }^+,\pi +N\overline{K}+\mathrm{\Theta }^+,\pi +N\overline{D}+Y_c.$$
(11)
But, again, it is a difficult problem for the $`\mathrm{\Theta }^+`$ baryon, because its transversal polarization has to be compared with the analyzing power.

For charmed particles, this method can be considered the most simple, as it involves the measurement of single-spin observables only for the determination of two T-odd polarization observables. The two independent amplitudes, which characterize the general spin structure of the matrix elements for each of the processes (11), have to be complex, with nonzero relative phase. Such condition is a priori satisfied for $`\mathrm{\Theta }^+`$ production in $`\pi N`$ and $`KN`$-collisions, in the near threshold region, where the S-channel contributions of different $`N^{}`$ or $`Y^{}`$ resonances can generate large T-odd polarization effects. Evidently, for charm particle production, such resonance mechanisms are not working, but the necessary phase could be generated by $`D`$ and $`D^{}`$ Regge contributions, for example.

In conclusion, the model independent determination of the $`\mathrm{\Theta }^+`$ parity could be realized, in principle, using definite relations between polarization observables, in reactions as $`\gamma +N\overline{K}+\mathrm{\Theta }^+`$, $`K+N\pi +\mathrm{\Theta }^+`$, $`\pi +N\overline{K}+\mathrm{\Theta }^+`$. These procedures are based on the same physics as the corresponding methods suggested for strange or charm particle production, but in the first case, they involve difficult experiments, which require the measurement of the $`\mathrm{\Theta }^+`$ polarization.

Another suggestion, which allows to avoid this problem, can be done, using again the analogy with strange particle production. The reactions $`p+p\pi ^++\mathrm{\Lambda }^0+\mathrm{\Theta }^+`$, $`p+p\overline{K}^0+p+\mathrm{\Theta }^+`$, which are similar to $`p+pK^++\mathrm{\Lambda }+p`$ Pa99 , can be used for the determination of the $`P`$-parity of the $`\mathrm{\Theta }^+`$ baryon. The same polarization phenomena can be considered for the process $`p+p\mathrm{\Theta }^++\mathrm{\Sigma }^+`$, where instead of the $`\mathrm{\Theta }^+`$ polarization, the polarization of the $`\mathrm{\Sigma }^+`$ hyperon (a self analyzing particle) is more experimentally accessible.

These methods are, in general, equivalent, but in case of $`pp`$-collisions there are different possibilities to avoid the measurement of the $`\mathrm{\Theta }^+`$ polarization, considering the collisions of both polarized protons or the polarization transfer coefficients, from a polarized proton beam (with unpolarized proton target) to the produced $`\mathrm{\Lambda }`$ or $`\mathrm{\Sigma }`$ hyperons. This will be discussed in detail in a forthcoming paper.

We are grateful to A. Gal for interesting remarks on methods to measure the kaon parity, and to K. Kakayama for driving our attention to a precise definition of the parity, for the $`\mathrm{\Theta }^+`$-hyperon.


text:
# Crossover from a molecular Bose-Einstein condensate to a degenerate Fermi gas

## Abstract

We demonstrate a reversible conversion of a 6Li2 molecular Bose-Einstein condensate to a degenerate Fermi gas of atoms by adiabatically crossing a Feshbach resonance. By optical in situ imaging, we observe a smooth change of the cloud size in the crossover regime. On the Feshbach resonance, the ensemble is strongly interacting and the measured cloud size is $`75(7)\%`$ of the one of a non-interacting zero-temperature Fermi gas. The high condensate fraction of more than $`90\%`$ and the adiabatic crossover suggest our Fermi gas to be cold enough to form a superfluid.

