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# Power Laws of Wealth, Market Order Volumes and Market Returns

## 1 Power Laws and Logistic Equations

It was first observed by Pareto \[1897 sic!\] that in an economy, the fraction $`P(w)`$ of people owning a wealth $`w`$ is proportional to a power of $`w`$:

$$P(w)w^{1\alpha }$$
(1)
For the last hundred years the value of $`\alpha `$ 3/2 changed little in time and across the various capitalist economies.

Aoki and Yoshikawa  quote Montroll  to the effect that ”almost all the social phenomena, except in their relatively brief abnormal times obey the logistic growth” \[Lotka 1925, Volterra 1926\]:

$$dw/dt=AwBw^2$$
(2)
It was shown \[Solomon and Levy 1996, Levy and Solomon 1996, Biham et. al 1998\] that Generalized Lotka Volterra (GLV) systems explicitating the aggregated logistic equation (2) at the microscopic agents level lead to power law distributions of the form (1). One can therefore say that the careful reconsideration of the system (2), led to the solution of a 100 year old puzzle by a 75 year old equation.

In the next sections we

\- introduce the GLV model,

\- show that it reduces to a set of decoupled stationary linear stochastic equations.

\- derive analytically the Pareto law for the relative wealth distribution in the GLV model.

\- explain the Pareto exponent $`\alpha `$ 3/2 based on intrinsic biological and social constraints

\- relate via the GLV dynamics the Pareto exponent $`\alpha `$ 3/2 to the exponents of various stock market distributions. In particular GLV suggests that distribution of the volumes of the individual buy/sell orders is a power law with an exponent $`\beta 3/2`$. For the distribution of the trade-by-trade returns the predicted exponent is $`\gamma `$ 3.

## 2 The Generalized Lotka -Volterra Model

Let us consider the dynamical system:

$$dw_i(t)=w_i(t+\tau )w_i(t)=[\epsilon _i(t)\sigma _i+c_i(w_1,w_2,\mathrm{},w_N,t)]w_i(t)+a_i𝚺_jb_jw_j(t)$$
(3)
with $`i,j=1,2,\mathrm{},N`$.

The interpretation of the various terms is as follows:

$``$ $`dw_i(t)=w_i(t+\tau )w_i(t)`$ is the time evolution of the wealth of the individual $`i`$ during the time interval $`\tau `$.

$``$ The random variables $`\epsilon _i(t)`$ represent the purely stochastic fluctuations in the returns of the various investors and since we express the square standard deviations by the variables $`\sigma `$$`{}_{}{}^{2}{}_{i}{}^{}`$ one can assume without loss in generality that

$$<\epsilon _i(t)^2>=1$$
(4)
$``$ The systematic endogenous and exogenous trends in the returns are expressed by the arbitrary functions $`c_i(w_1,w_2,\mathrm{},w_N,t)`$.

$``$ Since the average value, $`m_i(t)=<\epsilon _i(t)>`$ can be absorbed in $`c_i`$, we may assume without loss in generality that:

$$m_i(t)=<\epsilon _i(t)>=0$$
(5)
$``$ the terms $`a_i𝚺_jb_jw_j(t)`$ represent the wealth redistribution by taxes, salaries, subsidies, etc. More precisely $`b_j`$represents how much of the wealth of the individual $`j`$ contributes to the total wealth to be redistributed while the coefficients $`a_i>0`$ represent the amount of wealth redistributed to the individual $`i`$.

Since an overall factor in the $`b_j`$’s can be absorbed in an overall factor in the $`a_i`$’s, one can assume without loss in generality that:

$$𝚺_jb_j=1$$
(6)
We will also assume here that all $`\sigma `$$`{}_{}{}^{2}{}_{i}{}^{}`$, $`c_i`$ and $`a_i`$ are of order $`\tau `$ and all $`b_j`$’s are positive of order $`1/N`$. Situations in which the coefficients describe certain neighbourhood structures in the investor’s space have been studied in \[Shnerb et. al 2000, 2001\].

For arbitrary, unequal $`c_i`$ factors, the dynamics of (3) will lead to systematically increasing inequalities in the relative wealths $`x_i`$. In particular, individuals $`i`$ with very negative $`c_i`$will keep loosing wealth. If they do it indefinitely, they will eventually disappear from the market (see however Levy, Persky and Solomon 1996, Farmer 1999, Solomon and Levy 2000, for other periodic, quasi-periodic and more complex regimes). The disappearence of the weakest, together with a host of other phenomena (adaptability, exploitation until exhaustion of systematic gain opportunities, adverse market effects: the largest players bidding against oneselves) leads usually to the ”efficient market” regime. In simple words, ”market efficency” means that the market is more efficient than any one individual in discovering the ’correct’ prices and eliminating thereby the possibility of systematic speculative gain. While it is interesting to study the effects of eventual departures from ”market efficiency” and their duration \[Farmer 1999, Levy, Perski and Solomon 1996, Solomon and Levy 2000\] it is reasonable to assume that for long time intervals, market efficiency holds and that except for the purely stochastic factors $`\epsilon _i(t)`$ all the individuals have the same expected relative returns. i.e:

$$c_i(w_1,w_2,\mathrm{},w_N,t)=c(w_1,w_2,\mathrm{},w_N,t)$$
(7)
Then, in the limit

$$a_i/\sigma _i^2>>1/lnN$$
(8)
one can show \[Biham et al 1998, Huang and Solomon 2000, 2001, Blank and Solomon 2000\] that the global dynamics of the economy can be expressed by taking the sum of the equations (3) each weighted by $`b_j`$ to obtain:

$$du(t)=u(t+\tau )u(t)=c(w_1,w_2,\mathrm{},w_N,t)u(t)+au(t)$$
(9)
where

$$a(t)=𝚺_ib_ia_i(t)$$
(10)
$$u(t)=𝚺_jb_jw_j(t)$$
(11)
and we have used equation (5) to neglect, in the limit $`N\mathrm{}`$, the sum of the random terms. One can think of the variable $`u`$ as a weighted average wealth.

Obviously for arbitrary functions $`c(w_1,w_2,\mathrm{},w_N,t)`$, the time evolution of $`u(t)`$ and the functions $`w_i(t)`$ can be very eventfull \[Levy, Persky and Solomon, 1996, Farmer 1999, Levy, Levy and Solomon 2000, Solomon and Levy 2000\]. However we show below that the probability distribution of the relative wealth

$$x_i(t)=w_i(t)/u(t)$$
(12)
has sometimes a much simpler behavior. By applying the chain differentiaton rule to (12) and using both (3) and (7) one gets:

$`dx_i(t)`$ $`=`$ $`dw_i/uw_i/u^2du`$ (13)
$`=`$ $`[\epsilon _i(t)\sigma _i+c]x_i(t)+a_ix_i(t)[c+a]`$ (14)
$`=`$ $`(\epsilon _i(t)\sigma _ia)x_i(t)+a_i`$ (15)
I.e. the system of equations splits into a set of independent, linear, time independent stochastic equations:

$$dx_i(t)=\epsilon _i\sigma _ix_i(t)ax_i(t)+a_i$$
(16)
Note that this holds even if $`\sigma `$i, $`D_i`$ and $`a_i`$ are functions of the corresponding $`x_i`$. In fact one obtains \[Richmond 2000, Richmond and Solomon 2000, Solomon and Richmond 2000\]:

$$P(x_i)=\frac{exp\{2[ax_i(t)+a_i]/[\sigma _ix_i]^2𝑑x_i\}}{[\sigma _ix_i]^2}$$
(17)
In the particular case when $`\sigma `$i and $`a_i`$ are constant, one obtains:

$$P(x_i)x_i^{1\alpha _i}exp[\frac{2a_i}{x_i\sigma _i^2}]$$
(18)
where

$$\alpha _i=1+2a/\sigma _i^2$$
(19)
Note that in this approach one can have subpopulations that differ in their regular additive incomes, $`a_i`$ and/or in their standard deviation for the multiplicative (speculative) returns,$`\sigma _i^2`$. In particular if has, for example, a sub-population involved in a NASDAQ like system with large $`\sigma _i^2`$ this population will possess an $`\alpha _i`$ much smaller than the rest of the population engaged in classical or ’old economy’ investment behaviour. This in turn will imply the concentration of wealth in a few ’lucky’ hands as shown in section 4. This will lead to market fluctuations which are significantly enhanced. This simly reflects the fact that wealth changes that occur are fractions of wealth of very wealthy individuals. (Think for example of the change in the market index induced by Bill Gates losing the current court case.) Obviously, a certain dependence of $`a_i`$ or $`\sigma `$$`{}_{}{}^{2}{}_{i}{}^{}`$ on $`x_i`$ may modify the power law exponent when substituted in (17).

