text:
# Waiting-times and returns in high-frequency financial data: an empirical study

## 1 Introduction

In financial markets, waiting times between two consecutive transactions vary in a stochastic fashion. In 1973,  Peter Clark wrote: “Instead of indexing \[time\] by the integers 0,1,2,$`\mathrm{}`$, the \[price\] process could be indexed by a set of numbers $`t_1`$, $`t_2`$, $`t_3`$, $`\mathrm{}`$, where these numbers are themselves a realization of a stochastic process (with positive increments, so that $`t_1<t_2<t_3<\mathrm{}`$).”

From this point of view the continuous time random walk (CTRW) model of Montroll and Weiss  (see also Refs. ) can provide a phenomenological description of tick-by-tick dynamics in financial markets .

Actually in CTRWs, two random variables are used: jumps $`\xi _n=x(t_{n+1})x(t_n)`$ and waiting times $`\tau _n=t_{n+1}t_n`$. In the financial interpretation of CTRWs, $`x`$ represents a log-price and $`\xi `$ a log-return  (see also ). The physicist can think of $`x`$ as the position of a random walker performing discrete jumps in one dimension at randomly distributed instants. Based on  the evolution equation for $`p(x,t)`$, the probability of occurrence of the log-price $`x`$ at time $`t`$, or of finding the random walker at position $`x`$ at time instant $`t,`$ can be written, assuming the initial condition $`p(x,0)=\delta (x)`$ (i.e. the walker is initially at the origin $`x=0),`$

$$p(x,t)=\delta (x)\mathrm{\Psi }(t)+_0^t_{\mathrm{}}^+\mathrm{}\phi (xx^{},tt^{})p(x^{},t^{})𝑑x^{}𝑑t^{},$$
$`(1.1)`$
where $`\mathrm{\Psi }(t)`$ is the survival probability and $`\phi (\xi ,\tau )`$, is the joint probability density of jumps $`\xi _n=x(t_{n+1})x(t_n)`$ and of waiting times $`\tau _n=t_{n+1}t_n`$. Relevant quantities are the two (marginal) probability density functions ($`pdf`$’s) defined as $`\lambda (\xi ):=_0^{\mathrm{}}\phi (\xi ,\tau )𝑑\tau ,`$ $`\psi (\tau ):=_{\mathrm{}}^+\mathrm{}\phi (\xi ,\tau )𝑑\xi ,`$ and called jump pdf and waiting-time pdf, respectively. If one assumes that the jump $`pdf`$ $`\lambda (\xi )`$ is independent of the waiting-time $`pdf`$ $`\psi (\tau ),`$ we have the so-called ”decoupling” which leads to the factorisation $`\phi (\xi ,\tau )=\lambda (\xi )\psi (\tau ).`$

The Eq. (1.1) is the most general master equation of the CTRW, usually derived in the Fourier-Laplace domain. The simplified form under the hypothesis of ”decoupling” is reported in .

The probability that a given inter-step interval is greater or equal to $`\tau `$ is $`\mathrm{\Psi }(\tau ),`$ which is defined in terms of $`\psi (\tau )`$ by

$$\mathrm{\Psi }(\tau )=_\tau ^{\mathrm{}}\psi (t^{})𝑑t^{}=1_0^\tau \psi (t^{})𝑑t^{},\psi (\tau )=\frac{d}{d\tau }\mathrm{\Psi }(\tau ).$$
$`(1.2)`$
We note that $`_0^\tau \psi (t^{})𝑑t^{}`$ represents the probability that at least one step is taken at some instant in the interval $`[0,\tau )`$, hence $`\mathrm{\Psi }(\tau )`$ is the probability that the diffusing quantity $`x`$ does not change value during the time interval of duration $`\tau `$ after a jump. We also note, recalling that $`t_0=0,`$ that $`\mathrm{\Psi }(t)`$ is the survival probability until time instant $`t`$ at the initial position $`x_0=0.`$

A relevant choice for the survival probability is given by the Mittag-Leffler function of order $`\beta `$ ($`0<\beta <1`$), which leads to a time-fractional master equation as shown in  (see also ). For reader’s convenience hereafter we recall the main properties of this transcendental function useful for our purposes. From its definition valid for any $`\beta >0`$:

$$\mathrm{\Psi }(\tau )=E_\beta \left[(\tau /\tau _0)^\beta \right]:=\underset{n=0}{\overset{\mathrm{}}{}}(1)^n\frac{(\tau /\tau _0)^{\beta n}}{\mathrm{\Gamma }(\beta n+1)},\beta >0,$$
$`(1.3)`$
one recognises that the Mittag-Leffler function generalises the simple exponential function (recovered for $`\beta =1`$) and, if $`0<\beta <1,`$ it interpolates on the positive real axis a stretched exponential and a power law according to

$$E_\beta \left[(\tau /\tau _0)^\beta \right]\{\begin{array}{cc}\text{exp}\left[(\tau /\tau _0)^\beta /\mathrm{\Gamma }(1+\beta )\right],\hfill & \tau /\tau _00^+\text{,}\hfill \\ (\tau /\tau _0)^\beta /\mathrm{\Gamma }(1\beta ),\hfill & \tau /\tau _0\mathrm{}\text{,}\hfill \end{array}\mathrm{\hspace{0.33em}0}<\beta <1.$$
$`(1.4)`$
For more information on the Mittag-Leffler function see e.g. .

