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# Active nematics on a substrate: giant number fluctuations and long-time tails

(version of 6 June 2002, printed )

## Abstract

We construct the equations of motion for the coupled dynamics of order parameter and concentration for the nematic phase of driven particles on a solid surface, and show that they imply (i) giant number fluctuations, with a standard deviation proportional to the mean and (ii) long-time tails $`t^{d/2}`$ in the autocorrelation of the particle velocities in $`d`$ dimensions despite the absence of a hydrodynamic velocity field. Our predictions can be tested in experiments on aggregates of amoeboid cells as well as on layers of agitated granular matter.

Recent experiments gruler ; kudro  offer evidence for long-ranged orientational order in collections of driven particles. The work of gruler  is concerned with aggregates of living cells confined to a solid surface, whereas that of kudro  studies vertically vibrated layers of granular rods. Two kinds of uniaxial orientational order are discussed in gruler , and appear to arise in kudro  as well: (i) nematic or apolar, where the axes of the elongated cells are oriented, say along a mean direction $`\widehat{𝐧}`$, but $`\widehat{𝐧}`$ and - $`\widehat{𝐧}`$ are equivalent; and (ii) vectorial or polar order, where $`\widehat{𝐧}`$ and - $`\widehat{𝐧}`$ are not equivalent. On symmetry grounds curieprincip , a vector-ordered nonequilibrium steady state should have a nonzero macroscopic drift velocity $`𝐯_0`$, while for true nematic order $`𝐯_0=0`$.

We shall be concerned here with strictly nematic order. In kudro  a nematic phase is mentioned but not discussed much. In gruler , there is particularly convincing evidence for a nematic, including images of classic strength -$`1/2`$ disclinations, from studies on melanocytes (cells which distribute pigment in the skin). In fact in this class of cells the individual particles themselves are head-tail symmetric, or apolar, so that the drift velocity is zero for each particle. The cells involved are tens to hundreds of microns in length, and the rods in kudro  are 6 mm long, so that thermal Brownian motion plays no role in the dynamics of these particles. What distinguishes the particles in these experiments from conventional nematics is their active or driven character: they absorb energy from their surroundings (from nutrient in one case, shaking in the other) and transform it into motion in the plane. The dynamical behaviour of melanocytes, for example, involves rhythmic movements of the cell body as well as two long projections called dendrites which appear to be responsible for the inter-cell interaction and the level of fluctuations gruler . In granular rods the interaction and noise come from collisions. Ordered phases of particles on an air-table ojha  would also obey our model, except for possible complications arising from the periodic array of air-holes.

As has been noted earlier vicseketal ; tonertu  the organization, dynamics, and fluctuation properties of such active, energy-dissipating objects cannot be described by equilibrium statistical physics. Continuum models appropriate for the dynamics of polar order wherein the particles are on average in motion were presented in tonertu ; the extension of those models to include momentum-conserving hydrodynamic flow and both polar and apolar order was discussed in sppprl . The cells in gruler  and the rods in kudro , however, move on a solid surface which acts as a momentum sink for the velocity even at zero wavenumber.

In this paper we derive the most general universal equations of motion, valid for all systems of active nematogenic particles without total momentum conservation momentum , for the apolar order parameter and concentration fields in such systems, retaining all relevant terms allowed by symmetry. Our aim is to look for universal properties, independent of microscopic details, that distinguish these active nematics from their counterparts at thermal equilibrium.

Two predictions stand out as most striking: (i) The standard deviation in the number $`N`$ of particles is enormous, scaling as $`N`$ in the entire nematic phase for two dimensional systems. By contrast, in any thermal equilibrium system with a finite compressibility, which in practice means any equilibrium system not at a continuous phase transition, number fluctuations are far smaller, scaling as $`\sqrt{N}`$ as $`N\mathrm{}`$. (ii) The autocorrelation of the velocity of a tagged particle decays with time $`t`$ as $`t^{d/2}`$ for space dimension $`d2`$. It should be recalled that precisely this form of long-time tail tails  occurs in bulk fluids at thermal equilibrium, but as a result of advection of particles by thermal fluctuations in the hydrodynamic velocity field, which decays slowly because of momentum conservation. Here the total momentum of the particles is not conserved, since it is damped by friction with the substrate srmaz . A collection of particles at thermal equilibrium on a substrate would show velocity autocorrelations decaying much more rapidly pago ; specifically as $`t^{(d+2)/2}`$. It should be possible to test these predictions by studying large-scale real-space images and videos of the behavior of systems such as those in gruler  as well as two-dimensional nematic phases in agitated layers of granular particles kudro .

Our predictions for nematically ordered phases of powders stand in dramatic contrast to experimental results obtained on disordered, monodisperse powders (ping-pong balls) ojha , which showed that the latter systems could be described surprisingly completely by equilibrium statistical mechanics, albeit with a very high fictive temperature liudurian . The findings we’ve summarized above clearly show that nematic phases of rod-like powders cannot be described by equilibrium statistical mechanics at all, even at the crudest level of scaling liukurchan .

We turn next to the construction of our equations of motion.

Since our nematogens are spread on a solid substrate, there is only one conserved quantity of relevance, namely, the number of particles. A description valid at sufficiently long length- and time-scales mpp  needs then to include only the concentration field $`c(𝐫,t)`$ of particles and the orientational order parameter, described by the traceless symmetric tensor field Q with components $`Q_{ij}(𝐫,t)`$ at point $`𝐫`$ and time $`t`$. For uniaxial nematics, to which we restrict our attention here, we can write $`\text{Q}=[\mathrm{𝐧𝐧}(1/d)\text{I}]S`$, where the unit vector $`𝐧`$ is the director field, I is the unit tensor, and the conventional scalar order parameter $`S`$ degp  measures the degree of order. It is however convenient to introduce and later eliminate a fast variable, the velocity field $`𝐯(𝐫,t)`$ of the particles. Number conservation tells us that

$$\frac{c}{t}=𝐣$$
(1)
where the number current $`𝐣=c𝐯`$. Newton’s 2nd law for the local momentum density $`m𝐣`$, where $`m`$ is the mass of a particle, gives

$$m\frac{𝐣}{t}=\mathrm{\Gamma }𝐯\sigma +𝐟_R=\mathrm{\Gamma }\text{v}w_ocw_1(\text{Q}c)+\text{f}_R$$
(2)
up to bilinear order in the fields. In (2), the term in $`\mathrm{\Gamma }`$ represents friction with the substrate, the stress tensor $`\sigma `$ contains the effect of interparticle interactions, the $`w_0`$ term can be thought of as osmotic pressure, $`𝐟_R`$ is a random, nonconserving, spatiotemporally white Gaussian noise, not in general of thermal origin, and the $`w_1`$ term, unique to this driven system, says that inhomogeneities in the nematic order drive mass motion.

To see where this comes from, note first that, by definition, inhomogeneities in $`\sigma `$ produce local acceleration. What is novel here is that there is a contribution to the stress tensor proportional to the nematic order parameter. This is allowed by symmetry here, and can be obtained by noting (see sppprl ; pumplong ) that each active particle is a force dipole. Such a term is not allowed in an equilibrium nematic since the stress tensor in equilibrium must be derived from functional derivatives of the free energy. Since that  free energy must be rotation invariant, it can only depend on derivatives of the nematic director $`\widehat{𝐧}`$ (in fact, this argument leads to the familiar Frank free energy degp  for equilibrium nematics). Functional derivatives of this then lead to a stress $`\sigma `$ which depends on derivatives of n. Since we are considering non-equilibrium nematics, however, this constraint that $`\sigma `$ be derived from a functional derivative of a rotation-invariant free energy does not apply. Hence, the only constraint on allowed terms is rotation invariance of the equations of motion, which is respected by a term in $`\sigma `$ proportional to Q high , since both objects are symmetric second rank tensors.

We now restrict our attention only to small fluctuations about the uniaxial nematic phase, aligned along the $`z`$ axis, and denote vector components in directions normal to $`z`$ by the subscript $``$. We assume the nematic order is well developed, so that $`S`$ can be treated as constant, and consider spatial variations $`c(𝐫,t)=c_0+\delta c(𝐫,t)`$, where $`c_0`$ is the mean concentration, and $`𝐧(𝐫,𝐭)=\widehat{𝐳}+\delta 𝐧(𝐫,𝐭)`$. Since $`𝐧`$ is a unit vector, we need consider only the transverse components $`\delta 𝐧_{}`$.

To close our equations, we need the equation of motion for n sppprl , which is identical in form to that for an equilibrium nematic and reads, to linear order:

$`_t\delta 𝐧_{}=\lambda _+_z𝐯_{}+\lambda _{}\mathbf{}_{}v_z+K_1\mathbf{}_{}(\mathbf{}_{}\delta 𝐧_{})+K_2_{}^2\delta 𝐧_{}+K_3\delta _z^2\delta 𝐧_{}+𝐟_{}.`$ (3)
Here $`\lambda _\pm =(\lambda \pm 1)/2`$; $`\lambda `$ is the “flow alignment parameter”, familiar from equilibrium nematics, which affects the response of the nematic director to shear, and the noise $`𝐟_{}`$ is delta-correlated in space and time:

$`f_i(𝐫,t)f_j(𝐫^{},t^{})=\delta _{ij}\mathrm{\Delta }_n\delta ^d(𝐫𝐫^{})\delta (tt^{})`$ (4)
We now use the equation of motion (2) to eliminate v. For hydrodynamically slow processes, $`_t𝐯\mathrm{\Gamma }𝐯`$, and so we can neglect the $`_t𝐯`$ term in (2) and immediately solve for v, finding, to linear order,

$`𝐯=\alpha \left(_z\delta 𝐧_{}+\left(_{}\delta 𝐧_{}\right)\widehat{𝐳}\right)\gamma _1\mathbf{}_{}c\gamma _2_zc\widehat{𝐳}+{\displaystyle \frac{𝐟_R}{\mathrm{\Gamma }}}`$ (5)
where $`\alpha `$ and $`\gamma _i`$ are related to $`c_o`$, $`S`$ and the coefficients in (2). Inserting (5) into (1) gives, to linear order in fluctuations, the concentration equation of motion

$$\frac{\delta c}{t}=(D_z_z^2+D_{}_{}^2)\delta c+2c_0\alpha _z(_{}\delta 𝐧_{})+𝐟_c$$
(6)
where the various coefficients in (6) and the noise $`𝐟_c`$ are derived from those in (2) and (5). The leading nonlinearities that arise in (6) are of the form $`_{}(_z\delta 𝐧_{}\delta c)`$ and similar terms, as well as $`(\mathbf{}_{}\delta 𝐧_{})^2`$ and similar terms. These nonlinearities as well as the couplings to the director in (6) are forbidden at thermal equilibrium.

The director dynamics obtained by inserting (5) into (3) is given to linear order by

$$\frac{\delta 𝐧_{}}{t}=(K_z_z^2+K_{}_{}^2+K_L^{}\mathbf{}_{}\mathbf{}_{})\delta 𝐧_{}+D_{cn}_z\mathbf{}_{}\delta c+𝐟_{}$$
(7)
where, again, the phenomenological parameters and noise source $`𝐟_{}`$ are derived from corresponding terms in (2) to (5). The leading nonlinearities which will appear in (7) are of the form $`_z\delta 𝐧_{}(\mathbf{}_{}\delta 𝐧_{})`$, $`\delta 𝐧_{}_z(\mathbf{}_{}\delta 𝐧_{})`$ and similar terms. These nonlinearities too are completely nonequilibrium in origin.