In the case where all the coefficients are $`i`$-independent, i.e. $`\sigma _i^2=\sigma ^2,a_i=a`$ and $`b_i=1/N`$ one gets:

$$P(x)x^{1\alpha }exp[2a/(\sigma ^2x)]$$
(20)
with

$$\alpha =1+2a/\sigma ^2$$
(21)
\[Kesten 1973, Solomon and Levy 1996, Sornette and Cont 1997, Solomon 1998, Marsili, Maslov and Zhang 1998, Bouchaud and Mezard 2000\]. The distribution $`P(x)`$ has a peak at $`x_0=1/(1+D/a)`$. Above $`x_0`$, the relative wealth distribution $`P(x)`$ behaves like a power law while below $`x_0,`$ $`P(x)`$ vanishes very fast.

One can show that for finite $`N`$, the main corrections are:

1) a factor which vanishes at $`x=N`$. This is consistent with the fact that there cannot be an agent with wealth $`w_i(t)`$ larger than the total wealth $`Nw(t)`$:

$$P(x)=x^{1\alpha }exp[2a/(xD)]exp[2a/(D(1x/N))]$$
(22)
2) a correction to $`\alpha `$:

$$\alpha =1+2[a/DK]/[1+K]$$
(23)
where

$$K=N^{2+2/\alpha }N^{4a/D/(1+2a/D)}$$
(24)
This implies $`\alpha <1`$ if $`N<<exp(D/a)`$ i.e. the wealth gets concentrated in just a few hands \[Malcai, Biham and Solomon 1999, Blank and Solomon 2000, Huang and Solomon 2001\].

## 3 Why has the Pareto exponent been constant for the last 100 troubled years

Until now, we have explained the survival of the individual wealth power law (18), (20), (22) in the presence of large time variations in the total wealth. We now relate the constant value of $`\alpha 3/2`$ measured over the last 100 years (and for all the major capitalist economies) \[Pareto 1897, Zipf 1949, Levy and Solomon 1997\] to the social and biological constraints imposed on any society. The main idea is to exploit the particular characteristics of the shape of the wealth distribution curve (20) in order to relate the power decay of the probability distribution at large wealth to the wealth distribution of the poorest agents. This is possible since both the exponent $`\alpha =1+2a/\sigma ^2`$ of the power law for large wealth and the coefficient $`2a/\sigma ^2`$ in the exponential of -1/x that dominates low wealth behavior, depend on the single parameter $`a/\sigma ^2.`$ Consequently, how poor the poor are allowed (or can afford) to be, determines the power low distribution of more wealthy agents via the ratio $`a/\sigma ^2`$. The crucial expression $`a/\sigma ^2`$ can be understood as the ratio between additive regular incomes (salaries, social security, services) and the purely random multiplicative incomes originating in speculative market activities.

One of the crucial characteristics of the distribution $`P(x)`$ (20) is the fact that as one goes to lower and lower $`x0`$ values below it maximum $`x_01/(1+D/a)`$, its decay to 0 is extremely fast. In fact all its derivatives are 0 at $`x=0`$. Given this sharp decay at low $`w`$ values, one can assume that effectively, the distribution $`P(x)`$ vanishes below a certain minimal relative wealth $`x_m`$ (poverty bound). The value of $`x_m`$ can be estimated roughly by assuming that there are no individuals below it and that above it, the power law is fulfilled. Then one gets the relation between $`\alpha `$ and x m from the identity

$`<x>=<x_i(t)>`$ (25)
$`=<w_i(t)/w(t)>=w/w=1`$ (26)
which implies:

$`1`$ $`=`$ $`[{\displaystyle _{x_m}}x^\alpha 𝑑x]/[{\displaystyle _{x_m}}x^{1\alpha }𝑑x]`$ (27)
$`=`$ $`[1/(1\alpha )x_m^{1\alpha }]/[1/(\alpha )x_m^\alpha ]`$ (28)
$`=`$ $`x_m\alpha /(\alpha 1)`$ (29)
or:

$$\alpha =1/(1x_m)$$
(30)
\[Ijiri and Simon 1977, Levy and Solomon 1996, Malcai et al 99, Blank and Solomon 2000\].

According (21) this yields:

$$x_m=11/\alpha =1/(1+1/2\sigma ^2/a)$$

Based on (30), (31) one can now give a general scenario of how the internal interests and constraints within society lead to the actual value of $`\alpha 3/2`$ measured repeatedly in various economies in the last 100 years. Suppose that in a given economy the wealth necessary to keep a person alive is $`K`$. Certainly, anybody having less than that will have a very destabilizing effect on the society, so the number of people with wealth less then $`K`$ should be negligible if that society is to survive. Let us now suppose that the average family supported by an average wealth, has in average $`L`$ members . Clearly they will need a wealth of order $`KL`$, otherwise the wage earners will seek to correct the situation by strikes, negotiations, elections or revolts. Note that in a sense, the wealth of the average family is the definition of the minimal amount for supporting $`L`$ dependents, since the prices of the prime necessities will always adjust to it (i.e. if the average wealth increases so will the prices of housing, services, etc.).

In short, while the poorest people (who may not be able to afford a family) will ensure for their own survival that they do not get less than $`1/L`$ of the average, the average population will almost by definition take care that their income is at least $`L`$ times the minimal wealth. In this way they insure the survival of their offspring. All in all, we are lead to the conclusion that

$$x_m1/L$$

is dictated by the compromise between the survival instincts of the individual and the reproduction interesses of the species. Using equation (30) one further predicts:

$$\alpha =1/(1x_m)L/(L1).$$
(31)
These relations fit well the known numbers for typical capitalist economies in the last century: family size $`L34`$, poverty line (below which people get subsidized)

$$x_m1/41/3$$

and $`\alpha 1.331.5`$.

Our other key conclusion is, therefore, that the lower bound on the relative poverty governs totally the overall relative wealth distribution. The details of the dynamics by which this distribution arises are of course complex and depend on the interactions in the system.

Most likely, during periods of large speculative fluctuations $`\sigma ^2`$ which can give rise to significant numbers of ”nouveau riches” , regular wage earners will demand that the salaries, pensions and social security (all contributing to $`a`$ in) will increase in such a manner that the ratio $`a/\sigma ^2`$ returns to the value 1/6 - 1/4 consistent with $`x_m=1/(1+1/2\sigma ^2/a)=1/L`$ with $`L34`$. During ’bearish’ periods (small $`\sigma ^2`$) salaries $`a`$ will erode leading again to a ratio $`a/\sigma ^2`$ that is fixed around:

$$a/\sigma ^21/[2(L1)]1/41/6$$

. Consequently, the value of $`\alpha L/(L1)`$ is kept fixed too around $`\alpha 3/24/3`$. The Pareto experimental result $`\alpha 1.4`$ falls well inside this range.

One may object that at the begining of the century the number of children per couple was larger. However, one should keep in mind that at that time children started to earn their living at an early age, so the number of dependent children per wage earner was not far from 3-4. Moreover a slow shift towards larger values of $`\alpha `$ (1.5-1.7) (corresponding to lower $`L`$ values) seems to take place in modern economies with strong social security policies.

## 4
Heavy Tails of Buy/ Sell Order Volumes and Market Returns Distributions in GLV

We discuss here some practical implications for the finacial markets of the formal results obtained in the previous sections.

In particular we derive the values that GLV suggests for the exponents of the probability distributions of

* volumes of sell/buy orders = the amounts that the traders request to buy or sell. GLV suggests an exponent of the order $`\alpha 3/2`$.
* trade-by-trade returns = the stock price variations from one trade to the next. GLV suggests and exponent $`\gamma 2\alpha 3`$.