The purpose of this paper is to investigate some statistical properties of the random variables $`\xi `$ and $`\tau `$ in financial markets. This study is limited to a specific equity of a given market in a definite period. Therefore caution is necessary and our results cannot be arbitrarily generalized. In particular, the reader will learn about General Electric stock prices, traded at NYSE, in October 1999. This preliminary presentation is part of a broader project aimed at studying the behaviour of all Dow-Jones-Industrial-Average stocks during that month.

## 2 Empirical analysis

In Fig. 1, a scatter plot is presented for waiting times $`\tau _n`$ as a function of the corresponding log-return $`\xi _n`$. By means of a contingency table analysis , we have studied the independence of the two stochastic variables. A direct inspection of Fig. 1 shows that for large values of log-returns waiting times tend to be shorter. This indicates a possible correlation. Actually, a hypothesis test has been performed on the empirical joint $`pdf`$ $`\phi (\xi ,\tau ).`$ According to the contingency table presented in Tab. 1, the two random variables cannot be considered independent. The null hypothesis of independence can be rejected with a significance level of 1%.

In Fig. 2, an estimate of the autocorrelation function for the absolute value of log-returns is plotted. We have used the following estimator

$$C(m)=\frac{1}{Nm}\underset{n=0}{\overset{Nm1}{}}(|\xi _{n+m}|\overline{|\xi |})(|\xi _n|\overline{|\xi }|),$$
$`(2.1)`$
where $`N`$ is the total number of points ($`N=55559`$) and $`\overline{|\xi |}=\frac{1}{N}_{n=0}^{N1}|\xi _n|.`$ The inset shows the time series of the absolute values as a function of the tick $`n`$.

Due to scale persistence, the autocorrelation function follows a power-law decay with a slope of $`0.76`$. The autocorrelation is over the noise level (conventionally $`3/\sqrt{N}`$) for a lag between 20 and 30 ticks, corresponding to an average time of $`250s`$. Therefore, within that time scale, it is not safe to assume that the log-returns themselves, $`\xi _n`$, are independent variables. These are well-known stylised fact for tick-by-tick financial time series, see e.g. .

In Fig. 3, the autocorrelation function is shown for waiting-times $`\tau _n`$. As above, the inset shows the time series itself. Waiting times between trades are inherently positive random variables. For the GE stock in October 1999, there is a marked seasonality of waiting times with a 1-day period (nearly $`3,000`$ trades). Inspection of the series shows that the trading activity is slower in the middle of the day. The seasonality is outlined by the periodic behaviour of the autocorrelation estimate, with periodicity above the conventional noise band.

In recent times, several efforts have been devoted to find a suitable measure of time, in order to discard similar seasonalities, see e.g. .

However, as shown in Fig. 4, the survival probability $`\mathrm{\Psi }(\tau )`$ can be fitted by a stretched exponential function: $`\text{exp}\left[(\tau /\tau _0)^\beta /\mathrm{\Gamma }(1+\beta )\right]`$, with $`\tau _0=6.6s`$ and $`\beta =0.7`$. The reduced chi-square of the fit is 0.71.

In a previous work on bond futures , according to theoretical considerations on the properties of continuous-time random walks, we suggested the Mittag-Leffler function with a power-law decay as a suitable fit for the empirical survival probability. The above result does not contradict our previous findings. In fact, whereas for bonds futures we found waiting times greater than $`10,000s,`$ here we have only waiting times smaller than $`200s`$, and the Mittag-Leffler function is well approximated by the stretched exponential as $`\tau `$ is small enough, see Eq. (1.4).

## 3 Summary

A preliminary study of General Electric high-frequency stock prices has been performed. Some statistical properties of the log-return and waiting-time random variables have been presented. This study was inspired by previous theoretical and empirical work, based on the phenomenological CTRW model of financial markets.

The main results are as follows: the two random variables cannot be considered independent from each other; the autocorrelation of log-returns absolute values exhibits a power-law decay and reaches the noise level after about 250 s; the autocorrelation of waiting times shows a 1-day periodicity, corresponding to the daily stock market activity.


format: text

text:
# Dynamic screening in 𝐿_{2,3}-shell transition metal x-ray absorption

now at\] Institute for Systems Biology, Seattle WA 98103

## Abstract

Calculations of $`L`$-shell x-ray absorption in transition metals are shown to be sensitive to screening, both of the x-ray field and the photoelectron-core hole interaction. This screening is calculated using a generalization of the time dependent local density approximation and a projection onto a local atomic basis. The approach yields renormalized dipole-matrix elements which account for the observed deviations of the $`L_3/L_2`$ branching ratio from the 2:1 value of independent electron theory.