The concentration field as well as the nonlinearities mentioned above are absent in the treatment of Gruler et. al. gruler . The effect of the nonlinearities will be dealt with elsewhere unpub . The inclusion of the concentration field leads to our most striking nonequilibrium effect, namely, the giant number fluctuations we predict below.

The linearized equations of motion are easily analyzed for their mode structure, possible instabilities, and fluctuation statistics. This is most conveniently done by Fourier-transforming in space and time, i.e., considering modes that go as $`\mathrm{exp}(i𝐪.𝐫i\omega t)`$. Doing this enables us to rewrite (6) and (7) as

$`\left[i\omega +D_c\left(\widehat{𝐪}\right)q^2\right]\delta c(𝐪,\omega )+2c_0\alpha q_zq_{}\delta n_L(𝐪,\omega )=i𝐪𝐟_c(𝐪,\omega )`$ (8)
$`D_{cn}q_zq_{}\delta c(𝐪,\omega )+\left[i\omega +K_L\left(\widehat{𝐪}\right)q^2\right]\delta n_L(𝐪,\omega )=f_L(𝐪,\omega )`$ (9)
$`\left[i\omega +K_T\left(\widehat{𝐪}\right)q^2\right]\delta 𝐧_T=𝐟_T`$ (10)
where

$`f_L(𝐪,\omega )\widehat{𝐪}_{}𝐟_{},𝐟_T=𝐟_{}\widehat{𝐪}_{}\left(\widehat{𝐪}_{}𝐟_{}\right)`$ (11)
$`\delta 𝐧_L(𝐪,\omega )\widehat{𝐪}_{}\left(\widehat{𝐪}_{}\delta 𝐧_{}(𝐪,\omega )\right)`$ (12)
and

$`\delta 𝐧_T\delta 𝐧_{}\delta 𝐧_L`$ (13)
are, respectively, the components of $`𝐟_{}`$ and $`\delta 𝐧_{}`$ along and transverse to $`\widehat{𝐪}_{}`$ d \> 2  and we’ve defined the direction dependent diffusion constants

$`D_c\left(\widehat{𝐪}\right)D_z\widehat{q}_z^2+D_{}\widehat{q}_{}^2`$ (14)
$`K_L\left(\widehat{𝐪}\right)K_z\widehat{q}_z^2+(K_{}+K_L^{})\widehat{q}_{}^2`$ (15)
$`K_T\left(\widehat{𝐪}\right)K_z\widehat{q}_z^2+K_{}\widehat{q}_{}^2`$ (16)
The eigenfrequencies obtained from these equations are all diffusive. There are $`d2`$ transverse diffusive modes coming from the $`𝐧_T`$ equation, all with identical imaginary frequencies

$`\omega _T=iK_T\left(\widehat{𝐪}\right)q^2`$ (17)
and two coupled concentration - longitudinal modes with

$`\omega _\pm =i\mathrm{\Gamma }_\pm \left(\widehat{𝐪}\right)q^2`$ (18)
with

$`\mathrm{\Gamma }_\pm \left(\widehat{𝐪}\right)={\displaystyle \frac{1}{2}}\left[D_c\left(\widehat{𝐪}\right)+K_L\left(\widehat{𝐪}\right)\pm \sqrt{\left(D_c\left(\widehat{𝐪}\right)K_L\left(\widehat{𝐪}\right)\right)^2+8c_0\alpha D_{cn}\widehat{q}_{}^2\widehat{q}_z^2}\right]`$ (19)
We shall assume linear stability, which is assured if the $`K_i`$s and $`D_i`$s are positive and the combination $`c_0\alpha D_{cn}`$ is not too large.

With these eigenfrequencies in hand, it is straightforward to solve (8) -(10) for $`\delta c`$, $`\delta n_L`$, and $`\delta 𝐧_T`$ obtaining

$`\delta c={\displaystyle \frac{(2c_0\alpha q_{}q_z)f_L}{\left(\omega +i\mathrm{\Gamma }_+\left(\widehat{𝐪}\right)q^2\right)\left(\omega +i\mathrm{\Gamma }_{}\left(\widehat{𝐪}\right)q^2\right)}}`$ (20)
$`\delta n_L={\displaystyle \frac{\left(i\omega +D_c\left(\widehat{𝐪}\right)q^2\right)f_L}{\left(\omega +i\mathrm{\Gamma }_+\left(\widehat{𝐪}\right)q^2\right)\left(\omega +i\mathrm{\Gamma }_{}\left(\widehat{𝐪}\right)q^2\right)}}`$ (21)
$`\delta 𝐧_T={\displaystyle \frac{𝐟_T}{i\omega +K_T\left(\widehat{𝐪}\right)q^2}}`$ (22)
Autocorrelating these, using the known autocorrelations Eqn. (4) for the random forces gives

$`\left|\delta c(𝐪,\omega )\right|^2={\displaystyle \frac{(2c_0\alpha q_{}q_z)^2\mathrm{\Delta }_n}{\left(\omega ^2+\mathrm{\Gamma }_+^2\left(\widehat{𝐪}\right)q^4\right)\left(\omega ^2+\mathrm{\Gamma }_{}^2\left(\widehat{𝐪}\right)q^4\right)}}`$ (23)
$`\left|\delta n_L(𝐪,\omega )\right|^2={\displaystyle \frac{\left(\omega ^2+D_c^2\left(\widehat{𝐪}\right)q^4\right)\mathrm{\Delta }_n}{\left(\omega ^2+\mathrm{\Gamma }_+^2\left(\widehat{𝐪}\right)q^4\right)\left(\omega ^2+\mathrm{\Gamma }_{}^2\left(\widehat{𝐪}\right)q^4\right)}}`$ (24)
$`\delta n_L(𝐪,\omega )\delta c(𝐪,\omega )={\displaystyle \frac{2ic_0\alpha q_zq_{}\left(\omega +iD_c\left(\widehat{𝐪}\right)q^2\right)\mathrm{\Delta }_n}{\left(\omega ^2+\mathrm{\Gamma }_+^2\left(\widehat{𝐪}\right)q^4\right)\left(\omega ^2+\mathrm{\Gamma }_{}^2\left(\widehat{𝐪}\right)q^4\right)}}`$ (25)
$`\delta n_{T_i}(𝐪,\omega )\delta n_{T_j}(𝐪,\omega )={\displaystyle \frac{\mathrm{\Delta }_nP_{ij}^{}\left(\widehat{𝐪}\right)}{\left(\omega ^2+K_T^2\left(\widehat{𝐪}\right)q^4\right)}}`$ (26)
with $`\delta n_{T_i}\delta n_L=\delta n_{T_i}\delta c=0`$ for all $`i`$, $`𝐪`$ and $`\omega `$.

In writing eqns. (23 \- 26), we have neglected all of the contributions coming from the noise $`𝐟_c`$ in the concentration equation of motion (5), since these are all negligible, as $`𝐪\mathrm{𝟎}`$, relative to those coming from the noise $`𝐟_{}`$ in the director equation of motion (3).

Equations (23 \- 26) can now be Fourier-transformed back to get real space-real time correlations functions. One quantity of particular interest are the equal-time, spatially fourier-transformed correlations of the concentration:

$`\delta c(𝐪,t)\delta c(𝐪,t)={\displaystyle _{\mathrm{}}^{\mathrm{}}}{\displaystyle \frac{d\omega }{2\pi }}\left|\delta c(𝐪,\omega )\right|^2={\displaystyle \frac{(2c_0\alpha q_{}q_z)^2\mathrm{\Delta }_n}{F\left(\widehat{𝐪}\right)q^6}}{\displaystyle \frac{1}{q^2}}`$ (27)
where

$`F\left(\widehat{𝐪}\right)2\left(D_c\left(\widehat{𝐪}\right)+K_L\left(\widehat{𝐪}\right)\right)\left[D_c\left(\widehat{𝐪}\right)K_L\left(\widehat{𝐪}\right)2c_0\alpha D_{cn}\widehat{q}_{}^2\widehat{q}_z^2\right]`$ (28)
The important thing about this result is that the $`\left(\delta c\right)^2`$ fluctuations are enormous as $`q0`$, diverging as $`\frac{1}{q^2}`$. This would be equivalent, in an equilibrium system, to having a compressibility which diverged as $`\frac{1}{q^2}`$ as $`q0`$. To restate this in real space, it is as if the compressibility of a system of linear extent $`L`$ diverged according to $`\chi L^2`$ as $`L\mathrm{}`$. Independent of any connection to a response quantity like the compressibility, the rms number fluctuations $`\sqrt{\delta N^2}`$ in a volume $`V`$ scale as $`\sqrt{S(q0)V}`$. For active nematics this implies that

$`\sqrt{\delta N^2}\sqrt{L^2V}L^{1+\frac{d}{2}}N^{\frac{1}{2}+\frac{1}{d}}`$ (29)
where in the last step we’ve used the fact that $`NVL^d`$ and solved for $`L`$ as a function of $`N`$. For $`d=2`$ this recovers our earlier statement that $`\sqrt{\delta N^2}N`$.

Lastly, Eqn. (5) for the velocity implies that the autocorrelation of a tagged particle will be controlled mainly by the effect of soft director fluctuations: a particle at a point in the nematic moves with a speed proportional to the local curvature of $`𝐧_{}`$. This means the autocorrelation of the velocity $`𝐯(t)`$ of a particle with trajectory $`𝐑(t)`$ will be, schematically,

$$𝐯(0)𝐯(t)\delta n_{}(𝐑(0),0)\delta n_{}(𝐑(t),t),$$
(30)
Fourier transforming the $`𝐧`$ correlation functions (25) and (26) back to real space and time, and using the fact that, for a diffusing particle, $`\left|𝐑(t)𝐑(0)\right|^2t`$, implies that the correlation function (30) decays as $`t^{d/2}`$, as claimed earlier diffusionfootnote .

We close with some comments on the experiments in kudro . Although the nematic “phase” in their images appears rather polydomain, it is likely that their system does display true nematic order in some parameter range. Perhaps the polydomain structures coarsen at long times to a true nematic. Such a driven nematic would be the ideal place to test the predictions of this paper. If, for some range of parameters, they are able to find macroscopically aligned regions of tilted rods — which would constitute vectorial order and therefore, as explained in kudro , move coherently in one direction — these would be examples of the moving XY-model of vicseketal ; tonertu . Indeed, the coupled equations for tilt and concentration in aranson , which analyzes the experiments of kudro , are closely related to those of tonertu . Lastly, the “vertical rods” phase, from the images, displays a good deal of order; one wonders whether it is a nonequilibrium realization of a crystal or hexatic.

###### Acknowledgements.

SR and JT thank the Aspen Center for Physics, and SR the Institute for Theoretical Physics, UCSB (NSF Grant PHY99-07949) for partial support. JT acknowledges support from NSF grant #DMR-9980123.


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# References

UdeM-GPP-TH-02-104

$`b`$ Physics Beyond the Standard Model111Talk given at Beauty 2002, Santiago de Compostela, Spain, June 2002.

David London222email: london@lps.umontreal.ca Laboratoire René J.-A. Lévesque, Université de Montréal,

C.P. 6128, succ. centre-ville, Montréal, QC, Canada H3C 3J7

() Abstract
I review the signals for New Physics in CP-violating measurements in $`B`$ and $`\mathrm{\Lambda }_b`$ decays. I also discuss ways of identifying this New Physics, should such a signal be found.

For the past decade or so, there has been an enormous amount of effort, both theoretical and experimental, devoted to the study of $`b`$ physics. The main goal, as always, is to find physics beyond the standard model (SM). In this review, I will address two questions:

1. What are signals of New Physics?
2. If such a signal is found, can we identify the New Physics?

I will focus principally, but not exclusively, on measurements which can be made at hadron colliders. Also, I will concentrate on measurements of CP violation.