According to Eq. (3), the variation of an individual investment is to lowest order in $`\tau `$ the term proportional to $`\sigma `$$`{}_{i}{}^{}\tau ^{1/2}`$:

$$dw_i(t)=w_i(t+\tau )w_i(t)=\epsilon _i(t)\sigma _iw_i(t)$$
(32)
That is, according the GLV model, the variations in the invested capital are proportional to the capital itself. The proportionality of individual investments and returns to the individual wealth is a crucial property of the capital and a crucial ingredient of the GLV (and LLS) model. It is consistent \[Levy and Solomon 97\] with the experimental fact that the distribution of annual individual returns fulfills a power law with an exponent $`\alpha `$ equal to the one of the wealth distribution ($`3/2`$).

In fact, if one uses the experimental fact that the investors have constant relative risk aversion then, one can prove \[Levy, Levy Solomon 2000\] that their utility functions are powers of their wealth. This in turn implies that the fraction of wealth that such an investor considers as optimal to invest is a fraction (that depends on the investor’s current expectations) of his personal wealth. This is to be contrasted with the implications of the non-realistic (experimentally rejected but often used for analytical expediency) constant absolute risk aversion assumption. This would lead to an exponential utility function which predicts personal investments which are independent on the investor’s wealth.

It is therefore very reasonable to assume that each buy/ sell order volume is stochastically proportional to the wealth of the trader that emits it.

Therefore, a natural implication of the GLV model \[Levy and Solomon 97, Solomon 2000\] is that the volumes of the individual sell/buy orders are distributed too by a power law with an exponent $`\beta \alpha 3/2`$ equal to the exponent of the Pareto individual wealth distribution. This is confirmed by measurements reported by \[Maslov 2001\] and \[Gopikrishnan et al. 2000\] where the order volumes are distributed by a power law with exponent $`\alpha <2`$.

Let us now estimate the exponent of the distribution of market price variations from one trade to another (trade-by-trade returns). Since the value of a stock is proportional to the sum of the individual investments in that stock, the trade-by-trade returns are stochastically proportional to the volumes traded in the individual trades. In fact the stochastic correlations between trade volumes and absolute value of the returns are well documented in the literature. In an ideal market where trading and price fixing take place in a centralized way \[LLS, Biham et al\] via a market maker who matches globally all individual demands / ofers such as to saturate the overall market demand/ ofer, it follows that trade volumes (and trade-by-trade returns) obey power laws with the same exponents as the buy/ sell order volumes $`\gamma \beta \alpha 3/2.`$

However, in most real markets, the trades take place by the matching of pairs of buy and sell orders with compatible prices. In such a case the volume of each trade is equal to the smallest among the volumes of the matched pair. The prediction for distribution of trade volumes is now very different: Since the probability for each of 2 matched orders to exceed (or equal) a certain volume $`v`$ is

$$P(>v)v^\alpha $$
(33)
the probability that both have a volume (equal or) larger than $`v`$ is the product:

$$P(>v,>v)P(>v)P(>v)v^\alpha v^\alpha v^{2\alpha }$$
(34)
So the prediction of GLV for such a market measurement is that the trades volumes and the trade-by-trade returns will fulfill a power law with an exponent

$$\gamma 2\alpha 3$$
(35)
While for very short times, and small returns the exponent $`\gamma 3`$ in the returns power distribution is masked by various other effects (e.g. subtelties related to the differentiation between market orders and limit orders and the way one accounts for a large order that is saturated by the sequential matching with a series of smaller orders; this accounts also for some apparent discrepancies between \[Maslov 2001\] and \[Gopikrishnan et. al 2000\]), for a wide range of parameters, the empirical data confirm an exponent $`\gamma 3`$ in the power tails of the market returns distributions \[Gopikrishnan et al 1999\].

## 5 Conclusions

By analyzing economic dynamics from a general viewpoint we have demonstrated features that are common to most economies. Assuming only weak generic assumptions on capital dynamics, we are able to obtain very specific predictions for the distribution of social wealth. A crucial assumption is that the capital market is fair, i.e. equal capitals have equal opportunities. Mathematically, this is expressed via the assumption that expectations for returns are independent of $`i`$ . We show that in such a market, the wealth distribution among individual investors fulfills a power law.The balance between ”fair play” for the capital and minimal socio-biological needs of the humans seems to trap the world economy into a power law wealth distribution which determines much of its dynamical and equilibrium properties and in particular the Pareto exponent $`\alpha 3/2`$. Moreover, the model is consistent with the recent measurments of the power law exponents of the distributions of order volumes and market returns \[Maslov 2001, Gopikrishnan et al. 1999\].

This paper is dedicated respectfully to the memory of Herbert Simon.

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# 1 Introduction

## 1 Introduction

In this talk we review work  that exploits perturbative relations between gravity and gauge theories. Although both theories have a local symmetry, their dynamical behaviors are quite different. Nevertheless, in the context of perturbation theory, it turns out that tree-level gravity amplitudes can, roughly speaking, be expressed as a sum of products of gauge theory amplitudes. These tree-level relations between gravity and gauge theory S-matrices are rather remarkable from a conventional Lagrangian or Hamiltonian point of view but can be most easily understood from the Kawai, Lewellen and Tye (KLT)  relations between open and closed string tree amplitudes. When combined with the $`D`$-dimensional unitarity methods described in refs. , it provides a new tool for investigating the ultra-violet behavior of quantum gravity. (The unitarity methods have also been applied to QCD loop computations of phenomenological interest and to supersymmetric gauge theory computations .)

Ultraviolet properties are a central issue for perturbative gravity. Although gravity is non-renormalizable by power counting, no divergence has, in fact, been established by a direct calculation for any four-dimensional supersymmetric theory of gravity. Explicit calculations have established that non-supersymmetric theories of gravity with matter generically diverge at one loop , and pure gravity diverges at two loops . However, in any supergravity theory in $`D=4`$, supersymmetry Ward identities  forbid all possible one-loop  and two-loop  counterterms. Thus, at least a three-loop calculation is required to directly address the question of divergences in four-dimensional supergravity. There is a candidate counterterm at three loops for all supergravities including the maximally extended version ($`N=8`$. However, no explicit three loop (super) gravity calculations have appeared. It is in principle possible that the coefficient of a potential counterterm can vanish, especially if the full symmetry of the theory is taken into account. Based on explicit calculation, we shall argue that this is indeed the case for the potential three-loop counterterm of $`N=8`$ supergravity.

With traditional perturbative approaches  to performing explicit calculations, as the number of loops increases the number of algebraic terms proliferates rapidly beyond the point where computations are practical. We will take a different approach, relying instead on a new formalism for perturbatively quantizing gravity.

## 2 Method for Investigating Perturbative Gravity

Our reformulation of quantum gravity is based on two ingredients:

1. The Kawai, Lewellen and Tye relations between closed and open string tree-level S-matrices .
2. The observation that the $`D`$-dimensional tree amplitudes contain all information necessary for building the complete perturbative $`S`$-matrix to any loop order .

### 2.1 The KLT tree-level relations.

In the field theory limit ($`\alpha ^{}0`$) the KLT relations for the four- and five-point amplitudes are

| $`M_4^{\mathrm{tree}}(1,2,3,4)=is_{12}A_4^{\mathrm{tree}}(1,2,3,4)A_4^{\mathrm{tree}}(1,2,4,3),`$ |
| --- |
| $`M_5^{\mathrm{tree}}(1,2,3,4,5)=is_{12}s_{34}A_5^{\mathrm{tree}}(1,2,3,4,5)A_5^{\mathrm{tree}}(2,1,4,3,5)`$ |
| $`+is_{13}s_{24}A_5^{\mathrm{tree}}(1,3,2,4,5)A_5^{\mathrm{tree}}(3,1,4,2,5),`$ |

$`(1)`$
where the $`M_n`$’s are the amplitudes in a gravity theory stripped of couplings, the $`A_n`$’s are the color-ordered gauge theory sub-amplitudes also stripped of couplings and $`s_{ij}(k_i+k_j)^2`$. We suppress all $`\epsilon _j`$ polarizations and $`k_j`$ momenta, but keep the ‘$`j`$’ labels to distinguish the external legs. Full gauge theory amplitudes are given in terms of the partial amplitudes $`A_n`$, via

| $`𝒜_n^{\mathrm{tree}}`$ | $`(1,2,\mathrm{}n)=g^{(n2)}{\displaystyle \underset{\sigma S_n/Z_n}{}}\mathrm{Tr}\left(T^{a_{\sigma (1)}}\mathrm{}T^{a_{\sigma (n)}}\right)A_n^{\mathrm{tree}}(\sigma (1),\mathrm{},\sigma (n)),`$ |
| --- | --- |

where $`S_n/Z_n`$ is the set of all permutations, but with cyclic rotations removed, and $`g`$ is the gauge theory coupling constant. The $`T^{a_i}`$ are fundamental representation matrices for the Yang-Mills gauge group $`SU(N_c)`$, normalized so that $`Tr(T^aT^b)=\delta ^{ab}`$. For states coupling with the strength of gravity, the full amplitudes including the gravitational coupling constant are,

$$_n^{\mathrm{tree}}(1,\mathrm{}n)=\left(\frac{\kappa }{2}\right)^{(n2)}M_n^{\mathrm{tree}}(1,\mathrm{}n),$$

where $`\kappa ^2=32\pi G_N`$. The KLT equations generically hold for any closed string states, using their Fock space factorization into pairs of open string states.