Bose-Einstein condensation (BEC) of molecules formed by fermionic atoms was recently demonstrated li2becinn ; k2bec ; li2becmit ; private . The tunability of interactions in such systems provides a unique possibility to explore the Bose-Einstein condensate to Bardeen-Cooper-Schrieffer (BEC-BCS) crossover becbcs , an intriguing interplay between the superfluidity of bosons and Cooper pairing of fermions. While the BEC and BCS limits are both well understood, the crossover takes place in a strongly interacting regime, which represents a challenge for many-body theory.

Feshbach resonances feshbach  play a central role to control two-body interaction and have been used for conversion between fermionic atoms and bosonic molecules jin ; hulet ; li2thermal1 ; li2thermal2 . They are also the experimental key to investigate phenomena related to the BEC-BCS crossover. For example, it has been predicted in Ref.carr  that a pure molecular BEC can be converted into a superfluid Fermi gas by an adiabatic passage over the Feshbach resonance. Moreover, in the crossover regime where the interactions are unitarity limited, a universal behavior is expected heiselberg ; ho03 . Ultracold gases in that regime may provide new insights into other strongly-interacting systems such as high-$`T_c`$ superconductors, 3He superfluids, and neutron stars.

A spin-mixture of 6Li atoms in the lowest two hyperfine sub-levels is an excellent system to investigate the crossover thomasmechan ; salomon  based on a broad Feshbach resonance at a magnetic field of $`B=850`$G feshbach8500 ; feshbach850 ; feshbach850b . An efficient formation of ultracold molecules has been realized by three-body recombination li2thermal2 ; Chin2003 , or by sweeping the magnetic field across the resonance li2thermal1 . The long lifetime of the molecules permits efficient evaporation li2thermal1 ; li2thermal2 ; li2becinn  and facilitates slow, adiabatic changes of the system.

In this work, we explore the regime where the BEC-BCS crossover is expected by analyzing the density profiles of the trapped cloud at different magnetic fields. Our experimental setup is described in Ref. li2becinn . We load $`2\times 10^6`$ precooled 6Li atoms into a single focused-beam dipole trap, which is generated by a 10W Yb:YAG laser operating at a wavelength of 1030 nm. We evaporatively cool the cloud by exponentially lowering the trap depth with a time constant of $`460`$ms. The radial and axial trap frequencies are $`\omega _r/2\pi =110`$Hz$`(P/\mathrm{mW})^{1/2}`$ and $`\omega _z/2\pi =(600B/\mathrm{kG}+0.94P/\mathrm{mW})^{1/2}`$Hz, respectively, where $`P`$ is the laser power. The curvature of the magnetic field that we use for Feshbach tuning results in a magnetic contribution to the axial trapping. In the low power range where the molecular BEC is formed ($`P<50`$ mW), the axial confinement is predominantly magnetic. During the whole evaporation process the magnetic field is kept at $`B=764`$G. At this field the molecular binding energy is $``$$`k_B\times 2\mu `$K, where $`k_B`$ is Boltzmann’s constant. For the scattering length of elastic molecule-molecule collisions we expect $`a_{mol}=2200a_0`$, based on the predicted relation of $`a_{mol}=0.6a`$ petrovam  and an atomic scattering length of $`a=3500a_0`$ feshbach850 . Here $`a_0`$ is Bohr’s radius. Using radio-frequency spectroscopy which allows us to distinguish signals from atoms and molecules jin , we observe a complete atom to molecule conversion when the thermal energy of the particles is reduced to values well below the molecular binding energy.

For detection we apply *in situ* absorption imaging to record spatial density profiles of the trapped ensemble. To image at high magnetic fields, we illuminate the cloud for $`20\mu `$s with a probe beam (intensity $`0.5`$mW/cm2) tuned to the atomic $`|2S_{1/2},m_J=1/2,m_I=0|2P_{3/2},m_J^{}=3/2,m_I^{}=0`$ transition. The probe beam dissociates the molecules and is used to image the resulting atom cloud li2becmit . Compared to the absorption imaging of unbound atoms, we found that the detection efficiency of the molecules approaches $`100\%`$ at fields higher than 750G and $`50\%`$ at 650G. The difference is due to the Frank-Condon wavefunction overlap, which favors fields closer to the resonance where the interatomic separation in the molecular state is larger. In our cigar-shaped trap, the radial cloud size is on the order of our imaging resolution of $`10\mu `$m, while the axial cloud size of typically $`100\mu `$m can be accurately measured. We therefore obtain axial density distributions from images integrated radially.