In order to detect New Physics, we must observe a deviation from the SM prediction for some process. However, all such predictions have some theoretical input, and the uncertainty on this input limits our ability to deduce the presence of New Physics. In my discussion below, I will rate the various signals of New Physics using the ever-popular “star system”  to indicate the size of the theoretical uncertainty:

* $``$ $``$ theoretical uncertainty $`<1\%`$,
* $``$ $``$ theoretical uncertainty $`<5\%`$,
* $``$ $``$ theoretical uncertainty $`<25\%`$.

(This is inspired by Cabibbo angle counting: $`\lambda 25\%`$, $`\lambda ^25\%`$, $`\lambda ^31\%`$.)

I begin the discussion by reviewing the predictions of the SM, along with the size of the theoretical uncertainty. Note that the following list of predictions is long, but not comprehensive. Any deviation from the SM prediction indicates the presence of New Physics.

* $`𝒜_{CP}^{dir}(B\mathrm{\Psi }K)=0`$. The decay $`B\mathrm{\Psi }K`$ (charged or neutral) has effectively only one weak decay amplitude. In addition to the tree amplitude, there may be a penguin contribution, but (i) it is expected to be small, and (ii) its weak phase is essentially the same as that of the tree. The direct CP asymmetry is therefore predicted to vanish in the SM. $``$
* $`𝒜_{CP}^{mix}(B_d^0(t)\mathrm{\Psi }K_S)=𝒜_{CP}^{mix}(B_d^0(t)\varphi K_S)`$. The decay $`B_d^0\varphi K_S`$ is pure $`bs`$ penguin, which is dominated by an internal $`t`$-quark (CKM matrix elements $`V_{tb}^{}V_{ts}`$). In the Wolfenstein parametrization of the CKM matrix , $`V_{tb}^{}V_{ts}`$ has only a small \[$`O(\lambda ^2)`$\] imaginary piece, so that the penguin decay amplitude is approximately real, as is the amplitude for $`B_d^0\mathrm{\Psi }K_S`$. Both CP asymmetries therefore measure $`\mathrm{sin}2\beta `$ in the SM. Any deviation from this result indicates the presence of New Physics in the $`bs`$ penguin amplitude . $``$
* $`𝒜_{CP}(B_d^0(t)D^{}\rho )`$ measures $`2\beta +\gamma `$. The angular analysis of this decay mode allows one to extract the quantity $`2\beta +\gamma `$ . This may well be the second function of CP phases, after $`\mathrm{sin}2\beta `$, to be measured at $`B`$-factories. $``$
* $`𝒜_{CP}^{mix}(B_s^0(t)\mathrm{\Psi }\varphi )0`$. In the SM, this CP asymmetry probes $`\mathrm{arg}(V_{cb}^{}V_{cs}V_{tb}V_{ts}^{})`$. As mentioned above, $`V_{ts}`$ has a small \[$`O(\lambda ^2)`$\] imaginary piece in the Wolfenstein parametrization, so a nonzero asymmetry is expected at the several percent level. If a larger asymmetry is measured, this probably indicates New Physics in $`B_s^0`$$`\overline{B}_s^0`$ mixing. $``$
* $`𝒜_{CP}(B^\pm DK^\pm )=𝒜_{CP}^{mix}(B_s^0(t)D_s^\pm K^{})`$. In the SM, both of these CP asymmetries probe the weak phase $`\gamma `$ . Any discrepancy in the values of $`\gamma `$ obtained in these methods points to the presence of New Physics in $`B_s^0`$$`\overline{B}_s^0`$ mixing. $``$
* Inclusive $`𝒜_{CP}^{dir}(bs\gamma )=0`$. In order to have a direct CP asymmetry, one requires two decay amplitudes with different weak and strong phases. For the decay $`bs\gamma `$, rescattering effects must be significant for this to occur. However, in the SM, such effects are tiny , so that the direct asymmetry effectively vanishes. $``$
* Exclusive $`𝒜_{CP}^{mix}(bs\gamma )=0`$. The photon emitted in the decay $`bs\gamma `$ is predominantly left-handed, while that emitted in the CP-conjugate decay is right-handed. Thus, one does not have the same final state for $`B_d^0`$ and $`\overline{B}_d^0`$ decays, so that the indirect CP asymmetry for exclusive states is expected to vanish . Of course, this is true only to the extent that the photon helicity is purely left-handed or right-handed. In fact, there are corrections of $`O(2m_s/m_b)5\%`$, so that this is the size of the asymmetry expected in the SM. Anything larger indicates New Physics. $``$
* There are many techniques for getting CKM phase information using flavour $`SU(3)`$ symmetry . Generally, these are 1 $``$ methods, since $`SU(3)`$-breaking effects are typically of order $`f_K/f_\pi 25\%`$. In order to detect New Physics using such methods, the effects must therefore be larger than this theoretical uncertainty.
* One exception is a method involving $`B_{d,s}^0K^{()}\overline{K}^{()}`$ decays, which can be used to obtain the CP phase $`\alpha `$ . In this case, one extracts $`\alpha `$ using a double ratio in which the $`SU(3)`$-breaking effects largely cancel, thus reducing the theoretical uncertainty considerably. $``$
* Suppose that $`𝒜_{CP}^{mix}(B_s^0(t)\mathrm{\Psi }\varphi )`$ is actually measured, and the CKM phase $`\chi `$ ($``$ 2 – 5%) extracted. Within the 3-generation SM, one expects

$$\mathrm{sin}\chi =\left|\frac{V_{us}}{V_{ud}}\right|^2\frac{\mathrm{sin}\beta \mathrm{sin}(\gamma \chi )}{\mathrm{sin}(\beta +\gamma )}.$$
(1)
Any violation of this relation implies the presence of New Physics. $``$
* One can look for an inconsistency between the unitarity triangle as constructed from measurements of the angles and that constructed from measurements of the sides. However, this method is limited by the large theoretical uncertainties in the extraction of the sides. $``$
* One can look for an inconsistency between measurements of the angles and exclusive hadronic rates. For example, indirect constraints on $`\gamma `$ imply that $`\gamma <90^{}`$, while early studies of $`B\pi K`$ decays seemed to indicate that $`\gamma >90^{}`$ . Of course, the hadronic uncertainties are very large in such methods, so it is difficult to conclude that New Physics is present. $``$

As stated earlier, the above is only a partial list of possible signals of New Physics. Because of space limitations, I cannot give more than a cursory description of each. However, below I discuss in more detail two additional observables which are perhaps less well-known.

Suppose a New-Physics amplitude contributes to (charged or neutral) $`B\mathrm{\Psi }K`$ decays. How would we detect it? As mentioned above, the obvious answer is to measure the direct CP asymmetry. However,

$$𝒜_{CP}^{dir}(B\mathrm{\Psi }K)A_{SM}A_{NP}\mathrm{sin}\varphi \mathrm{sin}\mathrm{\Delta },$$
(2)
where $`\varphi `$ and $`\mathrm{\Delta }`$ are the relative weak and strong phases, respectively. Unfortunately, from this expression one sees that if $`\mathrm{\Delta }=0`$, the direct CP asymmetry will vanish, and the New Physics will remain hidden.

The situation can be improved by considering instead the decay $`B\mathrm{\Psi }K^{}`$ . The time-dependent decay rate can be written in the helicity basis as

$$\mathrm{\Gamma }(B_d^0(t)\mathrm{\Psi }K^{})\underset{\lambda \sigma }{}\left[\mathrm{\Lambda }_{\lambda \sigma }+\mathrm{\Sigma }_{\lambda \sigma }\mathrm{cos}\mathrm{\Delta }mt\rho _{\lambda \sigma }\mathrm{sin}\mathrm{\Delta }mt\right]g_\lambda g_\sigma ,$$
(3)
where $`\lambda ,\sigma =0,,`$. The important observable here is $`\mathrm{\Lambda }_i`$, which can be written schematically as

$$\mathrm{\Lambda }_i(A_{SM}^{}A_{NP}^iA_{SM}^iA_{NP}^{})\mathrm{sin}\varphi \mathrm{cos}(\mathrm{\Delta }_i),i=0,.$$
(4)
Note the appearance of the $`\mathrm{cos}(\mathrm{\Delta }_i)`$ factor. It is this term which appears (and not a $`\mathrm{sin}(\mathrm{\Delta }_i)`$ term) due to the interference of CP-even and CP-odd helicities. The key point is that even if the strong phases are zero, $`\mathrm{\Delta }_i=0`$, $`\mathrm{\Lambda }_i`$ will not vanish. Thus, this observable is complementary to $`𝒜_{CP}^{dir}(B\mathrm{\Psi }K)`$, and it will be important to measure both of these quantities to test for the presence of New Physics. Note also that the theoretical uncertainty is tiny, so that $`\mathrm{\Lambda }_i`$ is a 3 $``$ observable.

Furthermore, this holds equally for $`B_d^0(t)\mathrm{\Psi }K^{}`$ and for $`B^\pm \mathrm{\Psi }K^\pm `$. That is, one can simply add all charged and neutral $`B`$ decays together – no tagging or time-dependent measurements are needed to obtain $`\mathrm{\Lambda }_i`$, making it a particularly interesting quantity from an experimental point of view.

All of the methods mentioned above deal with $`B`$ mesons. However, there are also useful tests for New Physics using $`B`$ baryons. In particular, one can look at T-violating triple-product correlations in charmless $`\mathrm{\Lambda }_b`$ decays .

Triple-product (TP) correlations take the form $`\stackrel{}{v}_1(\stackrel{}{v}_2\times \stackrel{}{v}_3)`$, where each $`v_i`$ is a spin or momentum. TP correlations are odd under T, which implies, by the CPT theorem, that they are also odd under CP. By measuring a nonzero value of

$$A_T\frac{\mathrm{\Gamma }(\stackrel{}{v}_1(\stackrel{}{v}_2\times \stackrel{}{v}_3)>0)\mathrm{\Gamma }(\stackrel{}{v}_1(\stackrel{}{v}_2\times \stackrel{}{v}_3)<0)}{\mathrm{\Gamma }(\stackrel{}{v}_1(\stackrel{}{v}_2\times \stackrel{}{v}_3)>0)+\mathrm{\Gamma }(\stackrel{}{v}_1(\stackrel{}{v}_2\times \stackrel{}{v}_3)<0)},$$
(5)
one obtains a signal for a nonzero TP correlation. However, there is a complication: strong phases can produce a nonzero value of $`A_T`$, even if there is no CP violation (i.e. if the weak phases are zero). In order to be sure that one is truly probing T and CP violation, the value of $`A_T`$ must be compared with that of $`\overline{A}_T`$, which is the T-odd asymmetry measured in the CP-conjugate decay process.

Consider the decays $`\mathrm{\Lambda }_bF_1P`$ and $`F_1V`$, where $`F_1`$ is a fermion ($`p`$, $`\mathrm{\Lambda }`$, …), $`P`$ is a pseudoscalar ($`K^{}`$, $`\eta `$, …), and $`V`$ is a vector ($`K^{}`$, $`\varphi `$, …). For $`\mathrm{\Lambda }_bF_1P`$, there is only one possible triple product: $`\stackrel{}{p}_{F_1}(\stackrel{}{s}_{F_1}\times \stackrel{}{s}_{\mathrm{\Lambda }_b})`$. On the other hand, in $`\mathrm{\Lambda }_bF_1V`$ decays, one has 3 spins and 1 independent momentum. This implies that there are 4 possible TP’s. In all cases, we would like to know the expectations for the sizes of these TP’s in the SM.