Berends, Giele and Kuijf  exploited the KLT relations ($`(1)`$) and their $`n`$-point generalizations to obtain an infinite set of maximally helicity violating (MHV) graviton tree amplitudes, using the known MHV Yang-Mills amplitudes . Cases of gauge theory coupled to gravity have recently been discussed in ref. . Interestingly, the color charges associated with any gauge fields appearing in gravity theories are represented through the KLT equations as flavor charges carried either by scalars or fermions. For example, by applying the KLT equations the three-gluon one-graviton amplitude may be expressed as

| $`_4^{\mathrm{tree}}(1_g^{},2_g^{},3_g^+,4_h^+)`$ | $`=ig{\displaystyle \frac{\kappa }{2}}s_{12}A_4^{\mathrm{tree}}(1_g^{},2_g^{},3_g^+,4_g^+)\times A_4^{\mathrm{tree}}(1_s,2_s,4_g^+,3_s)`$ |
| --- | --- |
|  | $`=g{\displaystyle \frac{\kappa }{2}}{\displaystyle \frac{\mathrm{1\hspace{0.17em}2}^4}{\mathrm{1\hspace{0.17em}2}\mathrm{2\hspace{0.17em}3}\mathrm{3\hspace{0.17em}4}\mathrm{4\hspace{0.17em}1}}}\times \sqrt{2}f^{a_1a_2a_3}{\displaystyle \frac{\left[\mathrm{4\hspace{0.17em}3}\right]\mathrm{3\hspace{0.17em}2}}{\mathrm{2\hspace{0.17em}4}}},`$ |

where the $`\pm `$ superscripts denote the helicities and the subscripts $`h`$, $`g`$ and $`s`$ denote whether a given leg is a graviton, gluon or scalar. On the right-hand side of the equation, the group theory indices are flavor indices for the scalars. On the left-hand side they are reinterpreted as color indices for gluons. For simplicity, the amplitudes have been expressed in terms of $`D=4`$ spinor inner products (see e.g. ref. ), although the factorization of the amplitude into purely gauge theory amplitudes holds in any dimension. The spinor inner products are denoted by $`ij=i^{}|j^+`$ and $`\left[ij\right]=i^+|j^{}`$, where $`|i^\pm `$ are massless Weyl spinors of momentum $`k_i`$, labeled with the sign of the helicity. They are antisymmetric, with norm $`|ij|=|\left[ij\right]|=\sqrt{s_{ij}}`$.

### 2.2 Cut Construction of Loop Amplitudes

We now outline the use of the KLT relations for computing multi-loop gravity amplitudes, starting from gauge theory amplitudes. Although the KLT equations hold only at the classical tree-level, $`D`$-dimensional unitarity considerations can be used to extend them to the quantum level. The application of $`D`$-dimensional unitarity has been extensively discussed for the case of gauge theory amplitudes , so here we describe it only briefly.

The unitarity cuts of a loop amplitude can be expressed in terms of amplitudes containing fewer loops. For example, the two-particle cut of a one-loop four-point amplitude in the channel carrying momentum $`k_1+k_2`$, as shown in fig. 1, can be expressed as the cut of,

| $`{\displaystyle \underset{\mathrm{states}}{}}`$ | $`{\displaystyle \frac{d^DL_1}{(4\pi )^D}\frac{i}{L_1^2}_4^{\mathrm{tree}}(L_1,1,2,L_3)\frac{i}{L_3^2}_4^{\mathrm{tree}}(L_3,3,4,L_1)}|_{\mathrm{cut}},`$ |
| --- | --- |

$`(2)`$
where $`L_3=L_1k_1k_2`$, and the sum runs over all states crossing the cut. We label $`D`$-dimensional momenta with capital letters and four-dimensional ones with lower case. We apply the on-shell conditions $`L_1^2=L_3^2=0`$ to the amplitudes appearing in the cut even though the loop momentum is unrestricted; only functions with a cut in the given channel under consideration are reliably computed in this way.

Complete amplitudes are found by combining all cuts into a single function with the correct cuts in all channels. If one works with an arbitrary dimension $`D`$ in eq. ($`(2)`$), and takes care to keep the full analytic behavior as a function of $`D`$, then the results will be free of subtraction ambiguities that are commonly present in cutting methods . (The regularization scheme dependence remains, of course.) An advantage of the cutting approach is that the gauge-invariant amplitudes on either side of the cut may be simplified before attempting to evaluate the cut integral .

## 3 Recycling Gauge Theory Into Gravity Loop amplitudes

As a relatively simple example, consider the one-loop amplitude with four identical helicity external gravitons and a scalar in the loop . The cut in the $`s_{12}`$ channel is

| $`{\displaystyle \frac{d^DL_1}{(2\pi )^D}}`$ | $`{\displaystyle \frac{i}{L_1^2}}M_4^{\mathrm{tree}}(L_1^s,1_h^+,2_h^+,L_3^s){\displaystyle \frac{i}{L_3^2}}M_4^{\mathrm{tree}}(L_3^s,3_h^+,4_h^+,L_1^s)|_{\mathrm{cut}},`$ |
| --- | --- |

$`(3)`$
where the superscript $`s`$ indicates that the cut lines are scalars and the subscript $`h`$ indicates that the external particles are gravitons. Using the KLT expressions ($`(1)`$) we may replace the gravity tree amplitudes appearing in the cuts with products of gauge theory amplitudes. The required gauge theory tree amplitudes, with two external scalar legs and two gluons, are relatively simple to obtain using Feynman diagrams and are,

| $`A_4^{\mathrm{tree}}(L_1^s,1_g^+,2_g^+,L_3^s)=i{\displaystyle \frac{\mu ^2\left[\mathrm{1\hspace{0.17em}2}\right]}{\mathrm{1\hspace{0.17em}2}[(\mathrm{}_1k_1)^2\mu ^2]}},`$ |
| --- |
| $`A_4^{\mathrm{tree}}(L_1^s,1_g^+,L_3^s,2_g^+)=i{\displaystyle \frac{\mu ^2\left[\mathrm{1\hspace{0.17em}2}\right]}{\mathrm{1\hspace{0.17em}2}}}\left[{\displaystyle \frac{1}{(\mathrm{}_1k_1)^2\mu ^2}}+{\displaystyle \frac{1}{(\mathrm{}_1k_2)^2\mu ^2}}\right],`$ |

where $`L_1=\mathrm{}_1+\mu `$, where the subscript $`g`$ means the lines are gluons. The gluon momenta are four-dimensional, but the scalar momenta are allowed to have a $`(2ϵ)`$-dimensional component $`\stackrel{}{\mu }`$, with $`\stackrel{}{\mu }\stackrel{}{\mu }=\mu ^2>0`$. The overall factor of $`\mu ^2`$ appearing in these tree amplitudes means that they vanish in the four-dimensional limit, in accord with a supersymmetry Ward identity . In the KLT relation ($`(1)`$), one of the propagators cancels, leaving

By symmetry, the tree amplitudes appearing in any of the other cuts are the same up to relabelings. We then inserting these trees, with appropriate leg labels, into the cut ($`(3)`$).