To measure the condensate fraction, we adiabatically reduce the magnetic field from 764 G to 676 G in a 200-ms linear ramp after completion of the evaporation ramp. This reduces the scattering length $`a_{mol}`$ and thus increases the visibility of the characteristic bimodal distribution. Fig. 1(a) shows a bimodal profile observed in this way with $`N_{mol}=N/2=4\times 10^5`$ molecules remaining at a final evaporation ramp power of 28 mW. A Gaussian fit to the thermal wings (dashed line) yields a temperature of T=430 nK, which is a factor of 7.5 below the calculated trap depth of 3.2 $`\mu `$K. The observed condensate fraction of $`20\%`$ is consistent with $`1(T/T_c)^3`$, where $`T_c=0.8k_B^1\mathrm{}\overline{\omega }(N_{mol}/1.202)^{1/3}=`$500 nK is the critical temperature, $`\overline{\omega }=(\omega _r^2\omega _z)^{1/3}`$ is the mean vibration frequency, and the factor of 0.8 takes into account the $``$20% down-shift in $`T_c`$ due to interactions giorgini1996a .

We obtain pure molecular condensates when we continue the evaporation process down to final power levels of a few mW. Fig. 1(b) shows an essentially pure condensate of $`N_{mol}=2.0\times 10^5`$ molecules obtained at a final power of 3.8 mW, where the trap depth is $`450`$nK. The density profile is well fit by a Thomas-Fermi density distribution $`(1z^2/z_{\mathrm{TF}}^2)^2`$ with a radius $`z_{\mathrm{TF}}=105\mu `$m. The corresponding peak molecular density is $`1.2\times 10^{13}`$cm-3. In the image a thermal component is not discernable. A careful analysis of the profile provides us with a lower bound of $`90\%`$ for the condensate fraction. For the chemical potential of the BEC we obtain $`\mu =\frac{1}{2}m_{\mathrm{mol}}\omega _z^2z_{\mathrm{TF}}^2=k_\mathrm{B}\times 130`$ nK. Here $`m_{\mathrm{mol}}=2m`$ is the mass of the 6Li dimer. Based on the prediction $`a_{mol}=0.6a=650a_0`$, the calculated chemical potential of $`\frac{1}{2}(15\mathrm{}^2N_{mol}\overline{\omega }^3a_{mol}\sqrt{m_{mol}})^{2/5}=k_B\times 155`$ nK is consistent with the observed value of $`k_B\times 130`$ nK considering the experimental uncertainty. In particular, the particle number is calibrated to within a factor of $`1.5`$ through fluorescence imaging li2thermal2 .

The pure molecular BEC at 764 G serves as our starting point for exploring the crossover to the degenerate Fermi gas. Before we change the magnetic field, we first adiabatically increase the trap power from 3.8 mW to 35 mW in a 200-ms exponential ramp. The higher power provides a trap depth of $``$$`k_B\times \mathrm{\hspace{0.17em}2}\mu `$K for the atoms, which is roughly a factor of two above the Fermi energy, and avoids spilling of the Fermi gas produced at magnetic fields above the resonance li2becinn . The compression increases the peak density of the condensate by a factor of $`2.5`$. All further experiments reported here are performed in the recompressed trap with $`\omega _r/2\pi =640`$Hz and $`\omega _z/2\pi =(600B/\mathrm{kG}+32)^{1/2}`$Hz.