One can analyze $`\mathrm{\Lambda }_b`$ decays using factorization :

$$A(\mathrm{\Lambda }_bF_1P/V)=\underset{𝒪,𝒪^{}}{}P/V|𝒪|0F_1|𝒪^{}|\mathrm{\Lambda }_b.$$
(6)
For $`\mathrm{\Lambda }_bF_1P`$ one can then write

$$_P=if_Pp_P^\mu F_1|\overline{u}\gamma _\mu (1\gamma _5)b|\mathrm{\Lambda }_bX_P+if_Pp_P^\mu F_1|\overline{u}\gamma _\mu (1+\gamma _5)b|\mathrm{\Lambda }_bY_P,$$
(7)
where $`X_P`$ and $`Y_P`$ are functions of CKM matrix elements, Wilson coefficients and masses. Similarly, for $`\mathrm{\Lambda }_bF_1V`$, one has

$$_V=m_Vg_V\epsilon _V^\mu F_1|\overline{u}\gamma _\mu (1\gamma _5)b|\mathrm{\Lambda }_bX_V+m_Vg_V\epsilon _V^\mu F_1|\overline{u}\gamma _\mu (1+\gamma _5)b|\mathrm{\Lambda }_bY_V.$$
(8)
Like any CP-violating signal, in order to have a nonzero triple-product correlation, one needs two interfering amplitudes. Thus, from the above expressions, one sees that both $`X_P`$ and $`Y_P`$ ($`X_V`$ and $`Y_V`$) must be nonzero to have TP’s in $`\mathrm{\Lambda }_bF_1P`$ ($`\mathrm{\Lambda }_bF_1V`$).

Now, it is easy to see that both $`X_P`$ and $`X_V`$ are nonzero in the SM. After all, all operators in effective hamiltonian involve a left-handed $`b`$. The real question is: are $`Y_P`$ and/or $`Y_V`$ nonzero in the SM? The answer is that, for particular $`F_1P`$ final states, one can “grow” a right-handed current due to the Fierzing of certain SM operators. Furthermore, the $`Y_P`$ in such cases can be sizeable. However, for $`F_1V`$ final states, this doesn’t work – the matrix elements of the above operators vanish for a final-state $`V`$. Therefore $`Y_V0`$ in SM. The end result is that

* $`𝒜_T^{pK}=18\%`$.
* The triple products for all other decays are expected to be small, at most $`O(1\%)`$. These include the final states $`pK^{}`$, $`\mathrm{\Lambda }\eta `$, $`\mathrm{\Lambda }\eta ^{}`$, $`\mathrm{\Lambda }\varphi `$.

The bottom line is that many triple-product correlations in $`\mathrm{\Lambda }_b`$ decays are expected to be tiny in the SM. This suggests that this is a good place to look for New Physics.

I now turn to the issue of identifying the New Physics. Should a New-Physics signal be found, precise identification will have to wait for direct production at high-energy colliders. However, it is still possible to get a fairly good idea of the type of New Physics just by studying $`B`$/$`\mathrm{\Lambda }_b`$ processes.

New Physics can affect $`B^0`$$`\overline{B}^0`$ mixing and/or $`B`$/$`\mathrm{\Lambda }_b`$ decays. One expects that penguin decays will be most affected, but there could be New-Physics contributions to tree-level processes. It is therefore useful to classify the New Physics as affecting either the $`bs`$ FCNC or the $`bd`$ FCNC.

With this in mind, there are two complementary approaches to identifying the New Physics:

1. One can consider various New-Physics models . For each model, one examines the predicted effects on CP violation and rare $`B`$/$`\mathrm{\Lambda }_b`$ decays. By comparing the pattern of effects with what is observed, one can see if the model is a viable candidate.
2. One can analyze effects using a model-independent (effective lagrangian) approach. The determination of which New-Physics operators are or are not present will help in ruling out candidate models of New Physics.

Below I give examples of each of these approaches.

I begin with a discussion of two specific models of New Physics, and examine their predictions for various processes in the $`B`$ system. The first model involves $`Z`$-mediated FCNC’s: if the $`d`$, $`s`$ and $`b`$-quarks mix with a vector-singlet down-type quark, flavour-changing $`Z`$ couplings are generated . In particular, one can have $`Zb\overline{d}`$ and $`Zb\overline{s}`$ FCNC couplings, denoted $`U_{db}`$ and $`U_{sb}`$. These may be complex, and can contribute to both $`B^0`$$`\overline{B}^0`$ mixing and $`B`$/$`\mathrm{\Lambda }_b`$ decays.

The constraints on $`U_{db}`$ and $`U_{sb}`$ come principally from the following measurements: $`BR(BX\mu ^+\mu ^{})<5\times 10^5`$ (UA1)  and $`BR(BX_se^+e^{})1.01\times 10^5`$ (BELLE) . One finds

$$\left|U_{db}\right|0.002,\left|U_{sb}\right|7.6\times 10^4.$$
(9)
With these constraints, $`Z`$-mediated FCNC’s will not significantly affect the rates for $`bs`$ FCNC’s . However, there can be important effects in $`bd`$ FCNC processes : $`Z`$-mediated FCNC’s can have

* significant effects on $`B_d^0`$$`\overline{B}_d^0`$ mixing, with or without new phases,
* little effect on the rates for gluonic $`bd`$ penguin processes, such as $`B_d^0K^0\overline{K}^0`$,
* huge effects on $`bd\mathrm{}^+\mathrm{}^{}`$, $`B_d^0\mathrm{}^+\mathrm{}^{}`$ and $`bd`$ electroweak-penguin decays, such as $`B^+\varphi \pi ^+`$.

Thus, should this pattern of New-Physics effects be observed, it would suggest the presence of $`Z`$-mediated FCNC’s .

Another model of New Physics which has been much discussed is supersymmetry (SUSY). In SUSY models with minimal flavour violation, all contributions to $`B^0`$$`\overline{B}^0`$ mixing and penguin decays are proportional to the same combination of CKM matrix elements as found in the SM. As a consequence, there are no new effects in CP-violating observables, and the extracted values of $`\alpha `$, $`\beta `$, $`\gamma `$ will be the true (SM) values. The unitarity triangle (UT) as constructed from measurements of the angles will therefore be the SM UT. On the other hand, there are SUSY contributions to $`K^0`$$`\overline{K}^0`$, $`B_d^0`$$`\overline{B}_d^0`$ and $`B_s^0`$$`\overline{B}_s^0`$ mixing, so that the measurements of the sides of the unitarity triangle are not the true SM values. The UT as constructed from the sides will therefore not be the SM UT. Thus, one can detect this type of New Physics by observing a discrepancy between the two unitarity triangles.

In such minimal SUSY models, the contributions to meson mixing can be distinguished by a single parameter $`f`$. Depending on the value of $`f`$, the profile of the unitarity triangle will change :

(Here the allowed regions correspond to $`f=0`$ \[SM, solid line\], $`f=0.25`$ \[long dashed line\], and $`f=0.5`$ \[short dashed line\].) The size of these regions is due principally to the large theoretical errors of $`20\%`$.

In order to detect this type of New Physics, one must distinguish the UT of the SM ($`f=0`$) from one with a nonzero value of $`f`$. From the above figure, it is obvious that this is will be very difficult to do. Therefore, unless we can substantially reduce the theoretical uncertainties, it will be almost impossible to see the effects of minimal SUSY models in the $`B`$ system. On the other hand, if one finds New-Physics effects in CP-violating observables (e.g. $`𝒜_{CP}^{mix}(B_d^0(t)\mathrm{\Psi }K_S)𝒜_{CP}^{mix}(B_d^0(t)\varphi K_S)`$), then these models can be ruled out.

I now turn to model-independent methods for identifying the New Physics. Consider first the decay $`B\mathrm{\Psi }K`$. One can perform an isospin decomposition of this decay: since $`B`$ and $`K`$ are isodoublets, and $`\mathrm{\Psi }`$ an isosinglet, the weak hamiltonian has an $`I=0`$ and $`I=1`$ piece, with

$`\mathrm{\Psi }K^+|_{eff}^{I=0}|B^+`$ $`=`$ $`\mathrm{\Psi }K^0|_{eff}^{I=0}|B_d^0,`$ (10)
$`\mathrm{\Psi }K^+|_{eff}^{I=1}|B^+`$ $`=`$ $`\mathrm{\Psi }K^0|_{eff}^{I=1}|B_d^0.`$ (11)
Now, we know that any direct CP asymmetry in this decay is a signal of New Physics. But what kind of New Physics is it? We can obtain some information as follows : define

$$𝒜_{CP}^+𝒜_{CP}^{dir}\text{ in }B^\pm \mathrm{\Psi }K^\pm ,𝒜_{CP}^0𝒜_{CP}^{dir}\text{ in }B_d(\text{})\mathrm{\Psi }K(\text{})$$
(12)
and

$$S\frac{1}{2}\left[𝒜_{CP}^0+𝒜_{CP}^+\right],D\frac{1}{2}\left[𝒜_{CP}^0𝒜_{CP}^+\right].$$
(13)
Note that $`S0`$ and $`D0`$ are both signals of New Physics. However, there is a difference between them: $`S`$ is due to isospin 0 effects, while $`D`$ is due to isospin 1 effects. Their measurement gives us model-independent information about the underlying New Physics.

Finally, I return to triple products in $`\mathrm{\Lambda }_b`$ decays. Above, we saw that the triple-product asymmetries in $`\mathrm{\Lambda }_bpK^{}`$ are expected to be very small. Suppose now that we measure a large triple product. What New Physics could be responsible?

From Eq. (8), we see that we need operators which contribute to the matrix element $`p|\overline{u}\gamma _\mu (1+\gamma _5)b|\mathrm{\Lambda }_b`$. It is straightforward to write these down. They are :

$$\overline{s}(1+\gamma _5)b\overline{u}(1\gamma _5)u,\overline{s}\gamma ^\mu (1+\gamma _5)b\overline{u}\gamma _\mu (1+\gamma _5)u.$$
(14)
The point here is that a significant triple-product signal in $`\mathrm{\Lambda }_bpK^{}`$ would (i) tell us that New Physics is present, and (ii) indicate which New-Physics operators can contribute. Thus, triple-product asymmetries in $`\mathrm{\Lambda }_b`$ decays can serve as a diagnostic tool for New Physics.

This same procedure can be applied to other decays such as $`\mathrm{\Lambda }_b\mathrm{\Lambda }\eta `$, $`\mathrm{\Lambda }_b\mathrm{\Lambda }\varphi `$, etc. In this way, we can get a more complete picture of which New-Physics operators are or are not present .

To sum up: there are many, many signals of New Physics in $`B`$/$`\mathrm{\Lambda }_b`$ processes. In addition, there are many ways of determining which types of New Physics might be responsible for these signals. It is quite likely that we will have a fairly good idea of what kind of New Physics is present in these decays.

Let’s hope that Nature is kind, and we actually see some evidence of New Physics!


text:
# Local fluctuation dissipation relation

\[

## Abstract

In this letter I show that the recently proposed local version of the fluctuation dissipation relations follows from the general principle of stochastic stability in a way that is very similar to the usual proof of the fluctuation dissipation theorem for intensive quantities. Similar arguments can be used to prove that all sites in an aging experiment stay at the same effective temperature at the same time.

\]

The fluctuation dissipation relations in off-equilibrium dynamics are a crucial tool to explore the landscape of a disordered system. These fluctuation dissipation relations are different from the predictions of the fluctuation dissipation theorem at equilibrium, so that sometimes one speaks about violations of the fluctuation dissipation theorem. The existence of these new relations has been firstly proved in mean field theories , however it has been later shown that they follow from the general principle of stochastic stability , that roughly speaking asserts that a random perturbation acts in a smooth way.