After combining all three cuts into a single function that has the correct cuts in all channels one obtains the one-loop graviton amplitude with a scalar in the loop,

| $`M_4^{1\text{-}\mathrm{loop}}(1_h^+,2_h^+,3_h^+,4_h^+)`$ | $`=2{\displaystyle \frac{\left[\mathrm{1\hspace{0.17em}2}\right]^2\left[\mathrm{3\hspace{0.17em}4}\right]^2}{\mathrm{1\hspace{0.17em}2}^2\mathrm{3\hspace{0.17em}4}^2}}(_4^{1\text{-}\mathrm{loop}}[\mu ^8](s,t)+_4^{1\text{-}\mathrm{loop}}[\mu ^8](s,u)`$ |
| --- | --- |
|  | $`+_4^{1\text{-}\mathrm{loop}}[\mu ^8](t,u)),`$ |

$`(4)`$
where $`s=s_{12},t=s_{14},u=s_{13}`$ are the usual Mandelstam variables and

$`(5)`$
is the scalar box integral depicted in fig. 2 with the external legs arranged in the order 1234. In eq. ($`(4)`$) the numerator $`𝒫`$ is $`\mu ^8`$. The two other scalar integrals that appear correspond to the two other distinct orderings of the four external legs. The spinor factor $`\left[\mathrm{1\hspace{0.17em}2}\right]^2\left[\mathrm{3\hspace{0.17em}4}\right]^2/(\mathrm{1\hspace{0.17em}2}^2\mathrm{3\hspace{0.17em}4}^2)`$ in eq. ($`(4)`$) is actually completely symmetric, although not manifestly so. By rewriting this factor and extracting the leading $`𝒪(ϵ^0)`$ contribution from the integral, the final one-loop $`D=4`$ result after reinserting the gravitational coupling is

| $`_4^{1\text{-}\mathrm{loop}}`$ | $`(1_h^+,2_h^+,3_h^+,4_h^+)={\displaystyle \frac{i}{(4\pi )^2}}\left({\displaystyle \frac{\kappa }{2}}\right)^4\left({\displaystyle \frac{st}{\mathrm{1\hspace{0.17em}2}\mathrm{2\hspace{0.17em}3}\mathrm{3\hspace{0.17em}4}\mathrm{4\hspace{0.17em}1}}}\right)^2{\displaystyle \frac{s^2+t^2+u^2}{120}},`$ |
| --- | --- |

$`(6)`$
in agreement with a previous calculation .

## 4 Maximal Supergravity

Maximal $`N=8`$ supergravity can be expected to be the least divergent of the four-dimensional supergravity theories due to its high degree of symmetry. Moreover, from a technical viewpoint maximally supersymmetric $`N=8`$ amplitudes are by far the easiest to deal with in our formalism because of spectacular supersymmetric cancellations. For these reasons it is logical to re-investigate the divergence properties of this theory first . It should be possible to apply similar methods to theories with less supersymmetry.

### 4.1 Cut Construction

Again we obtain supergravity amplitudes by recycling gauge theory calculations. For the $`N=8`$ case, we factorize each of the 256 states of the multiplet into a tensor product of $`N=4`$ super-Yang-Mills states. The key equation for obtaining the two-particle cuts is,

| $`{\displaystyle \underset{\genfrac{}{}{0pt}{}{N=8}{\mathrm{states}}}{}}M_4^{\mathrm{tree}}(L_1,`$ | $`1,2,L_3)\times M_4^{\mathrm{tree}}(L_3,3,4,L_1)`$ |
| --- | --- |
|  | $`=s^2{\displaystyle \underset{\genfrac{}{}{0pt}{}{N=4}{\mathrm{states}}}{}}A_4^{\mathrm{tree}}(L_1,1,2,L_3)\times A_4^{\mathrm{tree}}(L_3,3,4,L_1)`$ |
|  | $`\times {\displaystyle \underset{\genfrac{}{}{0pt}{}{N=4}{\mathrm{states}}}{}}A_4^{\mathrm{tree}}(L_3,1,2,L_1)\times A_4^{\mathrm{tree}}(L_1,3,4,L_3),`$ |

$`(7)`$
where we have suppressed the particle labels. The external labels are those for any particles in the supermultiplet, while the sum on the left-hand side runs over all states in the $`N=8`$ super-multiplet. On the right-hand side the two sums run over the states of the $`N=4`$ super-Yang-Mills multiplet: a gluon, four Weyl fermions and six real scalars. Given the corresponding $`N=4`$ Yang-Mills two-particle sewing equation ,

| $`{\displaystyle \underset{\genfrac{}{}{0pt}{}{N=4}{\mathrm{states}}}{}}A_4^{\mathrm{tree}}(L_1,1,`$ | $`2,L_3)\times A_4^{\mathrm{tree}}(L_3,3,4,L_1)`$ |
| --- | --- |
|  | $`=istA_4^{\mathrm{tree}}(1,2,3,4){\displaystyle \frac{1}{(L_1k_1)^2}}{\displaystyle \frac{1}{(L_3k_3)^2}},`$ |

it is a simple matter to evaluate eq. ($`(7)`$), yielding

| $`{\displaystyle \underset{\genfrac{}{}{0pt}{}{N=8}{\mathrm{states}}}{}}M_4^{\mathrm{tree}}(L_1,1,`$ | $`2,L_3)\times M_4^{\mathrm{tree}}(L_3,3,4,L_1)`$ |
| --- | --- |
|  | $`=istuM_4^{\mathrm{tree}}(1,2,3,4)\left[{\displaystyle \frac{1}{(L_1k_1)^2}}+{\displaystyle \frac{1}{(L_1k_2)^2}}\right]`$ |
|  | $`\times \left[{\displaystyle \frac{1}{(L_3k_3)^2}}+{\displaystyle \frac{1}{(L_3k_4)^2}}\right].`$ |

$`(8)`$
The sewing equations for the $`t`$ and $`u`$ channels are similar.

A remarkable feature of the cutting equation ($`(8)`$) is that the external-state dependence of the right-hand side is entirely contained in the tree amplitude $`M_4^{\mathrm{tree}}`$. This fact allows us to iterate the two-particle cut algebra to all loop orders! Although this is not sufficient to determine the complete multi-loop four-point amplitudes, it does provide a wealth of information.

Applying eq. ($`(8)`$) at one loop to each of the three channels yields the one-loop four graviton amplitude of $`N=8`$ supergravity,

| $`_4^{1\text{-}\mathrm{loop}}(1,2,3,4)`$ | $`=i\left({\displaystyle \frac{\kappa }{2}}\right)^4stuM_4^{\mathrm{tree}}(1,2,3,4)`$ |
| --- | --- |
|  | $`\times \left(_4^{1\text{-}\mathrm{loop}}(s,t)+_4^{1\text{-}\mathrm{loop}}(s,u)+_4^{1\text{-}\mathrm{loop}}(t,u)\right),`$ |

in agreement with previous results . We have reinserted the gravitational coupling $`\kappa `$ in this expression. The scalar integrals are defined in eq. ($`(5)`$) with $`𝒫=1`$.

At two loops, the two-particle cuts are given by a simple iteration of the one-loop calculation. The three-particle cuts can be obtained by recycling the corresponding cuts for the case of $`N=4`$ super-Yang-Mills. It turns out that the three-particle cuts introduce no other functions than those already detected in the two-particle cuts. Combining all the cuts into a single function yields the $`N=8`$ supergravity two-loop amplitude ,

| $`_4^{2\text{-}\mathrm{loop}}(1,2,3,4)`$ | $`=\left({\displaystyle \frac{\kappa }{2}}\right)^6stuM_4^{\mathrm{tree}}(1,2,3,4)`$ |
| --- | --- |
|  | $`\times (s^2_4^{2\text{-}\mathrm{loop},\mathrm{P}}(s,t)+s^2_4^{2\text{-}\mathrm{loop},\mathrm{P}}(s,u)`$ |
|  | $`+s^2_4^{2\text{-}\mathrm{loop},\mathrm{NP}}(s,t)+s^2_4^{2\text{-}\mathrm{loop},\mathrm{NP}}(s,u)+\text{cyclic}),`$ |

$`(9)`$
where ‘$`+`$ cyclic’ instructs one to add the two cyclic permutations of legs (2,3,4), and $`_4^{2\text{-}\mathrm{loop},\mathrm{P}/\mathrm{NP}}`$ are depicted in fig. 3.

We comment that using the two-loop amplitude ($`(9)`$), Green, Kwon and Vanhove  provided an explicit demonstration of the non-trivial M theory duality between $`D=11`$ supergravity and type II string theory.