We measure the lifetime of the BEC in the compressed trap at 764G to be $`40`$s. The peak molecular density is estimated to be $`n_{mol}=(15/8\pi )(\omega _r/\omega _z)^2N_{mol}/z_{TF}^3=1.0(5)\times 10^{13}\mathrm{cm}^3`$. This provides an upper bound for the binary loss coefficient of $`1\times 10^{14}`$ cm3/s, and is consistent with previous measurements in thermal molecular gases li2thermal1 ; li2thermal2  together with the predicted scattering length scaling petrovam  and the factor-of-two suppression of binary collision loss in a condensate.

For exploring the crossover to a Fermi gas we apply slow magnetic field ramps. To ensure their adiabaticity we performed several test experiments. In one series of measurements we ramped up the field from 764G to 882G and back to 764G with variable ramp speed. This converts the molecular BEC into a strongly interacting Fermi gas and vice versa. Therefore substantial changes are expected in the cloud size. After the up-and-down ramp we observe an axial oscillation of the ensemble at the quadrupolar excitation frequency stringari ; li2becinn . This collective oscillation is the lowest excitation mode of the system and is thus sensitive to non-adiabaticity effects. We observe axial oscillations with relative amplitudes of $`>5\%`$ for ramp speeds above $`1.2`$G/ms. For ramp speeds of $`0.6`$G/ms and lower, the axial oscillation was no longer visible.

We also checked the reversibility of the crossover process by linearly ramping up the magnetic field from 764 G to 1176 G and down again to 764 G within 2 s (ramp speed of $`\pm `$0.41 G/ms). In Fig. 2, we compare the axial profile taken after this ramp ($``$) with the corresponding profile obtained after 2 s at fixed magnetic field ($``$). The comparison does not show any significant deviation. This highlights that the conversion into a Fermi gas and its back-conversion into a molecular BEC are lossless and proceed without noticeable increase of the entropy.

To investigate the spatial profile of the trapped gas in different regimes we start with the molecular BEC at 764 G and change the magnetic field in 1-s linear ramps to final values between 740 G and 1440 G. Images are then taken at the final ramp field. To characterize the size of the trapped gas, we determine the root-mean-squared axial size $`z_{\mathrm{rms}}`$. This rms-size is related to the axial radius $`z_{\mathrm{TF}}`$ by $`z_{\mathrm{rms}}=z_{\mathrm{TF}}/\sqrt{7}`$ in the case of a pure BEC in the Thomas-Fermi limit and by $`z_{\mathrm{rms}}=z_{\mathrm{TF}}/\sqrt{8}`$ in the cases of zero-temperature non-interacting or strongly interacting Fermi gases fit .

Fig. 3(b) shows how the measured axial size $`z_{\mathrm{rms}}`$ changes with the magnetic field. For comparison, Fig. 3(a) displays the magnetic-field dependence of the atomic scattering length $`a`$. Up to 950 G an increase in $`z_{\mathrm{rms}}`$ is due to the crossover from the molecular BEC to the degenerate Fermi gas. For higher magnetic fields the axial cloud size of the Fermi gas shrinks with $`B`$ as the axial magnetic confinement increases ($`\omega _z\sqrt{B}`$).

For the following discussions, we normalize the observed size to the one expected for a non-interacting Fermi gas. In particular, this removes the explicit trap dependence. In Fig. 3(c) we show the normalized axial size $`\zeta =z_{\mathrm{rms}}/z_0`$, where $`z_0=(E_F/4m\omega _z^2)^{1/2}`$ is the rms axial size of a non-interacting zero-temperature Fermi gas with $`N=4\times 10^5`$ atoms. The Fermi energy $`E_F=\mathrm{}^2k_F^2/2m=\mathrm{}\overline{\omega }(3N)^{1/3}`$ amounts to $`k_\mathrm{B}\times 1.1\mu `$K at 850 G, and the Fermi wave number $`k_F`$ corresponds to a length scale of $`k_F^1=3600a_0`$.