The fluctuation dissipation relations can be expressed in a rather simple form that can be easily interpreted from the theoretical point of view using the concept of the effective temperature . Moreover the main parameters entering into the fluctuation dissipation relations have a simple interpretation from the point of view of equilibrium statistical mechanics . This fact implies that for a given system the form of the fluctuation dissipation relations is universal in off-equilibrium dynamics, i.e. it does not depend on the way in which the system is put in an off-equilibrium situation (as soon the system remains slightly out of equilibrium). These fluctuation dissipation relations have been amply observed in numerical simulations  and quite recently in real experiments .

The case that has been mostly studied is where we consider observables that are the average over the whole sample. In this case there is a static-dynamic relation that connects the dynamic fluctuation dissipation relations to the static average of global quantities. Recent there have been a few investigations on fluctuation dissipation relations that involve only given local variables . The aim of this letter is to give a theoretical foundation to these local fluctuation dissipation relations and to derive the appropriate static-dynamic relation. In order to reach this goal we have to introduce a new concept: the probability distribution of the single spin overlap: this is a generalization of the well know probability distribution of the total overlap of the system.

Let us recall the usual equilibrium fluctuation theorem. If we consider a pair of conjugated variables (e.g. the magnetic field and the magnetization) the response function and the spontaneous fluctuations are deeply related. Indeed, if $`R_{eq}(t)`$ is the integrated response (i.e. the variation of the magnetization at time $`t`$ when we add a a magnetic field from time 0 on) and $`C_{eq}(t)`$ is the correlation among the magnetization at time zero and at time $`t`$, we have that $`R_{eq}(t)=\beta (C_{eq}(0)C_{eq}(t))`$, where $`\beta =(kT)^1`$. If we we eliminate the time and we plot parametrically $`R_{eq}`$ as function of $`C_{eq}`$, we have that

$$\frac{dR_{eq}}{dC_{eq}}=\beta .$$
(1)
The previous relation can be considered as the definition of the temperature and it is a consequence of the zeroth law of the thermodynamics.

In an aging system the generalized fluctuation dissipation relations can be formulated as follows. Let us suppose that the system is carried from high temperature to low temperature at time 0 and it is in an aging regime. We can define a response function $`R(t_w,t)`$ as the variation of the magnetization at time $`t`$ when we add a a magnetic field from time $`t_w`$ on. In a similar way $`C(t_w,t)`$ is the correlation among the magnetization at time $`t_w`$ and at time $`t`$. We can define a function $`R_{t_w}(C)`$: we must plot $`R(t_w,t)`$ versus $`C(t_w,t)`$ by eliminating the time $`t`$ in the region $`t>t_w`$, where the response function is different from zero.

The fluctuation dissipation relations state that for large $`t_w`$ the function $`R_{t_w}(C)`$ converge to a limiting function $`R(C)`$. We can define

$$\frac{dR}{dC}=\beta X(C)$$
(2)
where $`X(C)=1`$, for $`C>C_{\mathrm{}}lim_{\mathrm{}}C_{eq}(t)`$, and $`X(C)<1`$ for $`C<C_{\mathrm{}}`$.

The shape of the function $`X(C)`$ gives important information on the free energy landscape of the problem, as discussed at lengthy in the literature . It has been shown that in stochastically stable systems the function $`X(C)`$ is related to basic equilibrium properties of the system. Let us illustrate this point by considering for definitiveness the case of a spin glass. Given two equilibrium configurations $`\sigma `$ and $`\tau `$, we define the global overlap as

$$q(\sigma ,\tau )=\frac{\underset{i=1,N}{}\sigma _i\tau _i}{N},$$
(3)
where $`N`$ is the total number of spins. The function $`P_J(q)`$ is the probability distribution of the overlap for a given sample and the function $`P(q)`$ is defined as the average of $`P_J(q)`$ over the samples.

It is convenient to introduce the function $`x(q)`$ defined by $`dP(q)/dq=x(q)`$. The relation among the dynamic fluctuation dissipation relations and the statics quantities is simple $`X(C)=x(C)`$.

There are recent numerical results  that indicate that the fluctuation dissipation relations and the static-dynamics connection can be generalized to local quantities in systems where a quenched disorder is present and aging is heterogeneous .

For one given sample we can consider the local integrated response function $`R_i(t_w,t)`$, that is the variation of the magnetization at the point $`i`$ at time $`t`$ when we add a magnetic field at the point $`i`$ starting at the time $`t_w`$. In a similar way the local correlation function $`C_i(t_w,t)`$ is defined to be the correlation among the spin at the point $`i`$ at different times (i.e. $`t_w`$ and $`t`$). Quite often in system with quenched disorder aging is very heterogenous: the function $`C_i`$ and $`R_i`$ change dramatically from one point to an other .

It has been observed in simulations  that local fluctuation dissipation relations seems to hold

$$\frac{dR_i}{dC_i}=\beta X_i(C),$$
(4)
where $`X_i(C)`$ has quite strong variations with the site $`i`$.

It has also been suggested that in spite of these strong heterogeneities, if we define the effective $`\beta _i^{eff}`$ at time $`t`$ at the site $`i`$ as

$$\frac{dR_i(t_w,t)}{dC_i(t_w,t)}=\beta X_i(t_w,t)\beta _i^{eff}(t_w,t),$$
(5)
the quantity $`\beta _i^{eff}(t_w,t)`$ does not depend on the site . In other words a thermometer coupled to a given site would measure (at a given time) the same effective temperature independently on the site: different sites are thermometrically indistinguishable.

These empirical results call for a theoretical explanation. The aim of this note is to show that these results are consequence of stochastic stability in an appropriate contest and that there is a local relation among static and dynamics. The crucial step consists in defining a local probability distribution of the overlap for a given system at point $`i`$ (i.e. $`P_i(q)`$). We will then introduce the notation $`x_i(q)=_0^qP_i(q^{})𝑑q^{}`$ and we will show that the static-dynamic connection for local variables is very similar to the one for global variables and it is given by $`X_i(C)=x_i(C)`$.

It is evident that we need a definition of the local overlap that should be rather different from the usual one. Indeed the local overlap of two equilibrium configurations (i.e. $`\sigma _i\tau _i`$) is always equal to $`\pm 1`$. If we use a naive definition, we find that the probability distribution of the local overlap is the sum of two delta functions at $`\pm 1`$.

An useful definition of the local overlap an of its probability distribution can be obtained if we consider $`M`$ identical copies (or clones) of our sample: we introduce $`N\times M`$ $`\sigma _i^a`$ variables where $`a=1,M`$ (eventually we send $`M`$ to infinity) and $`N`$ is the (large) size of our sample ($`i=1,N`$). The Hamiltonian in this Gibbs ensemble is just given by

$$H_K(\sigma )=\underset{a=1,M}{}H(\sigma ^a)+ϵH_R[\sigma ],$$
(6)
where $`H(\sigma ^a)`$ is the Hamiltonian for a fixed choice of the couplings and the $`H_R[\sigma ]`$ is a random Hamiltonian that couples the different copies of the system. A possible choice is

$$H_R[\sigma ]=\underset{a=1,M;i=1,N}{}K_i^a\sigma _i^a\sigma _i^{a+1},$$
(7)
where the variables $`K_i^a`$ are identically distributed independent random Gaussian variables with zero average and variance 1. We can consider other ways to couple the systems (e.g. $`H_R[\sigma ]=_{a,b=1,M;i=1,N}K_i^{a,b}\sigma _i^a\sigma _i^b`$) but let us stick to the previous one for definitiveness.

Our central hypothesis is that all intensive self average quantities are smooth function of $`ϵ`$ for small $`ϵ`$. This hypothesis is a kind of generalization of stochastic stability. According to this hypothesis, when $`ϵ0`$, the local correlation function and the response functions tend to the result for $`ϵ=0`$ uniformly in time.

In the case of small, but non-zero $`ϵ`$, let us take two equilibrium configurations $`\sigma `$ and $`\tau `$. For given $`K`$, we consider the site dependent overlap

$$q_i(\sigma .\tau )=\frac{\underset{a=1,M}{}\sigma _i^a\tau _i^a}{M}.$$
(8)
We define the $`K`$-dependent probability distribution $`P_i^K(q)`$ as the probability distribution of the previous overlap. By averaging over $`K`$ at fixed $`ϵ,`$ we can define

$$P_i^ϵ(q)=\overline{P_i^K(q)},$$
(9)
where the bar denotes the average over $`K`$. We finally define

$$P_i(q)=\underset{ϵ0}{lim}P_i^ϵ(q),$$
(10)
where the limit $`ϵ0`$ is done after the limits $`M\mathrm{}`$ and $`N\mathrm{}`$ (alternatively we keep $`ϵ^2M`$ and $`ϵ^2N`$ much larger than 1).

The proof of the local fluctuation dissipation relations can be obtained by copying, mutatis mutandis, the proof of the usual fluctuation dissipation relations . For example we can consider the following perturbation

$$\mathrm{\Delta }H_i^{(2)}\underset{a=1,M,b=1,M}{}h^{a,b}\sigma _i^a\sigma _i^b,$$
(11)
where the variables $`h`$ are Gaussian random variables with zero average and variance $`\delta /M`$. If we assume for simplicity a Langevin type of time evolution, the same steps of  give :

$$\chi _i^{(2)}(t)=2_{t_w}^t𝑑t^{}C_i(t^{},t)\frac{R_i(t^{},t)}{t^{}}.$$
(12)
The previous equation can be rewritten as

$$\chi _i^{(2)}(t)=2𝑑CCX_i(t)(C),$$
(13)
where we have defined

$$X_i(t)(C(t^{},t))=\frac{R_i(t^{},t)}{t^{}}\left(\frac{C_i(t^{},t)}{t^{}}\right)^1.$$
(14)
If we make the crucial hypothesis that the limits $`t\mathrm{}`$ and $`\delta 0`$ may be exchanged, we get

$$\underset{t\mathrm{}}{lim}\chi _i^{(2)}(t)=\chi _i^{(2)}=\beta 𝑑qP_i(q)(1q^2).$$
(15)
Generalizing the previous arguments we get

$`\chi _i^{(s)}(t)=s{\displaystyle _{t_w}^t}𝑑t^{}C_i(t^{},t)^{s1}{\displaystyle \frac{R_i(t^{},t)}{t^{}}}=`$ (16)
$`s{\displaystyle 𝑑CC^{s1}X_i(t)(C)}_t\mathrm{}\beta {\displaystyle 𝑑qP_i(q)(1q^s)}=`$ (17)
$`s\beta {\displaystyle 𝑑qx_i(q)q^{s1}}`$ (18)
Using the previous equations for all values of $`s`$, we arrive to the conclusion that the quantity $`X_i(t)(C)`$ has a limit when the time goes to infinity (i.e. to formulation of the local fluctuation dissipation relations). The limit is given by

$$X_i(C)=\underset{t\mathrm{}}{lim}X_i(t)(C)=x_i(C)_0^C𝑑qP_i(q)𝑑q.$$
(19)
The previous equations give the connection among static quantities and the local fluctuation dissipation relations.

The thermometric indistinguishability of the sites can be proved by considering two far away sites $`i`$ and $`k`$ and by introducing a perturbation that depends both the spins at $`i`$ and the spins at $`k`$.