### 4.2 Divergence Properties of $`N=8`$ Supergravity

Though a momentum cutoff scheme leads to a one-loop divergence for $`N=1`$, $`D=11`$ supergravity, in dimensional regularization there are no one-loop divergences in $`D=11`$, so the first potential divergence in this theory is at two loops. Dimensional regularization is a rather convenient way to extract divergence properties as an analytic function of dimension, allowing us to directly relate properties of the $`N=1`$, $`D=11`$ supergravity to $`N=8`$ $`D=4`$ supergravity. (Some care is needed, however, to preserve supersymmetry .)

Since the two-loop $`N=8`$ supergravity amplitude ($`(9)`$) has been expressed in terms of scalar $`\varphi ^3`$ loop momentum integrals, it is straightforward to extract the divergence properties. The scalar integrals diverge only for $`D7`$; hence the two-loop $`N=8`$ amplitude is manifestly finite in $`D=5`$ and $`6`$, contrary to earlier expectations based on superspace power-counting arguments . The discrepancy between the above explicit results and the earlier superspace power counting arguments is due to a previously unaccounted higher dimensional gauge symmetry. Once this symmetry is accounted for, superspace power counting gives the same degree of divergence as the explicit calculation .

The manifest $`D`$-independence of the cutting algebra allowed us to extend the calculation to $`D=11`$, though there is no corresponding $`D=11`$ super-Yang-Mills theory. The result ($`(9)`$) then explicitly demonstrates that $`N=1`$ $`D=11`$ supergravity diverges even when using dimensional regularization. The $`D=11`$ two-loop divergence may be extracted from the amplitude in eq. ($`(9)`$) yielding  a non-vanishing counterterm. Further work on the structure of the $`D=11`$ counterterm has been carried out in refs. .

Since the two-particle cut sewing equation iterates to all loop orders, one can compute all contributions which can be assembled solely from two-particle cuts . Counting powers of loop momenta in these contributions suggests the simple finiteness formula,

$$L<\frac{10}{(D2)},\text{(with }L>1\text{),}$$
$`(10)`$
where $`L`$ is the number of loops. This formula indicates that $`N=8`$ supergravity is finite in some other cases where the previous superspace bounds suggest divergences , e.g. $`D=4`$, $`L=3`$. The first $`D=4`$ counterterm detected via the two-particle cuts of four-point amplitudes occurs at five, not three loops. Further evidence that the finiteness formula is correct stems from the maximally helicity violating contributions to $`m`$-particle cuts, in which the same supersymmetry cancellations occur as for the two-particle cuts . Moreover, a recent superspace power counting analysis taking the appropriate symmetries into account confirms the finiteness bound . Further work would, however, be required to prove that there are no additional hidden cancellations which could improve the finiteness condition beyond eq. ($`(10)`$). Interestingly, there has been a suggestion by Chalmers that dualities might accomplish this .

## 5 Concluding Comments

There are also a number of other interesting open questions. For example, the methods described here have been used to investigate only maximal supergravity. It would be interesting to systematically re-examine the divergence structure of non-maximal theories. (Some interesting recent work on this may be found in ref. .) Using the methods described in this talk it might, for example, be possible to systematically determine finiteness conditions order-by-order in the loop expansion. A direct derivation of the Kawai-Lewellen-Tye decomposition of gravity amplitudes in terms of gauge theory ones starting from the Einstein-Hilbert Lagrangian perhaps might lead to a useful reformulation of gravity. Some initial steps to gain an understanding of the Kawai-Lewellen-Tye relations, starting from the Lagrangian was presented in ref. . (See also ref. .) Connected with this is the question of whether the heuristic notion that gravity is the square of gauge theory can be given meaning outside of perturbation theory. In particular, an intriguing question is whether it is possible to relate more general solutions of the classical equations of motion for gravity to those for gauge theory.

Acknowledgments

The research reported on here was supported by the US Department of Energy under grants DE-FG03-91ER40662, DE-AC03-76SF00515 and DE-FG02-97ER41029. The work was performed in collaborations with L. Dixon, D. Dunbar, A.K. Grant, M. Perelstein, and J. Rozowsky. An expanded version of this talk appears in the proceedings of the Third Meeting on Constrained Dynamics and Quantum Gravity, Villasimius (Sardinia, Italy) September 13-17, 1999.


text:
# Velocity Field Distributions Due to Ideal Line Vortices

## I Introduction

Study of the hydrodynamics of ideal line vortices goes back at least as far as Helmholtz in the 19th century, and was developed in the 20th by Lin  and Onsager , who first made the dynamical system an object of statistical mechanical inquiry. The system appeared in plasma physics when Taylor and McNamara  calculated the Bohm-like coefficients of self-diffusion for a strongly-magnetized, two-dimensional, electrostatic guiding-center plasma model, a system whose mathematical description becomes identical with that of the ideal line vortex system under appropriate substitutions; the fact that these diffusion coefficients were inversely proportional to the first power of the magnetic field, even in thermal equilibrium, was startling.

The system is one for which interesting statistical-mechanical and fluid-mechanical questions can be asked, but must be asked with care, for two reasons. First, viscous effects have never been fully included in the model, although some forms of Navier-Stokesian behavior have on occasion been observed for it. Secondly, no classical, extensive “thermodynamic limit” exists for the system in the conventional sense, and the partition function, even for the case in which there is no overall net vorticity, does not in general exist in the infinite volume limit . None of the standard machinery of equilibrium statistical mechanics can be trusted completely without re-examination.

One question that can be asked, motivated in part by various probability distribution function measurements for turbulent fluid velocities that have been made in recent years, concerns the distribution of the velocity field at a fixed point in space, one at which no vortex necessarily resides. The field in question is one that is produced by all the vortices. This is a close analogue of the question of the probability distribution of the vector gravitational field due to a large collection of point masses, a question addressed in detail by Chandrasekhar in 1943 . Under the assumption that the point masses in three dimensions are uniformly distributed and uncorrelated, the resulting Holtsmark distribution has many non-standard properties, including the divergence of some of its low-order moments: a consequence of the long range of the inverse-square force field and the fact that point masses (or charges) each have an infinite “self energy” that reflects itself in the total force field when the single-particle contributions are combined additively.

In a recent interesting paper , Kuvshinov and Schep considered the statistics of the velocity field of a large but finite number of ideal line vortices inside a circular boundary (see also the paper of Chukbar , which is of some importance). They assumed uniformly distributed and uncorrelated line vortices of a single sign of vorticity. They noted that the Holtsmark-style treatment carried out by Chandrasekhar for the three-dimensional case contained a divergent integral in two dimensions, and so was not immediately applicable. They then performed repeated numerical measurements of the two-dimensional (2D) velocity field, near the center of the circular boundary, that resulted from uncorrelated random distributions of large numbers of vortices, thrown at each trial into the circular boundary without correlation and without any mean density variation.

The most interesting result of Kuvshinov and Schep was thus an “experimentally” determined probability distribution for the velocity which seemed to split naturally into two parts: a Gaussian distribution for the lower velocities and high-energy “tails” for the larger velocities that fell off approximately as the third power of the fluctuating velocity. (Here, “fluctuating” velocities are interpreted to mean those with the mean-field rigid rotation associated with the uniform vorticity density distribution subtracted out.) They hypothesized that the approximate inverse third-power dependence of the tail was a consequence of occasional “near neighbor” contributions, in which one vortex found itself very close to the point where the velocity field was being sampled, and generalized a three-dimensional “nearest-neighbor” algebraic argument of Chandrasekhar’s  to account for this high-velocity power law contribution. In a rather different continuum model, something not totally dissimilar had previously been reported by Jimenez .

We have in this paper repeated certain features of Kuvshinov and Schep’s numerical experiment, and have attempted to modify and amplify it in a variety of ways. (1) We have inserted an ideal, perfectly-reflecting wall boundary at the radius of the confining circle by changing the Green’s function to one that, by the method of images, guarantees the vanishing of all radial velocities at the boundary , rather than using the inverse logarithmic Green’s function appropriate to the unbounded region. (2) We have, upon finding the non-Gaussian high-velocity tails in the probability distribution function, implemented a program that searches numerically for near neighbor contributions to the locally measured velocity field, and when it finds one, deletes its contribution to the local velocity field. We find that as a consequence, the high-velocity tails disappear, thus reinforcing the conjecture of Ref. . (3) We study the velocity field away from the origin, to determine how representative of the entire spatial volume the velocity field sampled at the center is. (4) Finally, we allow the mean vorticity density with which the vortex particles are distributed to vary, and rather than placing them randomly with a spatially-uniform mean-field distribution, we weight their locations with a probability distribution function that depends exponentially upon a mean-field stream function and has a temperature that can be positive or negative . The equilibrium statistical mechanics of the ideal line vortex system has undergone considerable development since it was introduced (e.g., , and references therein) and we take advantage of results which we will not go into full detail describing here. We note only that the pairwise, additive Coulomb potentials, summed over all the pairs in the system, are an ideal invariant dynamically which can take on virtually any value and which determines the single-time thermal-equilibrium probability distributions of all particles. Only one value of this energy is represented by the uniform distribution. We find significant differences in the velocity field statistics that result from total mean energies that are significantly higher or lower than those associated with the unfiorm (rigidly-rotating) mean-field distribution.