Independent-electron theory is generally successful in describing near edge x-ray absorption spectra (XAS) rehralbers . However, it fails dramatically at the $`L_{2,3}`$ edges in 3d transition metals zaanen ; waddington ; thole88 ; swebert98 . While the independent electron approximation predicts an $`L_3/L_2`$ transition intensity “branching ratio” close to 2:1, the observed ratio (Fig. 1) varies considerably with respect to atomic number $`Z`$, and is closer to 1:1 for metals like Ti and V with nearly empty $`d`$-bands leapman80 ; fink ; jbarth . This puzzling behavior is thought to reflect many-body effects due to the Coulomb interaction, but despite many studies, its variation has never been quantitatively explained. We now show, however, that the observed branching-ratio depends crucially on dynamic screening of the x-ray field and the photoelectron–core hole interaction, and can be calculated using a simplified dynamic screening model and a generalization of the time-dependent local density approximation (TDLDA). Our approach makes use of a projection onto a local atomic basis and a real-space multiple-scattering (RSMS) formalism arrc . This yields an efficient matrix formulation for extended systems, yet retains the simplicity of the TDLDA, and gives results in good agreement with experiment.

The $`L_{2,3}`$ XAS corresponds to transitions from the $`2p_{1/2}`$ and $`2p_{3/2}`$ levels to continuum $`s`$ and $`d`$ states. Several many body effects can be identified which contribute to a non-constant $`L_3/L_2`$ intensity branching ratio: i) Inelastic losses – these can be represented in terms of lifetime and self-energy effects in independent-electron calculations. The lifetimes are different for the $`L_2`$ and $`L_3`$ edges due to the Coster-Kronig mechanism keski , but this difference only increases the branching ratios, e.g., to about 3:1. ii) Dynamic core polarization – i.e., the creation of local fields which screen the external x-ray field. This polarization effect may be treated zs ; swebert98  within the TDLDA by neglecting exchange terms, an approximation often referred to as the random phase approximation (RPA). This leads to a considerable reduction of the branching ratio, but does not account well for its variation with $`Z`$. iii) Screening of the photoelectron-core hole interaction – this effect, which we find to be crucial, can be addressed in terms of a frequency dependent exchange-correlation kernel $`f_{xc}(\omega )`$ in the TDLDA grosskohn , or by the analogous, non-local dynamically screened particle-hole interaction in the Bethe-Salpeter equation (BSE) rohlfinglouie ; soininen ; strinati ; hanke80 . The importance of dynamic screening of the core-hole is surprising, since it has been argued variously that corrections to the RPA are small zs ; swebert98 , or that an adiabatic kernel $`f_{xc}^0`$ is often adequate zs ; grosskohn .

The TDLDA zs ; swebert98 ; chelikowsky  provides an efficient formalism for calculations of response functions, including corrections to the independent electron approximation, since it avoids the complications of non-locality in the time-dependent Hartree-Fock (TDHF) crljen87 , BSE, or configuration interaction approaches. The TDLDA was originally introduced for atoms zs , but has since been extended to many other systems chelikowsky  including band-structure formulations for transition metals swebert98 . The TDLDA and TDHF equations are closely similar to the BSE rohlfinglouie ; soininen ; strinati ; hanke80 , which provides a systematic, many-body framework based on the 2-particle Green’s function for treating core-hole screening. The crucial difference between the TDLDA and the BSE lies in the structure of the exchange-correlation kernel $`f_{xc}(\omega )`$; in addition the single-particle states are replaced by quasiparticle states which take the electron self-energy into account. Our approach (see below) is an extension of the TDLDA derived in part from the BSE. Like the BSE, our approach also uses a quasiparticle approximation for single-particle states, with inelastic losses approximated by a Hedin-Lundqvist electron-gas self energy lundqvist69 . Such losses are crucial in XAS and also point to the importance of dynamic screening. Our method simplifies the screening calculations by using a local basis. Local basis set methods have also been used to advantage in various related calculations aryas95 ; rohlfing93 .

Within the TDLDA zs  or TDHF crljen87  approximations, the photon cross-section (or XAS) $`\sigma (\omega )`$ can be expressed as an integral over the non-interacting response function $`\chi _0(\stackrel{}{r},\stackrel{}{r},^{}\omega )`$ and the screened x-ray field $`\varphi (\stackrel{}{r},\omega ).`$ For notational simplicity, it is convenient to regard the continuous coordinates $`\stackrel{}{r}`$ and $`\stackrel{}{r}^{}`$ as vector or matrix indices, which may be suppressed unless needed for clarity. Then the XAS can be expressed compactly as

$$\sigma (\omega )=\frac{4\pi \omega }{c}\varphi ^{}(\omega )[\mathrm{Im}\chi _0(\omega )]\varphi (\omega ),$$
(1)
where