A typical example is

$$\mathrm{\Delta }H_{i,k}^{(3,2)}\underset{a_1,a_2,a_3,b_1,b_2=1,M}{}h_i^{a_1,a_2,a_3,b_1,b_2}\sigma _i^{a_1}\sigma _i^{a_2}\sigma _i^{a_3}\sigma _i^{b_1}\sigma _i^{b_2}$$
(20)
where the variables $`h`$ are Gaussian random variables with zero average and variance $`\delta /M^4`$. If we proceed as before, we find that the probability distribution $`P_{i,k}(q_i,q_k)`$ can be written in terms of $`X_i(t)`$ and $`X_k(t)`$. By imposing that $`P_{i,k}(q_i,q_k)`$ is a positive distribution, we finds that

$$X_i(t)=X_k(t).$$
(21)
This conditions is just what is needed to impose the thermometric indistinguishability of the sites during aging.

As a by product we obtain

$$P_{i,k}(q_i,q_k)=_0^1𝑑x\delta (q_iq_i(x))\delta (q_kq_k(x))$$
(22)
where $`q_i(x)`$ is the inverse function of $`x_i(q)`$. This relation has some interesting consequences that will be investigated in details elsewhere.

We note that the probability distribution of the local overlap $`P_i(q)`$, being related to a dynamical quantity, must depend only on the local environment around the point $`i`$ and therefore it must have a straightforward limit when the volume of the system goes to infinity (e.g it should be independent of the boundary conditions). It is remarkable that for far away points ($`i,k`$) the two probability distributions $`P_i(q)`$ and $`P_k(q)`$ are independent one from the other, but the joint probability distribution of $`q_i`$ and $`q_k`$ does not factorize has shown by eq. 22.

Summarizing, we have seen that for a given sample it is possible to give a definition of a local probability distribution of the overlap, that depend on the site. The properties of this local probability distribution are related to the local fluctuation dissipation relations, that automatical follows from the present formalism. The condition of thermometric indistinguishability of the sites turns out to be a byproduct of our approach: during the aging regime all the sites are characterized by the same effective temperature.

It is important to stress that here (as well as in the original paper ) in the all the derivations we have made no esplicite assumption concerning the validity of static or dynamical ultrametricity or on the existence of a large separations of the time scales. Although the generalized fluctuation dissipation relations have been firstly derived in ultrametric mean field models , their validity relies only on more general properties like stochastic stability.

I am grateful to Jorge Kurchan for an illuminating discussion.


text:
# Comparison of Field Theory Models of Interest Rates with Market Data

## 1 Introduction

In this paper, we compare field theory models of interest rate models with market data, and propose certain modified models inspired from theoretical considerations and observed facts about the interest rates. The theoretical framework for all these models is Baaquie’s formulation ,  of forward rates as a two dimensional quantum field theory. The Baaquie model is a generalization of the Heath-Jarrow-Morton (HJM) model; the key feature of the field theory model is that the forward rates $`f(t,x)`$ are imperfectly correlated in the maturity direction $`x>t`$, and which is specified by a rigidity parameter $`\mu `$. The models we study are the following: (a) forward rates with constant rigidity , (b) forward rates with the variation of the spot rate constrained by a new parameter , and two new models proposed in this paper, namely (c) forward rates with maturity dependent rigidity $`\mu (xt)`$, and lastly (d) forward rates with non-trivial dependence on maturity specified by an aribitrary function $`z=z(xt)`$.

We first briefly review Baaquie’s field theory model and review the market data used in this study. We then test the field theory model, introduce two variants and test them as well. We find that the correlation structure can be explained by a relatively straightforward two parameter model which also has a useful theoretical interpretation.

## 2 The HJM model

### 2.1 Definition of the model

In the HJM- model the forward rates are given by

$$f(t,x)=f(t_0,x)+_{t_0}^t𝑑t^{}\alpha (t^{},x)+\underset{i=1}{\overset{K}{}}_{t_0}^t𝑑t^{}\sigma _i(t^{},x)𝑑W_i(t^{})$$
(1)
where $`W_i`$ are independent Wiener processes. We can also write this as

$$\frac{f(t,x)}{t}=\alpha (t,x)+\underset{i=1}{\overset{K}{}}\sigma _i(t,x)\eta _i(t)$$
(2)
where $`\eta _i`$ represent independent white noises. The action functional, is

$$S[W]=\frac{1}{2}\underset{i=1}{\overset{K}{}}𝑑t\eta _i^2(t)$$
(3)
We can use this action to calculate the generating functional which is

$`Z[j,t_1,t_2]`$ $`=`$ $`{\displaystyle 𝒟We^{_{i=1}^K_{t_1}^{t_2}𝑑tj_i(t)W_i(t)}e^{S_0[W,t_1,t_2]}}`$ (4)
$`=`$ $`e^{\frac{1}{2}_{i=1}^K_{t_1}^{t_2}𝑑tj_i^2(t)}`$
## 3 Field theory model with constant rigidity

We now review Baaquie’s field theory model presented in  with constant rigidity. Baaquie proposed that the forward rates being driven by white noise processes in (2) be replaced by considering the forward rates itself to be a quantum field. To simplify notation, we write the evolution equation in terms of the velocity quantum field $`A(t,x)`$, and which yields

$$f(t,x)=f(t_0,x)+_{t_0}^t𝑑t^{}\alpha (t^{},x)+\underset{i=1}{\overset{K}{}}_{t_0}^t𝑑t^{}\sigma _i(t^{},x)A_i(t^{},x)$$
(5)
or

$$\frac{f(t,x)}{t}=\alpha (t,x)+\underset{i=1}{\overset{K}{}}\sigma _i(t,x)A_i(t,x)$$
(6)
The main extension to HJM is that $`A`$ depends on $`x`$ as well as $`t`$ unlike $`W`$ which only depends on $`t`$.

While we can put in many fields $`A_i`$, we will see that the extra generality brought into the process due to the extra argument $`x`$ will make one field sufficient. Hence, in future, we will drop the subscript for $`A`$.

Baaquie further proposed that the field $`A`$ has the free (Gaussian) free field action functional

$$S=\frac{1}{2}_{t_0}^{\mathrm{}}𝑑t_t^{t+T_{FR}}𝑑x\left(A^2+\frac{1}{\mu ^2}\left(\frac{A}{x}\right)^2\right)$$
(7)
with Neumann boundary conditions imposed at $`x=t`$ and $`x=t+T_{FR}`$. This makes the action equivalent (after an integration by parts where the surface term vanishes) to

$$S=\frac{1}{2}_{t_0}^{\mathrm{}}𝑑t_t^{t+T_{FR}}𝑑xA(t,x)\left(1\frac{1}{\mu ^2}\frac{^2}{x^2}\right)A(t,x)$$
(8)
This action has the partition function

$$Z[j]=\mathrm{exp}\left(_0^{t_1}𝑑t_t^{t+T_{FR}}𝑑x𝑑x^{}j(t,x)D(xt,x^{}t)j(t,x^{})\right)$$
(9)
with

$$\begin{array}{cc}\hfill D(\theta ,\theta ^{};T_{FR})& =\mu \frac{\mathrm{cosh}\mu \left(T_{FR}|\theta \theta ^{}|\right)+\mathrm{cosh}\mu \left(T_{FR}(\theta +\theta ^{})\right)}{2\mathrm{sinh}\mu T_{FR}}\hfill \\ & =D(\theta ^{},\theta ;T_{FR}):\mathrm{Symmetric}\mathrm{Function}\mathrm{of}\theta ,\theta ^{}\hfill \end{array}$$
(10)
where $`\theta =xt`$ and $`\theta ^{}=x^{}t`$. We can calculate expectations and correlations using this partition function. Note that due to the boundary conditions imposed, the inverse of the differential operator $`D`$ actually depends only the difference $`xt`$. The above action represents a Gaussian random field with covariance structure $`D`$. In , a different form was found as the boundary conditions used were Dirichlet with the endpoints integrated over. This boundary condition is in fact equivalent to the Neumann condition which leads to the much simpler propagator above. In the limit $`T_{FR}\mathrm{}`$ which we will usually take, the propagator takes the simple form $`\mu e^{\mu \theta _>}\mathrm{cosh}\mu \theta _<`$ where $`\theta _>`$ and $`\theta _<`$ stand for $`\mathrm{max}(\theta ,\theta ^{})`$ and $`\mathrm{min}(\theta ,\theta ^{})`$ respectively.

When $`\mu 0`$, this model should go over to the HJM model. This is indeed seen to be the case as it is seen that $`lim_{\mu 0}D(\theta ,\theta ^{};T_{FR})=\frac{1}{T_{FR}}`$. The extra factor of $`T_{FR}`$ is irrelevant as it is due to the freedom we have in scaling $`\sigma `$ and $`D`$. The $`\sigma `$ we use for the different models are only comparable after $`D`$ is normalized111This freedom exists since we can always make the transformation $`\sigma (\theta )\eta (\theta )\sigma (\theta )`$ and $`D(\theta ,\theta ^{})D(\theta ,\theta ^{})/(\eta (\theta )\eta (\theta ^{}))`$ without affecting any result. On normalization, the propagator for both the HJM model and field theory model in the limit $`\mu 0`$ is one showing that the two models are equivalent in this limit.

The basic model with constant rigidity can be generalized in many different ways. The generalization to positive valued forward rates, and to models with stochastic volatility are studied in . In this paper we generalize the free field model to more complex dependence of $`\mu `$ and $`f(t,x)`$ on the maturity direction $`\theta `$.

## 4 The Market Data used for the Study

We used the Eurodollar futures data for the following study. A Eurodollars futures contract is represents a deposit of US$1,000,000 for three months at some time in the future. Currently, futures contracts for deposits upto ten years into the future are actively traded. Significant historical data for contracts on deposits upto seven years into the future are available. If one makes the reasonable approximation that $`f(t,\theta )`$ is linear for $`\theta `$ between contract times, one can use this data as a direct measure of the forward rates.

Further, the straightforward simplification that the Eurodollar futures prices directly reflect the forward rate was done, an assumption previously used in the literature . This is a reasonable assumption as the forward rates are small enough that the difference between the logarithmic measure of the forward rate used in theory and the arithmetic rates used in the market are insignificant. We also attempted to analyse Treasury bond tick data from the GovPx database but we found it impossible to obtain forward rates accurate enough for our purposes. The main reason for this is that while we were able to obtain reasonably accurate yields for a few maturities, the differentiation required to get the forward rates from the yields introduced too many inaccuracies. This is somewhat unfortunate since Treasury bonds represent risk free instruments while a small credit risk exists for Eurodollar deposits.

For the following analysis, we used the closing prices for the Eurodollar futures contracts in the 1990s. This is exactly the same data as used by Bouchaud  as well as Baaquie and Srikant . In Bouchaud , the spread of the forward rates and the eigenfuctions of its changes in time are analyzed. For our purposes, we found it more useful to look at the scaled multivariate cumulants of the changes in forward rates for different maturity times.

## 5 Assumptions behind the tests of the models

The main assumption that has to be made for all the tests of the models is that of time translation invariance. In other words, we have to assume that $`\sigma (t,\theta )`$ is actually only dependent on $`\theta `$ and not explicitly on $`t`$. We also assume that the propagator $`D(\theta ,\theta ^{})`$ has no explicit time dependence which is possible in principle. It is reasonable and conceptually economical to assume that different times in the future are equivalent. Further, carrying out any meaningful analysis while these quantities are subject to changes in time is impossible.

Another important assumption that has to be made is that the forward rate curve is reasonably smooth at small intervals at any given point in time. This assumption is very difficult to test in any meaningful sense given the relative paucity of data as forward rate data is available only at 3 month intervals (which is what necessitates this assumption in the first place). However, the assumption is a reasonable one to make as one would intuitively expect that the forward rate, say three years into the future would not be too different from that three years and one month into the future. In fact, we will show later that there seems to be strong evidence of very long term correlations in the movements of the forward rate. This seems to make the smoothness assumption reasonable as nearby forward rates tend to move together (except possibly at points very close to the current time). This assumption is required as the forward rate data is provided for constant maturity which we have been denoting by $`x`$ while we want data for constant $`\theta `$, as shown in figure 1. With this assumption, we can get the data by simple linear interpolation. The loss in accuracy due to this linear interpolation is not all that serious if $`ϵ`$, the time interval of $`t`$ between specifications of the forward rates is small as the random changes which we are interested in will be much larger than the introduced errors. This same procedure was used in Matacz and Bouchaud  as well as Baaquie and Srikant .