In Sec. II, we describe the comptutational procedure and the results for the uniform mean-field vorticity density distribution for points near the center of the circle, with an emphasis on non-Gaussian, high-velocity “tails” that appear in the probability distribution function for the velocity. In Sec. III, we introduce a cutoff below which “near neighbor” contributions to the velocity field are locally removed, and derive an analytic expression for the contribution of very near neighbors to the local velocity field distribution. Sec. IV discusses the statistics of the velocity field for the uniform density distribution away from the center of the container and near the boundary. Sec. V is devoted to the case in which the mean number density of vortices is not uniform, but rather follows from a self-consistent, mean-field theory which permits the study of high and low energy states, relative to the uniform density state. Sec. VI presents the results for the non-uniform mean-field distributions. Sec. VII summarizes the results and indicates possible future directions for further investigations.

## II General Procedure

In a point vortex model, where each vortex has strength $`\kappa _j`$ the flow is two-dimensional in the $`(x,y)`$ plane, has only $`x`$ and $`y`$ components, and is given by

$$𝐯(𝐫)=\underset{j}{}\kappa _j\times (G(𝐫,𝐫_𝐣)𝐞_𝐳)$$
(1)
Here $`𝐞_𝐳`$ is the unit vector pointing perpendicular to the plane of the spatial variation of the fluid, $`G`$ is the Green’s function that relates the vorticity to the stream function, and the sum is over all (two-dimensional) vortex positions $`𝐫_𝐣`$. Thus, we see that the velocity at a given point is due to all the vortices not at that point. For a two-dimensional fluid, in a rigid, circular container of radius $`R`$, the boundary condition is that the normal component of $`𝐯`$ go to zero at the wall. The appropriate Green’s function to choose is

$$G(𝐫,𝐫^{})=\frac{1}{2\pi }\mathrm{ln}(|𝐫𝐫^{}|)\frac{1}{2\pi }\mathrm{ln}\left(\left|𝐫\frac{R^2}{r^2}𝐫^{}\right|\frac{r^{}}{R}\right)$$
(2)
Where here we have replaced $`𝐫_𝐣`$ with $`𝐫^{}`$. Using Eq. (1) we get

$$v_r=\frac{\kappa }{2\pi }(\frac{R^2r^{}\mathrm{sin}\theta _{12}}{r^2r^2+R^42R^2rr^{}\mathrm{cos}\theta _{12}}\frac{r^{}\mathrm{sin}\theta _{12}}{r^2+r^22rr^{}\mathrm{cos}\theta _{12}})$$
(4)
$$v_\theta =\frac{\kappa }{2\pi }(\frac{rr^2R^2r^{}\mathrm{cos}\theta _{12}}{r^2r^2+R^42R^2rr^{}\mathrm{cos}\theta _{12}}+\frac{rr^{}\mathrm{cos}\theta _{12}}{r^2+r^22rr^{}\mathrm{cos}\theta _{12}})$$
(5)
Where $`v_r`$ and $`v_\theta `$ represent the $`r`$ and $`\theta `$ components of velocity due to one point vortex of strength $`\kappa `$, and $`\theta _{12}`$ is the angle between the radii to the point where the velocity is measured and the position of the vortex. For each component the terms with $`R`$ represent the terms that are a result of the finite boundary.

All quantities will be expressed throughout in terms of dimensionless variables appropriate to the model. Since the Euler dynamics contain no viscosity, all quantities in the dynamics before non-dimensionalization contain only combinations of lengths and times, or equivalently, velocities and times, so units are not of great significance. For a convenient basic unit of length, we may take the mean nearest-neighbor separation in a uniform vorticity benchmark case divided by $`\pi ^{1/2}`$ and for the basic unit of velocity, the speed with which an isolated vortex of strength $`2\pi `$ will rotate the fluid in which it is imbedded at unit length distance from the vortex.

The general procedure we use is to place a large number, $`N`$, of vortices of strength $`\kappa =2\pi `$ into a circular region of radius $`R`$ using a random number generator and study the statistics of the resulting velocity field. Specifically, we examine the probability distribution for the scalar fluctuating velocity $`|𝐰|=w`$, where $`𝐰=𝐯𝐕`$, and $`𝐕`$ is the mean-field velocity. Let $`f(w)d𝐰`$ be the probability that the velocity is in the area element (in velocity space) $`d𝐰`$ centered at $`𝐰`$. We are here assuming that the distribution is isotropic in velocity space, which is confirmed by our numerics everywhere except in a very thin layer near the radial boundary. We wish to switch to a one-dimensional integral, which is done by letting $`F(w)dw=2\pi wf(w)dw`$. The resulting distribution $`F(w)`$ is normalized such that $`_o^{\mathrm{}}F(w)𝑑w=1`$. Our graphs contain a numerically obtained $`F(w)`$. The procedure for obtaining this $`F`$ is to first run a series of trials, each trial representing a set of random choices for the vortex positions inside the circle. For the uniform vorticity density case, we have run $`3000`$ trials. Then, we record a velocity value at each point sampled in the circle. Here we have sampled at 50 points separated by uniform intervals from $`r=0`$ to $`r=399`$, where $`R=400`$ and $`N=1.6\times 10^5`$. We then bin the velocities using a histogram with uniform spacing between bins. This procedure gives us an unnormalized probability distribution for $`f`$. To get from this step to the actual $`F`$ plotted requires two steps: (1) We first multiply each bin value by the $`w`$ at the center of its bin. (2) We normalize the result using a trapezoidal numerical integration, so that, numerically $`F(w)𝑑w=1`$. It is easiest to see the probability distribution’s behavior on a natural log plot, so we plot $`\mathrm{ln}(F(w)/w)`$ versus $`w^2`$. The error bars are one standard deviation of the mean in length above and below; namely, we calculate the standard deviation of $`\mathrm{ln}(F/w)`$ and then divide by the square root of the number of actual events that fall into that histogram bin. We present two graphs for each point sampled in the uniform case: (1) A graph that includes all numerical events. (2) A graph with the “nearest-neighbor” events subtracted out. The subtraction procedure is defined relatively simply and somewhat arbitrarily. At each point sampled, the program records the distance to all of the vortices placed in the region. If the distance $`d`$ is such that $`d<0.65`$ then that event is deleted from the distribution for that point only. That is, if there is a nearest neighbor event recorded at $`r=200`$ for example, its removal will not affect the resulting distribution at any other point. The resulting distribution can be thought of as the probability distribution if there were never any “nearest-neighbor” events. In each plot, the solid line is a best-fit Gaussian given by :

$$F(w)=\frac{w}{\overline{w}^2}\mathrm{exp}(\frac{w^2}{2\overline{w}^2})$$
(6)
Where $`\overline{w}`$ is a measure of the average velocity and is numerically determined for a best fit. The dashed line represents an analytical expression for near neighbor contributions in the bounded case which will be calculated below.