$$\chi _0(\stackrel{}{r},\stackrel{}{r},^{}\omega )=\underset{ij}{}(f_if_j)\frac{\psi _i^{}(\stackrel{}{r})\psi _i(\stackrel{}{r}^{})\psi _j^{}(\stackrel{}{r}^{})\psi _j(\stackrel{}{r})}{\omega +E_iE_j+i0^+}.$$
(2)
Eq. (1) is equivalent to an analogous expression with $`\varphi `$ replaced by the external x-ray field $`\varphi ^{ext}`$ and $`\chi _0`$ by the full response function $`\chi `$ zs . Here $`f_i`$ are Fermi occupation numbers (1 or 0), and the sums run over all one-electron eigenstates $`\psi _i(\stackrel{}{r})`$ of the ground state Hamiltonian. The field $`\varphi (\omega )`$ consists of the external field $`\varphi ^{ext}\widehat{ϵ}\stackrel{}{r}`$ (in the dipole approximation) plus an induced local field, which in matrix form is given by

$$\varphi (\omega )=ϵ^1(\omega )\varphi ^{ext}(\omega ),ϵ(\omega )=1K(\omega )\chi ^0(\omega ).$$
(3)
Here $`K(\stackrel{}{r},\stackrel{}{r},^{}\omega )`$ denotes the particle-hole interaction (or TDLDA kernel), which contains direct and exchange parts, i.e.,

$$K(\stackrel{}{r},\stackrel{}{r},^{}\omega )=V(\stackrel{}{r},\stackrel{}{r}^{})+f_{xc}(\stackrel{}{r},\stackrel{}{r},^{}\omega ),$$
(4)
and $`V=1/|\stackrel{}{r}\stackrel{}{r}^{}|`$ is the Coulomb interaction.

In this paper we consider several approximations for $`f_{xc}(\omega )`$, which is generally a non-local, frequency dependent operator: i) The RPA ($`f_{xc}=0`$) – to the extent exchange can be neglected, the RPA is adequate swebert98 . ii) Adiabatic TDLDA ($`f_{xc}(0)=f_{xc}^0`$) – this static limit $`f_{xc}^0(\stackrel{}{r},\stackrel{}{r}^{})=\delta (\stackrel{}{r}\stackrel{}{r}^{})\delta v_{xc}[\rho (\stackrel{}{r})]/\delta \rho `$, is dependent on the local density and is obtained from the ground-state LDA exchange-correlation potential $`v_{xc}[\rho ]`$. iii) Dynamic TDLDA model – An LDA for the frequency dependence of $`f_{xc}(\omega )`$ was developed by Gross and Kohn grosskohn . At the large x-ray energies of interest here, this $`f_{xc}(\omega )`$ is strongly suppressed, and yields results close to the RPA swebert98 . However, such results are clearly at odds with experiment for nearly empty $`d`$-bands (Fig. 1). iv) Dynamic TDLDA/BSE model – Our aim here is to improve on i), ii) and iii) for $`L_{2,3}`$ XAS, based partly on the BSE rohlfinglouie ; soininen ; strinati ; hanke80 . In the BSE, the matrix elements $`vc|f_{xc}(\omega )|v^{}c^{}`$ depend on the dynamically screened Coulomb interaction $`W(\omega )=\stackrel{~}{ϵ}^1(\omega )V`$, through an effective inverse dielectric matrix $`\stackrel{~}{ϵ}^1(\omega )`$ strinati . However the actual dependence on $`\omega E_cE_v`$ is matrix element dependent, and depends on the effective dielectric response at the energy-transfer frequency, i.e., $`\stackrel{~}{\omega }=\omega +E_c^{}E_vE_v^{}E_v`$. This behavior can be seen explicitly in plasmon-pole models rohlfinglouie . For $`L_{2,3}`$ XAS, the most important occupied states $`v,v^{}`$ are the $`2p_{1/2}`$ and $`2p_{3/2}`$ levels, which are split by a moderate spin-orbit interaction $`\mathrm{\Delta }_{so}`$, ranging from 5 eV for Sc to 20 eV for Cu. The matrix elements with zero energy transfer correspond to static screening; thus it is reasonable to set $`f_{xc}(\omega )=f_{xc}^0`$ for $`v=v^{}`$. We also tried the unscreened, non-local TDHF exchange operator for $`v=v^{}`$, which corresponds to an unscreened core-hole potential, but found it to be much too strong. For the off-diagonal elements ($`vv^{}`$), however, we found that the unscreened exchange operator (i.e., the high frequency limit $`W=V`$) has only a small effect. This suggests that the effects of dynamic screening on off-diagonal terms at moderately high frequency $`\stackrel{~}{\omega }=\mathrm{\Delta }_{so}`$ are also small and can be neglected. This behavior is in contrast to the case for optical absorption, where the adiabatic limit ($`\stackrel{~}{\omega }=0`$) is a good approximation and can be used for all matrix elements rohlfinglouie . Thus remarkably, we find that elaborate calculations of dynamical screening can be avoided for $`L_{2,3}`$ XAS by using a simplified dynamic model $`f_{xc}(\omega )\stackrel{~}{f}_{xc}(\stackrel{~}{\omega }),\stackrel{~}{\omega }=E_vE_v^{}`$, i.e., $`\stackrel{~}{f}_{xc}(\stackrel{~}{\omega })=f_{xc}^0`$ for $`\stackrel{~}{\omega }=0`$ and $`\stackrel{~}{f}_{xc}(\stackrel{~}{\omega })=0,(\stackrel{~}{\omega }=\mathrm{\Delta }_{so})`$ This defines our dynamic TDLDA/BSE model, which leads to reasonable agreement with experiment (Fig. 1).