## 6 The Correlation Structure of the Forward Rates

A very interesting quantity to look at in the analysis of forward rates $`f(t,\theta )`$ is the correlation (or scaled covariance) among their changes for different $`\theta `$. Specifically we are interested in the correlation between $`\delta f(t,\theta )`$ and $`\delta f(t,\theta ^{})`$, where $`\delta f(t,\theta )=f(t+ϵ,\theta )f(t,\theta )`$. Using a free (Gaussian) quantum field theory model, this quantity should be equal to

$$𝒞(\theta ,\theta ^{})=\frac{\delta f(t,\theta )\delta f(t,\theta ^{})\delta f(t,\theta )\delta f(t,\theta ^{})}{\sqrt{\delta f^2(t,\theta )\delta f(t,\theta )^2}\sqrt{\delta f^2(t,\theta ^{})\delta f(t,\theta ^{})^2}}=\frac{D(\theta ,\theta ^{})}{\sqrt{D(\theta ,\theta )D(\theta ^{},\theta ^{})}}$$
(11)
To a reasonable degree of accuracy, we can ignore the first order expectations such as $`\delta f(t,\theta )`$ as they are much smaller than the second order expectations if $`ϵ`$ is small. For an $`ϵ`$ of one day, the error is completely negligible especially given the other approximations. We will do so for the rest of the chapter. If we have a model for the propagator $`D(\theta ,\theta ^{})`$, we have a prediction for this correlation structure. Alternatively, we can use the correlation structure to fit free parameters in $`D(\theta ,\theta ^{})`$.

It should be noted that for free (Gaussian) quantum fields the correlation is independent of $`\sigma (\theta )`$, so no assumption of its form has to be made. This is the reason why we used the scaled covariance rather than the covariance itself to perform the study. It is equivalent to fixing the inherent freedom in the quantities $`\sigma `$ and $`D`$ to make $`D(\theta ,\theta )=1`$. The reduction in the freedom of $`\sigma `$ also allows us to directly estimate it from data since we have $`\sigma (\theta )=\sqrt{<\delta f^2(t,\theta )>}`$ if $`D(\theta ,\theta )=1`$. This is shown in figure 2. Further, the correlation between innovations in the forward curve is given exactly by $`D`$. The correlation structure in the market estimated from the Eurodollar futures data is shown in figure 3. The structure is fairly stable in the sense that the correlation structure for different sections of the data are reasonably similar.

Since the propagator is always symmetric, it will be convenient to calculate only $`D(\theta _<,\theta _>)`$ for the different models where $`\theta _<=\mathrm{min}(\theta ,\theta ^{})`$ and $`\theta _>=\mathrm{max}(\theta ,\theta ^{})`$ for purposes of comparison.

For the one factor HJM model, this correlation structure is constant as all the changes in the forward rates are perfectly correlated. In other words, $`D(\theta ,\theta ^{})=1`$. For the two factor HJM model, the predicted correlation structure is given by

$$𝒞(\theta ,\theta ^{})=\frac{\sigma _1(\theta )\sigma _1(\theta ^{})+\sigma _2(\theta )\sigma _2(\theta ^{})}{\sqrt{\sigma _1^2(\theta )+\sigma _2^2(\theta )}\sqrt{\sigma _1^2(\theta ^{})+\sigma _2^2(\theta ^{})}}=\frac{1+g(\theta )g(\theta ^{})}{\sqrt{1+g^2(\theta )}\sqrt{1+g^2(\theta ^{})}}$$
(12)
We see that this correlation structure depends on a function of $`g(\theta )=\frac{\sigma _1(\theta )}{\sigma _2(\theta )}`$. Hence, a whole function has to be fitted from the correlation structure, something which is quite infeasible. The covariance might be a better quantity to test the two factor HJM model as the prediction of the covariance has a simpler form

$$C(\theta ,\theta ^{})=\sigma _1(\theta )\sigma _1(\theta ^{})+\sigma _2(\theta )\sigma _2(\theta ^{})$$
(13)
We still need to specify a functional form for $`\sigma _1`$ and $`\sigma _2`$ as it is not possible to estimate entire functions from data. The usual specification of $`\sigma _1(\theta )=\sigma _0`$ and $`\sigma _2(\theta )=\sigma _1e^{\lambda \theta }`$ inspired by the assumption that the spot rate follows a Markov process is easily seen to be unable to explain many features of the covariance in figure 5 such as the peak at one year or the sharp reduction in the covariance as the maturity goes to zero. We can straightaway conclude that the one factor HJM model is insufficient to characterize the data while the two factor HJM model provides us with too much freedom as we can put in an entire arbitrary function to explain the correlation structure. If we try to reduce the freedom by theoretical considerations, we are again unable to explain the data.

We will see that the field theory model with constant rigidity, while explaining some features of the correlation, does not predict the correlation very well. Hence, we consider generalizations to the constant rigidity model.

## 7 Analysis of Field Theory Model with Constant Rigidity

We have analysed this model in detail in the previous section. We have seen that the model describes the innovations in the forward rates in terms of a Gaussian random field $`A`$ whose structure is defined by the action in (7). For convenience, we repeat the action below in terms of the variables $`t`$ and $`\theta =xt`$

$$S=\frac{1}{2}_{t_0}^{t_1}𝑑t_0^{\mathrm{}}𝑑\theta \left(A^2+\left(\frac{A}{\theta }\right)^2\right)$$
(14)
To obtain the predicted correlation structure from the propagator (10), we have to take the limit $`T_{FR}\mathrm{}`$ and obtain

$$D(\theta ,\theta ^{})=\mu e^{\mu \theta _>}\mathrm{cosh}\mu \theta _<=\frac{\mu }{2}\left(e^{\mu |\theta \theta ^{}|}+e^{\mu (\theta +\theta ^{})}\right)$$
(15)
The predicted correlation structure for this model can be found from this form of the propagator by normalization and from (11) is given by

$$𝒞(\theta ,\theta ^{})=\sqrt{\frac{e^{\mu \theta _>}\mathrm{cosh}\mu \theta _<}{e^{\mu \theta _<}\mathrm{cosh}\mu \theta _>}}$$
(16)
when the limit $`T_{FR}\mathrm{}`$ is taken. To estimate the parameter $`\mu `$ from market data, we use the Levenberg-Marquardt method from Press et al  to fit the parameters to the observed correlation structure graphed in figure 3. The fitting was done by minimizing the square of the error. The overall correlation was fitted by $`\mu =0.061/`$year. To obtain the error bounds, the data was split into 346 data sets of 500 contiguous days of data each and the estimation done for each of the sets. The 90% confidence interval for this data set is $`(0.057,0.075)`$. Note that the confidence interval is asymmetric from the overall best fit due to the nonlinear dependence of the correlation (16) on $`\mu `$. The root mean square for the correlation for the best fit value is 4.23% which shows that the model’s prediction for the correlation structure is not very good. The main problem as can be seen from a comparison between the prediction for the best fit $`\mu `$ in figure 6 and the actuall correlation structure in figure 3 is that the prediction is largely independent of the actual value of $`\theta `$ and largely determined by $`|\theta \theta ^{}|`$ which is not the case in reality. The correlation rapidly increases as $`\theta `$ increases in reality.

## 8 Field Theory with Constrained Spot Rate

One clear fact we notice from the covariance of the innovations in the forward rates in figure 5 is that the covariance falls rapidly as $`\theta 0`$. This observation leads one to a model  where $`A(t,0)`$ is constrained to follow a normal distribution with variance $`a`$. The mean of $`A(t,0)`$ can be fixed at any value but will cause a corresponding change in $`\alpha (0)`$ which makes the mean value irrelevant. For calculational purposes it is easiest to assume that it remains at zero. This constraint can be implemented by modification of the action to

$$e^{S_{constrained}}=_{\mathrm{}}^{\mathrm{}}𝑑\xi Se^{i\xi A(t,0)}e^{a^2\xi ^2/2}$$
(17)
where $`S`$ is the action specified in (14). The propagator $`D(\theta ,\theta ^{})`$ for this model is given by

$$D(\theta ,\theta ^{})=\mu e^{\mu \theta _>}\left(\mathrm{cosh}\mu \theta _<\frac{\mu e^{\mu \theta _<}}{\mu +a}\right)$$
(18)
After normalizing, we see that the prediction for the correlation structure is given by

$$𝒞(\theta ,\theta ^{})=\sqrt{\frac{e^{\mu \theta _>}(\mathrm{cosh}\mu \theta _<\frac{\mu e^{\mu \theta _<}}{\mu +a})}{e^{\mu \theta _<}(\mathrm{cosh}\mu \theta _>\frac{\mu e^{\mu \theta _>}}{\mu +a})}}$$
(19)
We can see that the free parameters are $`\mu `$ and $`a`$. Further, it will be seen that it is easier to consider the ratio $`a/\mu ^2`$ as it is dimensionless. The results of the Levenberg-Marquardt method showed that the fitted value of $`\mu `$ and $`a`$ were very small, of the order of $`10^7`$/year for $`\mu `$ and $`10^{13}/\mathrm{year}^2`$ for $`a`$ both being very unstable but the ratio $`a/\mu ^2`$ was stable with a value in the range $`(6.7,10.7)`$ with an overall best fit of $`9.4`$. The most reasonable explanation for this behaviour is that the ratio $`a/\mu ^2`$ determines the behaviour of (19) for small $`\mu `$ and it is this region of parameter space that gives a correlation structure closest to the empirically observed one. We see from the fitted propagator in figure 7 that the behaviour at large $`\theta `$ is slightly better when the constraint is put in. The root mean square error was 3.35% which again means the fit was not very good though significantly better than if the constraint was not applied. It must be recognized that the constraint introduces one extra free parameter which should improve the best fit. Hence, we see that this model, while again performing better than HJM, is still not very accurate. While the results are not very good, they do represent a reasonable first approximation and are still significantly better than the one factor HJM model.

## 9 Field Theory Model with Maturity Dependent Rigidity $`\mu =\mu (\theta )`$

Another way to get a correlation structure that depends directly on the values of $`\theta `$ and $`\theta ^{}`$ in a significant way and not only on their difference is to make $`\mu `$ a function of $`\theta `$. This has a direct physical meaning as it means that if we imagine the forward rate curve as a string, its rigidity is increasing as maturity increases making the $`A`$ for larger $`\theta `$ more strongly correlated if $`\mu `$ decreases as a function of $`\theta `$. We choose the function $`\mu =\frac{\mu _0}{1+\lambda \theta }`$ as it declines to zero as $`\theta `$ becomes large as is expected from the observed covariance in figure 5, contains the constant $`\mu `$ case as a limit and is solvable. The action is given by

$$S=\frac{1}{2}_{t_0}^{t_1}𝑑t_0^{\mathrm{}}𝑑\theta \left(A^2+\left(\frac{1+\lambda \theta }{\mu _0}\frac{A}{\theta }\right)^2\right)$$
(20)
This is still a quadratic action and can be put into a quadratic form by performing integration by parts and setting the boundary term to zero since we are assuming Neumann boundary conditions. The inverse (Greens function) of the quadratic operator or the propagator for this action is found to be

$$\begin{array}{cc}\hfill D(\theta ,\theta ^{};T_{FR})=& \frac{\mu _0^2\alpha }{2\lambda \alpha (\alpha +1/2)(1(1+\lambda T_{FR})^{2\alpha })}\hfill \\ & \left(\frac{\alpha +1/2}{\alpha 1/2}(1+\lambda T_{FR})^{2\alpha }(1+\lambda \theta _>)^{\alpha 1/2}+(1+\lambda \theta _>)^{\alpha 1/2}\right)\hfill \\ & \left(\frac{\alpha +1/2}{\alpha 1/2}(1+\lambda T_{FR})^{2\alpha }(1+\lambda \theta _<)^{\alpha 1/2}+(1+\lambda \theta _<)^{\alpha 1/2}\right)\hfill \end{array}$$
(21)
where $`\alpha =\sqrt{\frac{1}{4}+\frac{\mu _0^2}{4\lambda ^2}}`$ and where we have put the bound on the $`\theta `$ variable $`T_{FR}`$ explicitly. The reason for this is that the limits have to be taken carefully in order to compare this model to the HJM in the limit $`\mu _00`$ and to the constant rigidity field theory model when $`\lambda 0`$.