Below the Feshbach resonance, the observed dependence of the cloud size agrees well with the mean-field behavior of a BEC in the Thomas-Fermi limit. In this regime, the normalized size is given by $`\zeta =0.688(a_{mol}/a)^{1/5}(E_F/E_b)^{1/10}`$, where $`E_b=\mathrm{}^2/ma^2`$ is the molecular binding energy. Fig. 3(c) shows the corresponding curve (solid line) calculated with $`a_{mol}/a=0.6`$ petrovam . This BEC limit provides a reasonable approximation up to $``$800 G; here the molecular gas interaction parameter is $`n_{mol}a_{mol}^30.08`$. Alternatively, the interaction strength can be expressed as $`k_Fa1.9`$.

The crossover to the Fermi gas is observed in the vicinity of the Feshbach resonance between 800 G and 950 G; here $`\zeta `$ smoothly increases with the magnetic field until it levels off at 950 G, where the interaction strength is characterized by $`k_Fa1.9`$. Our results suggest that the crossover occurs within the range of $`0.5(k_Fa)^10.5`$, which corresponds to the strongly-interacting regime. The smoothness of the crossover is further illustrated in Fig. 4. Here the spatial profiles near the resonance show the gradually increasing cloud size without any noticeable new features.

On resonance a universal regime is realized heiselberg ; ho03 ; thomasmechan , where scattering is fully governed by unitarity and the scattering length drops out of the description. Here the normalized cloud size can be written as $`\zeta =(1+\beta )^{1/4}`$, where $`\beta `$ parameterizes the mean-field contribution to the chemical potential in terms of the local Fermi energy thomasmechan . At 850 G our measured value of $`\zeta =0.75\pm 0.07`$ provides $`\beta =0.68_{0.10}^{+0.13}`$. Here the total error range includes all statistic and systematic uncertainties with the particle number giving the dominant contribution. Note that the uncertainty in the Feshbach resonance position is not included in the errors feshbach850b . Our experimental results reveal a stronger interaction effect than previous measurements that yielded $`\beta =0.26(7)`$ at $`T=0.15T_F`$ thomasmechan  and $`\beta 0.3`$ at $`T=0.6T_F`$ salomon . Our value of $`\beta `$ lies within the range of the theoretical predictions for a zero temperature Fermi gas: $`0.67`$ betabaker ; heiselberg , $`0.43`$ betabaker  and, in particular, $`0.56(1)`$ from a recent quantum Monte Carlo calculation carlson .

Beyond the Feshbach resonance, in the Fermi gas regime above $`950`$ G we observe an essentially constant normalized cloud size of $`\zeta =0.83\pm 0.07`$. In this regime the interaction parameter $`k_Fa`$ is calculated to vary between $`2`$ (at 950 G) and $`0.8`$ (at 1440 G), which allows us to estimate $`\zeta `$ to vary between 0.90 and 0.95 based on the interaction energy calculations in Ref. heiselberg . Our observed values are somewhat below this expectation, which requires further investigation.

In summary, we have demonstrated the smooth crossover from a molecular condensate of 6Li dimers to an atomic Fermi gas. Since the conversion is adiabatic and reversible, the temperature of the Fermi gas can be estimated from the conservation of entropy carr . Our high condensate fraction of $`>90\%`$ suggests a very small entropy which in the Fermi gas limit corresponds to an extremely low temperature of $`k_BT<0.04E_F`$. In this scenario, superfluidity can be expected to extend from the molecular BEC regime into the strongly interacting Fermi gas regime above the Feshbach resonance where $`k_Fa1`$. Our experiment thus opens up intriguing possibilities to study atomic Cooper pairing and superfluidity in resonant quantum gases.

We thank G.V. Shlyapnikov, W. Zwerger and S. Stringari and his group for very useful discussions. We acknowledge support by the Austrian Science Fund (FWF) within SFB 15 (project part 15) and by the European Union in the frame of the Cold Molecules TMR Network under Contract No. HPRN-CT-2002-00290. C.C. is a Lise-Meitner research fellow of the FWF.