Next we briefly outline our calculations, which make use of the RSMS formalism (i.e., the real-space analog of the Koringa-Kohn Rostoker (KKR) band structure method) of our self-consistent, all-electron FEFF8 code arrc . To begin we rewrite Eq. (1) as

$$\sigma (\omega )=\frac{4\pi e^2\omega }{c}\underset{v,LL^{}}{}\stackrel{~}{M}_{vL}(\omega )\rho _{L,L^{}}(E)\stackrel{~}{M}_{vL^{}}(\omega ),$$
(5)
where $`E=\omega +E_vE_F`$ is the photoelectron energy. The screening of both the x-ray field and the photoelectron-core hole interaction are included implicitly in the renormalized dipole matrix elements crljen87 , $`\stackrel{~}{M}_{vL}(\omega )=R_L|\varphi |v`$, where $`L=(\kappa ,m)`$ denotes a relativistic angular momentum basis. The quantities $`\rho _{L,L^{}}(E)`$ are matrix elements of the unoccupied one-electron density matrix,

$`\rho (\stackrel{}{r},\stackrel{}{r}^{},E)`$ $``$ $`{\displaystyle \underset{c}{}}\psi _c(\stackrel{}{r})\psi _c^{}(\stackrel{}{r}^{})\delta (EE_c),`$
$`=`$ $`{\displaystyle \underset{L,L^{}}{}}R_L(\stackrel{}{r})R_L^{}(\stackrel{}{r}^{})\rho _{L,L^{}}(E),`$
$`\rho _{L,L^{}}(E)`$ $`=`$ $`\delta _{L,L^{}}+\chi _{L,L^{}}(E).`$ (6)
Here $`R_L(\stackrel{}{r},E)`$ are normalized scattering states calculated with the absorbing atom potential, and $`\chi _{L,L^{}}(E)`$ contains the fine structure in the XAS due to scattering by the environment arrc . Note that by replacing $`\varphi `$ with $`\varphi ^{ext}`$ in Eq. (5), the screened dipole matrix elements $`\stackrel{~}{M}_{vL}`$ become bare dipole matrix elements $`M_{vL}=R_L|\widehat{ϵ}\stackrel{}{r}|i`$, and one recovers the independent electron formula, equivalent to Fermi’s Golden Rule. Since the strength of the XAS is a measure of the screening response, the independent-electron approximation should become increasingly valid away from the edge region.

The second key approximation in our approach is the use of a local basis for calculations of $`\chi _0`$ and $`\stackrel{~}{M}_{vL}`$. This is done starting from an expression in terms of a Kramers-Kronig (KK) transform over the density matrix,

$`\chi _0(\stackrel{}{r},\stackrel{}{r}^{},\omega )`$ $`=`$ $`{\displaystyle \underset{v}{}}\psi _v^{}(\stackrel{}{r})\psi _v(\stackrel{}{r}^{}){\displaystyle _{E_F}^{\mathrm{}}}{\displaystyle \frac{dE}{\pi }}\rho (\stackrel{}{r},\stackrel{}{r},^{}E)`$
$`\times `$ $`\left[{\displaystyle \frac{1}{\omega E+E_v+i\delta }}+{\displaystyle \frac{1}{\omega +EE_v+i\delta }}\right].`$
Once $`\chi _0`$ is known, Eq. (3) could be solved iteratively in real space to obtain $`\varphi (\stackrel{}{r})`$ zs . However, this procedure is computationally expensive for extended systems, since it involves KK transforms for many $`(\stackrel{}{r},\stackrel{}{r},^{}\omega )`$ points. To simplify this calculations, we make the reasonable assumption zs  that the induced charge $`\rho ^{ind}=\chi _0(\omega )\varphi `$ that screens the x-ray field, is local and arises largely from a few significant orbitals on the absorbing atom. This is convenient, since our formulation only needs the screened field $`\varphi (\stackrel{}{r},\omega )`$ at short distances to calculate the deep-core transition matrix $`\stackrel{~}{M}_{vL}(\omega )`$. Thus to approximate $`\varphi `$, we introduce the atomic projection operator $`P=_n|\psi _n\psi _n|`$, which projects a given function onto a local basis set of atomic-like orbitals on the central atom. Then the density matrix can be approximated by its local contribution $`\rho \rho ^{loc}=P\rho P`$. These approximations can be systematically improved by including a more complete set. Thus