Let us first consider the limit $`\lambda 0`$. First, we note

$$\alpha =\sqrt{\frac{1}{4}+\frac{\mu _0^2}{\lambda ^2}}\frac{\mu _0}{\lambda }\sqrt{1+\frac{\lambda ^2}{4\mu _0^2}}\frac{\mu _0}{\lambda }$$
(22)
Therefore, we have

$$(1+\lambda \theta )^{\alpha 1/2}=\left((1+\lambda \theta )^{1/\lambda }\right)^{\mu _0}(1+\lambda \theta )^{1/2}e^{\mu _0\theta }$$
(23)
Similarly $`(1+\lambda \theta )^{\alpha 1/2}e^{\mu _0\theta }`$, $`(1+\lambda \theta )^{\alpha 1/2}e^{\mu _0\theta }`$ and $`(1+\lambda T_{FR})^{2\alpha }e^{2\mu _0T_{FR}}`$. Putting all these limits into (21) and performing some straightforward simplifications, we see that (21) becomes equal (10) in the limit $`\lambda 0`$. In the taking of this limit, we did not have any trouble with $`T_{FR}`$. However, for the HJM limit, we will see that the limit $`T_{FR}\mathrm{}`$ has to be taken only after the limit $`\mu _00`$ has been taken.

Let us now consider the limit $`\mu _00`$. In this limit $`\alpha \frac{1}{2}+\frac{\mu _0^2}{\lambda ^2}`$. Hence, only one term in (21) survive as all the others are multiplied by $`\alpha 1/2`$. This surviving term can be evaluated

$$\begin{array}{cc}& \frac{\mu _0^2}{2\lambda }\frac{(\alpha +1/2)^2}{\alpha 1/2}\frac{1}{1(1+\lambda T_{FR})^1}(1+\lambda T_{FR})^1\hfill \\ & =\frac{\mu _0^2}{2\lambda }\times \frac{2\lambda ^2}{\mu _0^2}\times \frac{1+\lambda T_{FR}}{\lambda T_{FR}}\times \frac{1}{1+\lambda T_{FR}}\hfill \\ & =\frac{1}{T_{FR}}\hfill \end{array}$$
(24)
The terms $`(1+\lambda \theta _>)^{\alpha 1/2}`$ and $`(1+\lambda \theta _<)^{\alpha 1/2}`$ obviously go to one in this limit and so were not included in the calculation above. This result can be seen to be equivalent to the HJM propagator after normalization. If the limit $`T_{FR}\mathrm{}`$ is taken first, then the propagator becomes

$$D(\theta ,\theta ^{})=\frac{\mu _0^2(\alpha 1/2)}{2\lambda \alpha (\alpha +1/2)}(1+\lambda \theta _>)^{\alpha 1/2}\left(\frac{\alpha +1/2}{\alpha 1/2}(1+\lambda \theta _<)^{\alpha 1/2}+(1+\lambda \theta _<)^{\alpha 1/2}\right)$$
(25)
which exhibits a $`\theta `$ dependence in the limit $`\mu _00`$. Hence, this cannot be made equivalent to HJM if the limits are taken in the wrong order. This problem is not present in the constant rigidity model.

For comparison with market data, we still take the limit $`T_{FR}\mathrm{}`$ as the model is then still directly related to the field theory model. The predicted correlation structure for this model is then given by

$$𝒞(\theta ,\theta ^{})=\left(\frac{(\alpha +1/2)(1+\lambda \theta _<)^{2\alpha }+\alpha 1/2}{(\alpha +1/2)(1+\lambda \theta _>)^{2\alpha }+\alpha 1/2}\right)^{\frac{1}{2}}$$
(26)
We fitted the parameters $`\mu _0`$ and $`\lambda `$ to the correlation structure observed in the market in a similar manner as for the field theory model and obtained the results $`\mu _0=1.2\times 10^5/\mathrm{year}`$ and $`\lambda =0.108/\mathrm{year}`$. The root mean square error in the correlation was 3.35%. On performing the error analysis for the parameters, it is found that $`\mu _0`$ is very unstable but always very small (less than $`10^2/\mathrm{year}`$) while the 90% confidence interval for $`\lambda `$ is (0.099, 0.149). The relatively high value for $`\lambda `$ seems to show that the falloff of the rigidity paramater $`\mu =\frac{\mu _0}{1+\lambda \theta }`$ is fairly rapid. The error is reduced from 4.23% to 3.35% but an extra parameter has had to be added and the model has become considerably more complicated due to the freedom of the form of the rigidity parameter $`\mu `$. Further, we seem to be in the region of very small $`\mu _0`$ which does not behave well in the HJM limit. In fact, the correlation structure in this limit is given by

$$𝒞(\theta ,\theta ^{})=\sqrt{\frac{1+\lambda \theta _<}{1+\lambda \theta _>}}$$
(27)
Due to the very small value of $`\mu _0`$ for the fitted function, this is a very good approximation for the fit. The obtained fit for the correlation function can be seen in figure 8.

The limited improvement, the relatively complicated form of the correlation and the near zero $`\mu _0`$ problem prompted us to consider a different way of approaching the problem which presented a much more satisfactory solution. This model is described in the next section

## 10 Field Theory Model with $`f(t,z(\theta ))`$

To see where we might make an improvement, we notice that the predicted correlation structure with the field theory model is largely defined by the $`e^{\mu |\theta _>\theta _<|}`$ term which means that the correlation does not depend explicitly on the times $`\theta _>`$ and $`\theta _<`$222There is another term of the form $`e^{\mu (\theta _>+\theta _<)}`$ but this has only a small effect on the correlation structure. However, we see immediately from figure 3 that the correlation increases significantly as we increase $`\theta _>`$ and $`\theta _>`$. This is intuitively reasonable as market participants are likely to treat the difference between ten and fifteen years into the future quite differently from the difference between now and five years. Far out into the future, we would expect all times to be equivalent. In other words, there is good reason to expect $`lim_{\theta _<\mathrm{}}D(\theta _>,\theta _<)=1`$ 333Obviously, $`\theta _<\mathrm{}`$ automatically implies $`\theta _>\mathrm{}`$. This is not satisfied by the constant rigidity models or by the varying rigidity model (if the limit $`T_{FR}\mathrm{}`$ is taken). For the latter model, this is slightly surprising since $`\mu 0`$ as $`\theta \mathrm{}`$ and we might expect that for large $`\theta `$ the varying rigidity model should go into the HJM model limit ($`D=1`$). However, this does not happen as previously discussed since we have taken the limit $`T_{FR}\mathrm{}`$.

Further, the relatively marginal reduction of the error shows that varying the rigidity parameter does not quite reflect the data. An alternative way to consider the problem would be to use the observed correlation structure to induce a metric onto the $`\theta `$ direction. In some sense, this metric would be measuring the “psychological distance” in the investor’s minds which corresponds to a certain separation in maturity time. To make this concrete, let us write the observed correlation as $`D(\theta ,\theta ^{})=e^{s(\theta ,\theta ^{})}`$. Since $`D(\theta ,\theta )=1`$, $`s(\theta ,\theta )=0`$ and $`s`$ is symmetric as well. If we can show the triange property (which in the case of one dimension reduces to the straightforward condition that $`s(\theta _1,\theta _3)=s(\theta _1,\theta _2)+s(\theta _2,\theta _3)`$), we can see that $`s`$ makes a good definition of distance in $`\theta `$. From the market data, it can be shown that this rule is very approximately satisfied and we can use it as an approximate way to induce a metric onto the $`\theta `$ direction from the observed market data.

It should also be noted that introducing the metric is different from changing the form of the rigidity function $`\mu (\theta )`$. To see this, we write the action with the rigidity function $`\mu (\theta )`$ as

$$S_{old}=\frac{1}{2}_{t_0}^{t_1}𝑑t_0^{\mathrm{}}𝑑\theta \left(A^2+\frac{1}{\mu ^2}\left(\frac{A}{z}\right)^2\right)$$
(28)
where the functional variation of $`\mu `$ with $`\theta `$ has been absorbed into the variable $`z=g(\theta )`$ (where $`g`$ is invertible) so that the $`\mu `$ above is a constant. With a change of variables we get the action as

$$S_{old}=\frac{1}{2}_{t_0}^{t_1}𝑑t_{g(0)}^{g(\mathrm{})}𝑑zh^{}(z)\left(A^2+\frac{1}{\mu ^2}\left(\frac{A}{z}\right)^2\right)$$
(29)
where $`h=g^1`$. With the introduction of the metric, we obtain the action

$$S_{new}=\frac{1}{2}_{t_0}^{t_1}𝑑t_{g(0)}^{g(\mathrm{})}𝑑z\left(A^2+\frac{1}{\mu ^2}\left(\frac{A}{z}\right)^2\right)S_{old}$$
(30)
The Green’s functions for $`S_{new}`$ should be solved using the $`z`$ variables, and as expected the solution is given by $`D(z,z^{})=\frac{1}{2}(\mathrm{exp}\mu |zz^{}|+\mathrm{exp}\mu (z+z^{}))`$. It can be shown that the martingale condition is satisfied with the Green’s function given by $`D(z,z^{})`$.

Bearing in mind the condition that, at large $`\theta `$, the correlations should be close to 1, or equivalently that the distance should be small, we choose a metric that satisfies property, $`g(\theta )=\mathrm{tanh}\beta \theta `$. We use this form of the metric to fit the correlation structure and obtain the result that $`\mu =0.48/\mathrm{year}`$ and $`\beta =0.32/\mathrm{year}`$ with a root mean square error of only 2.46%. Both parameters are also stable when the error analysis for the parameters is carried out. The 90% confidence interval for $`\mu `$ is (0.45, 0.58) and that for $`\beta `$ is (0.22, 0.33). Hence, we see that even the parameter estimation for this model is more robust as the parameters are atleast stable. Further, the shape of the fitted function is clearly closer to the observed one as can be seen from figures 4, 6, 7, 8 and 9. The error that remains is largely confined to the correlation between the spot rate and other forward rates which is not too surprising since the spot rate behaves very differently from the other forward rates.

We emphasize here that this involves a fundamentally new way of thinking of the interest rate models. So far, we have made models which generalized HJM so as to achieve a theory without too little freedom as in the one factor HJM model or too much freedom as in the two factor HJM model. While retaining this framework, we now use empirical data to guide us in refining the model to give us an insight into market psychology which will result from the induced metric.

## 11 Acknowledgements

We would like to thank Jean-Philippe Bouchaud and Science and Finance for kindly providing us with the data used for this study.