$`\chi _0^{loc}(\stackrel{}{r},\stackrel{}{r},^{}\omega )`$ $`=`$ $`{\displaystyle \underset{vnn^{}}{}}\psi _v^{}(\stackrel{}{r})\psi _n^{}(\stackrel{}{r}^{})\chi _{vn,vn^{}}^{loc}(\omega )`$
$`\times `$ $`\psi _v(\stackrel{}{r}^{})\psi _n^{}(\stackrel{}{r}),`$
$`\chi _{vn,vn^{}}^{loc}(\omega )`$ $`=`$ $`{\displaystyle \frac{k}{\pi }}{\displaystyle \underset{L,L^{}}{}}{\displaystyle _{E_F}^{\mathrm{}}}𝑑E{\displaystyle \frac{n|R_L\rho _{L,L^{}}R_L^{}|n^{}}{\omega E+E_v+i\delta }},`$
where $`k=\sqrt{2(\omega +E_v)}`$. Note that the localized part of $`\chi _0`$ does not require a KK transform at each point, since the localized part of the photoelectron wave function can be separated into energy and position dependent parts. Moreover, the overlap matrices $`n|R_L`$ decay rapidly with energy, so the KK transform converges well. This approximation then leads to a fast matrix formulation for $`\stackrel{~}{M}_{vL}`$. From Eq. (3), we obtain (summation over repeated indices being implicit)

$`\varphi (\stackrel{}{r},\omega )`$ $``$ $`\varphi ^{ext}(\stackrel{}{r},\omega )+{\displaystyle \underset{v^{}n^{}n^{\prime \prime }}{}}{\displaystyle }d\stackrel{}{r}^{}K(\stackrel{}{r},\stackrel{}{r},^{}\omega )`$ (9)
$`\times `$ $`\psi _v^{}^{}(\stackrel{}{r}^{})\psi _n^{}(\stackrel{}{r}^{})\chi _{v^{}n^{},v^{}n^{\prime \prime }}^0(\omega )\stackrel{~}{M}_{v^{}n^{\prime \prime }},`$
where $`\stackrel{~}{M}_{vn}=\psi _n|\varphi |v`$ is calculated by integrating Eq. (9) over the core and basis set functions,

$`\stackrel{~}{M}_{vn}(\omega )`$ $`=`$ $`M_{vn}+K_{vn,v^{}n^{}}\stackrel{~}{\chi }_{v^{}n^{},v^{}n^{\prime \prime }}^{loc}(\omega )\stackrel{~}{M}_{v^{}n^{\prime \prime }}(\omega ),`$
$`M_{vn}`$ $`=`$ $`n|\varphi ^{ext}|v,K_{vn,v^{}n^{}}=vn|K|v^{}n^{}.`$ (10)
These equations can readily be solved by matrix inversion. Finally on integrating Eq. (9) over the core- and final state-wave functions, we get

$`\stackrel{~}{M}_{vL}(\omega )`$ $`=`$ $`M_{vL}(\omega )+K_{vL,v^{}n^{}}\chi _{vn^{},v^{}n^{\prime \prime }}^{loc}\stackrel{~}{M}_{v^{}n^{\prime \prime }},`$
$`K_{vL,v^{}n^{}}`$ $`=`$ $`vR_L|K(\omega )|v^{}n^{},`$ (11)
where $`R_L`$ denotes the scattering-state $`R_L(\omega E_v)`$. The matrix form in Eq. (Dynamic screening in $`L_{2,3}`$-shell transition metal x-ray absorption) is very efficient, and has been implemented using an extension of our FEFF8 code. This extension is straightforward, since only the dipole matrix elements need be modified to incorporate screening. Due to the local form of $`\stackrel{~}{f}_{xc}(\stackrel{~}{\omega })`$, the contributions to $`K_{vL,v^{}n^{}}(\omega )`$ satisfy the same selection rules and can be calculated using standard formulas for Coulomb interaction matrix elements grant .

Typical results near the beginning and end of the transition metal series are presented for Ti and Ni in Fig. 2. The dramatic differences reflect differences in the response between nearly empty and nearly filled $`d`$-bands, and are strongly dependent on the form of $`f_{xc}(\omega )`$. For all calculations we used theoretical atomic core-hole life-times keski . We did not add additional broadening to correct for experimental resolution, though this would give slightly better agreement with experiment (Fig. 1). Our results for the RPA agree well with those of Ref. \[swebert98, \], which validates our local screening approximation. Note that the RPA is only a good approximation for nearly empty $`d`$-bands, while the adiabatic $`f_{xc}^0`$ is appropriate only for nearly filled ones. However, our dynamic model $`\stackrel{~}{f}_{xc}(\stackrel{~}{\omega })`$ is clearly satisfactory for the entire series.

Since screening redistributes the oscillator strength between the $`L_2`$ and $`L_3`$ edges, the importance of these many-body corrections appears to cast doubt on the accuracy of results obtained from the XAS “sum-rules” swebert98 . These sum-rules allow one to determine various spin- and orbital-moments from linear combinations of the $`L_2`$ and $`L_3`$ XAS nesvisr . However, one can now correct these procedures for local-field effects with our approach, e.g., by substituting the screened XAS cross-section, in place of the one-electron result in the analysis.

In summary, we have found that dynamic screening of the photoelectron-core hole interaction, which gives rise to a frequency dependent exchange-correlation operator $`f_{xc}(\omega )`$, is crucial in calculations of transition metal $`L_{2,3}`$ spectra. However, we have found a dynamic model based on the TDLDA and BSE, which accounts well for the frequency and matrix element dependence, by neglecting off diagonal, high frequency screening terms. With this model, we have developed an efficient approach for including screening in deep-core XAS, based on calculations of screened dipole matrix elements. Our approach goes beyond the conventional TDLDA, and is similar in some respects to a screened TDHF approximation hanke80 . Moreover, the approach yields good agreement with experiment for the $`L_{2,3}`$ XAS of 3d transition metals, without the complexity of full dynamic-screening calculations.

###### Acknowledgements.

We thank J. Chelikowsky, H. Ebert, W. Ku, Z. Levine, S. Pantelides, G. Sawatzky, E. Shirley and especially G. Bertsch and A. Soininen for helpful comments. This work was supported by DOE grants DE-FG03-97ER45623 and DE-FG03-98ER45718, and was facilitated by the DOE Computational Materials Science Network.


text:
# An algorithm for computing the Weierstrass normal form of hyperelliptic curves

## 1 Introduction

The problem we consider is the same as in , but then for the hyperelliptic case instead of the elliptic case. Let $`C`$ be an algebraic curve given by an irreducible polynomial $`f[x,y]`$. The function field of $`C`$ is the field of fractions of $`[x,y]/(f)`$, and is denoted as $`(x,y)`$. We want to decide if $`C`$ is hyperelliptic or not. If $`C`$ is hyperelliptic, we want to find a Weierstrass normal form for $`C`$ (i.e. an equation $`y_0^2=F(x_0)`$ for some squarefree polynomial $`F(x_0)[x_0]`$). We want to find a birational map from $`C`$ to this normal form, and its inverse. This means expressing $`x,y`$ in terms of $`x_0,y_0`$ and vice versa. Let $`g`$ be the genus of $`C`$.

The problems to be solved are the following

* Decide if $`C`$ is hyperelliptic or not. By definition, $`C`$ is hyperelliptic if $`g>1`$ and there exists $`x_0(x,y)`$ such that $`(x_0)`$ is a subfield of $`(x,y)`$ with index 2. If $`C`$ is hyperelliptic then the field $`K:=(x_0)`$ is unique.
* Find a generator $`x_0`$ of $`K`$.
* Find an element $`y_0`$ of $`(x,y)`$, not in $`K`$. Take for example $`y_0=x`$ (interchange $`x,y`$ if it turns out that $`xK`$). Compute the minimal polynomial of $`y_0=x`$ over $`K`$. This is done by writing $`x_0`$ as a quotient $`v_1/v_2`$ with $`v_1,v_2[x,y]`$ and computing the resultant $`\mathrm{Res}_y(v_2\stackrel{~}{x}_0v_1,f)`$ where $`\stackrel{~}{x}_0`$ is the name of a variable that plays the role of $`x_0`$. Then add an element of $`K`$ to $`y_0`$ to change its minimal polynomial into the form $`y_0^2F(x_0)`$ for some rational function $`F(x_0)K`$. Then multiply $`y_0`$ by an element of $`K`$ to turn $`F_0`$ into a squarefree polynomial.
* At this point the functions $`x_0,y_0`$ are expressed as elements of $`(x,y)`$ and their algebraic relation $`y_0^2F(x_0)`$ is in Weierstrass form. Now view $`x_0,y_0`$ as variables $`\stackrel{~}{x}_0,\stackrel{~}{y}_0`$, and express $`x,y`$ as rational functions in these variables. This can be done in the same way as in .

## 2 Decide if $`C`$ is hyperelliptic

If $`f[x,y]`$ is irreducible, then we can decide if $`C`$ is elliptic by computing the genus $`g`$. The curve is elliptic if and only if $`g=1`$. For the hyperelliptic case more work needs to be done. An algorithm for this is implemented in Maple 6. To view the it, issue the following commands in Maple 6 or higher
`interface(verboseproc=2): op(‘algcurves/is_hyperelliptic‘);`
and the following code appears

```
proc(f, x, y)
local a, b, i, j, g, z;
option remember, ‘Copyright (c) 1999 Waterloo Maple Inc. All rights\
 reserved. Author: M. van Hoeij‘;
    i := degree(f, {x, y});
    j := min(degree(f, x), degree(f, y), i - ldegree(f, {x, y}));
    if i < 4 or j < 2 then false
    elif j = 2 then evalb(1 < ‘algcurves/genus‘(f, x, y))
    else
        b := ‘algcurves/differentials‘(f, x, y, skip_dx);
        g := nops(b);
        j := 1/2*(i - 1)*(i - 2) - g;
        if g = 2 then true
        elif g < 2 or j < 2 or j < 4 and
        {seq(z[3], z = ‘algcurves/singularities‘(f, x, y))} = {1}
        then false
        else
            z := {seq(a[i], i = 1 .. g)};
            j := {coeffs(expand(numer(subs(RootOf(f, y) = y, evala(
                Expand(
                subs(y = RootOf(f, y), add(a[i]*b[i], i = 1 .. g)^2))))))
                , z)};
            z := {seq(a[i], i = 1 .. nops(j))};
            z := nops(j) - nops(indets(subs(‘solve/linear‘({coeffs(
                expand(add(a[i]*j[i], i = 1 .. nops(j))), {x, y})}, z)
                , z)) intersect z);
            if z < 2*g - 1 then error "should not happen"
            else evalb(z = 2*g - 1)
            end if
        end if
    end if
end proc

```

We will not explain all steps, but the main steps are the following.

* Let $`V`$ be the vector space of holomorphic differentials. An algorithm described in  is used to compute a basis $`b_1,\mathrm{},b_g`$ for $`V`$.
* If $`g<2`$ then the curve is not hyperelliptic and the algorithm stops.
* Let $`W`$ be the span of all $`b_ib_j`$, $`1ijg`$.
* If $`C`$ is hyperelliptic, and if $`t`$ is any generator of $`K`$, i.e. $`K=(t)`$, then it is known that

$$t^i\mathrm{d}t,i=0,\mathrm{},g1$$
(1)
is a basis of $`V`$. Then $`t^i\mathrm{d}^2t`$, $`i=0,\mathrm{},2g2`$ must be a basis of $`W`$. So if $`C`$ is hyperelliptic then the dimension of $`W`$ must be $`2g1`$. It is not hard to show that if $`C`$ is not hyperelliptic and $`g>1`$ then $`\mathrm{dim}(W)>2g1`$.
In the algorithm, $`z=\mathrm{dim}(W)`$. Testing if $`z=2g1`$ decides if $`C`$ is hyperelliptic or not.

## 3 Compute a function of degree 2

Once we have a generator $`x_0`$ for $`K`$, it is not difficult to find $`y_0`$, see section 1. This is implemented in Maple in the procedure `‘algcurves/genus2‘` (to view the code type similar commands as in the previous section). After that, the remaining steps are the same as in .

So the main remaining problem to be solved is to compute some generator $`x_0`$ of $`K`$. We have a basis $`b_1,\mathrm{},b_g`$ of $`V`$. We want to find two particular elements of $`V`$, whose quotient is a generator of $`K`$. For example, if $`t`$ is any generator of $`K`$, then $`\mathrm{d}t`$, $`t\mathrm{d}t`$ will do, and so will $`t^{g2}\mathrm{d}t`$, $`t^{g1}\mathrm{d}t`$. We will describe how to find a subspace $`V_2V`$ of the form $`t^{g2}\mathrm{d}t+t^{g1}\mathrm{d}t`$ for some generator $`t`$ of $`K`$. If $`v_1,v_2`$ is any basis of $`V_2`$, then we can take $`x_0=v_1/v_2`$ as our generator of $`K`$.

The idea for finding $`V_2`$ is the following. Take an arbitrary nonsingular point $`P`$ on the curve. Since $`t`$ may be any generator of $`K`$, we may assume without loss of generality that $`t(P)=0`$. Then $`t^{g1}\mathrm{d}t`$ has the highest valuation at $`P`$ of any nonzero element of $`V`$, and $`t^{g2}\mathrm{d}t`$ has the second highest valuation. So we can find $`V_2`$ from $`V`$ by solving linear equations: As long as $`\mathrm{dim}(V)>2`$, let $`m`$ be the smallest valuation at $`P`$ of any element of $`V`$. Then compute the subspace of $`V`$ of those elements that have valuation $`>m`$, and replace $`V`$ by that subspace. This way the dimension decreases, and after a number of steps $`V`$ will equal $`V_2`$. Then take $`x_0=v_1/v_2`$ where $`v_1,v_2`$ is any basis of $`V_2`$. This is implemented in Maple in the procedure `‘algcurves/index2subfield‘`.

## 4 An example

$$f=y^9+3x^2y^6+3x^4y^3+x^6+y^2$$

This curve has genus 3 and is hyperelliptic. The result of the Maple commands:
`with(algcurves): Weierstrassform(f,x,y,x0,y0);`
is

$`[y_{0}^{}{}_{}{}^{2}+27x_0+35x_{0}^{}{}_{}{}^{4}21x_{0}^{}{}_{}{}^{5}+7x_{0}^{}{}_{}{}^{6}x_{0}^{}{}_{}{}^{7}+21x_{0}^{}{}_{}{}^{2}35x_{0}^{}{}_{}{}^{3},`$
$`{\displaystyle \frac{y\left(y^3+x^2+1\right)}{y^6+2x^2y^3+x^4+y}},{\displaystyle \frac{x\left(y^3+x^2\right)}{y}},(1+x_0)y_0,13x_0+3x_{0}^{}{}_{}{}^{2}x_{0}^{}{}_{}{}^{3}]`$
The first expression is the Weierstrassform $`y_0^2F(x_0)`$. The second expression is a generator for the field $`K`$, i.e. a function of degree 2 in $`(x,y)`$. Under the birational map this corresponds to $`x_0`$. The third expression is the image of $`y_0`$ under this birational map. The 4’th and 5’th expression are $`x,y`$ expressed in terms of $`x_0,y_0`$.