## III Nearest Neighbors

Here we follow the general procedure of Chandrasekhar , but carry it out in two dimensions and for a general mean-field vorticity density $`n(r)`$ to get an analytical expression for nearest neighbor events. Let $`F_n(r^{})dr^{}`$ represent the probability that that the nearest neighbor lies between $`r^{}`$ and $`r^{}+dr^{}`$. This probability must be equal to the probability that no neighbors are interior to $`r^{}`$ times the probability that a particles does exist in the circular shell between $`r^{}`$ and $`r^{}+dr^{}`$. Thus $`F_n(r^{})`$ must satisfy

$$F_n(r^{})=\left(1_0^r^{}F_n(r)𝑑r\right)2\pi r^{}n(r^{})$$
(7)
where $`r^{}`$ is the distance to the nearest neighbor. Differentiating both sides, we get a differential equation for $`F_n`$

$$\frac{d}{dr^{}}\left(\frac{F_n(r^{})}{2\pi r^{}n(r^{})}\right)=2\pi r^{}n(r^{})\frac{F_n(r^{})}{2\pi r^{}n(r^{})}$$
(8)
This equation is not hard to solve; its solution is

$$F_n(r^{})=2\pi r^{}n(r^{})C\mathrm{exp}\left(2\pi _0^r^{}n(r)r𝑑r\right)$$
(9)
Where C is a normalization constant such that $`_0^RF_n(r^{})𝑑r^{}=1`$. In general, $`C\frac{1}{1e^N}`$, and since $`N1`$, $`C1`$. In particular, for $`n=constant`$ and small $`r^{}`$, we get

$$F_n(r^{})=2\pi r^{}n\mathrm{exp}(\pi nr^2)2\pi r^{}n$$
(10)
Using $`w=\frac{\kappa r^{}}{2\pi }\left(\frac{1}{r^2}\frac{1}{R^2}\right)`$ which is exact at the origin ($`r=0`$), and a good approximation at points not at the origin, we get

$$F_n(w)=2\pi r^{}(w)n\frac{dr^{}}{dw}$$
(11)
This $`F_n(w)`$ will be plotted as a dashed line when exhibiting the measured velocity distribution vs. $`w`$.

## IV Results for Uniform Vorticity Density Case

Figs. 1 and 2 display results for the numerically determined velocity distribution for the uniform mean-field vorticity density runs, a total of $`3000`$ trials. Fig. 1 shows results of sampling at $`r=0`$, and Fig. 2 at $`r=399`$, quite close to the wall. At intermediate points, the results are quite similar to those at $`r=0`$.

In Figs. 1a and 1b, the solid line represents the Gaussian, Eq. (6), with the same mean-square velocity fluctuation. The dashed line represents the nearest neighbor contribution, as predicted by Eq. (11). The “experimentally” determined points are shown with their associated error bars, estimated as described in Sec. II. Fig. 1a shows the results for the raw data, with no “nearest neighbor” events removed. Fig. 1b (the lower figure) shows the results of deleting the nearest neighbor events. The reason no data points appear above $`w^2`$ of about $`85`$ is that all the computed points above that value contain nearest neighbor events. A similar set of statements applies to Figs. 2a,b, which are for the radius $`r=399`$. In both cases, it appears that the high-velocity events are reasonably well predicted by Eq. (11). In both cases, the Gaussian (6) is clearly a good approximation only for the lower values of $`w`$.

Fig. 3 shows the distribution of the numerically-obtained magnitude of the radial component of velocity as a function of $`r`$. The intent is to assess the effect of the rigid boundary at $`r=400`$, the location of the wall. It will be seen that the decrease of the radial velocities is significant only within a relatively thin boundary layer near the wall. If the vortex dynamics were allowed to evolve in time, it is expected that the boundary layer would persist, but might acquire dimensions not necessarily the same as observed for the purely random distribution.

Summarizing, we conclude that for the case in which the uniform mean-field vorticity density applies, there are indeed non-Gaussian tails present in the probability distributions, and we confirm the conjecture of Kuvshinov and Schep that they may be explained as the result of nearest-neighbor contributions. Only near the radial boundary does its presence result in any significant departure from the statistics observed in the interior, for this case.

## V Non-Uniform Mean-Field Vorticities: “Most Probable” Distributions

Up to this point, we have considered only the case of the uniform probability distribution for vortices. However, a much wider variety of thermal equilibrium states is possible for ideal line vortices, considered as a dynamical system (, and references therein). The Hamiltonian or energy of the system is equivalent to the Coulomb energies of the pairs of interacting line vortices, summed over all the pairs, and is a constant of the motion for these boundary conditions. More extensive investigations have been carried out for the two-species case than for the present one-species case, but one species may equally well be considered. The preceding results do not apply to any value of the energy expectation (which is determined by the initial conditions chosen when the system is considered dynamically) except the one associated with the completely uniform mean-field distribution. For either higher or lower energies, the thermal equilibrium, mean-field, one-body distribution is not spatially uniform. It is concentrated toward $`r=0`$ for higher energies, and around the rim for lower ones. In this Section, we provide an expression for the probability distribution for these higher and lower energy cases, referring to the rather extensive cited literature for the formalism and justification (, and references therein).

We find the mean fields from solving the one-species analogue of the “$`\mathrm{sinh}`$-Poisson” equation,

$$^2\psi =\omega =e^{\alpha \beta \psi }$$
(12)
where $`\psi `$ is the “most probable” stream function, and $`\omega `$ is its associated mean-field vorticity distribution. In the present case, it will be assumed that the relevant solutions are symmetric with respect to rotations about $`r=0`$.

Eq. (12) is to be solved subject to the constrainst that $`=\frac{1}{2}(\psi )^2d^2x`$ and $`\mathrm{\Omega }=^2\psi d^2x`$, where $``$ is the mean-field energy, and $`\mathrm{\Omega }`$ is the total vorticity. If we assume $`\psi `$ is a function of radius only, Eq. (12) becomes simply $`\frac{1}{r}\frac{d}{dr}r\frac{d\psi }{dr}=\omega =e^{\alpha \beta \psi }`$, which is sometimes called Liouville’s equation and has been widely studied (e.g.,).

We may solve the equation for $`\psi `$ by writing $`\omega =c_1/(1+c_2r^2)^2`$. Taking the Laplacian of the natural logarithm, we get

$$\frac{1}{r}\frac{d}{dr}r\frac{d\psi }{dr}=\frac{8c_2}{\beta (1+c_2r^2)^2}=\omega =\frac{c_1}{(1+c_2r^2)^2}$$
(13)
The equality demands that $`c_1=8c_2/\beta `$. Inserting the expression into the constraint equations, we find that

$$\mathrm{\Omega }=\frac{8\pi }{\beta }\frac{c_2R^2}{1+c_2R^2}$$
(15)
$$=\frac{8\pi }{\beta ^2}\left[\mathrm{ln}(1+c_2R^2)\frac{c_2R^2}{1+c_2R^2}\right]$$
(16)
The goal is to solve Eqs. (15) and (16) for the constants $`c_2`$ and $`\beta `$. The result is

$$\frac{}{\mathrm{\Omega }^2}=\frac{1}{8\pi }\frac{(1+c_2R^2)^2}{(c_2R^2)^2}\left[\mathrm{ln}(1+c_2R^2)\frac{c_2R^2}{1+c_2R^2}\right]$$
(17)
which must be solved numerically for $`c_2`$ in terms of $`\mathrm{\Omega }`$ and $``$. The result is $`\beta =\frac{8\pi }{\mathrm{\Omega }}\frac{c_2R^2}{1+c_2R^2}`$ and $`\omega =\frac{\mathrm{\Omega }}{\pi R^2}\frac{1+c_2R^2}{(1+c_2r^2)^2}`$, where $`c_2`$ is given by Eq. (17). We have now expressed the mean-field vorticity directly in terms of energy and vorticity. It follows that when placing vortices “randomly” into the circular region for numerical trials, we should weight their placements by a probability distribution that wil lead to the correct $`\omega `$ in the mean-field limit. That is,

$$p(r,\theta )rdr=\frac{r}{\pi R^2}\frac{1+c_2R^2}{(1+c_2r^2)^2}dr$$
(18)
Here, the radial probability density $`p`$ is normalized such that $`p(r,\theta )r𝑑r𝑑\theta =1`$. The spatially uniform case treated previously corresponds to the case $`c_20`$, in which case we get $`_0=\mathrm{\Omega }^2/8\pi `$. The nearest neighbor formula must be modified to

$$F_n(w)=2r^{}(w)\frac{N}{R^2}\frac{1+c_2R^2}{(1+c_2r^2(w))^2}\frac{dr^{}}{dw}\mathrm{exp}\left((1+c_2R^2)\frac{N}{R^2}\frac{r^2(w)}{1+c_2r^2(w)}\right)$$
(19)
## VI Results for Non-Uniform trials

As might be expected, noticeable differences occur when the mean-field vorticity is a function of radius. First, the mean azimuthal velocity no longer corresponds to a rigid rotation, and the fluctuating velocity must be referred to it locally. Qualitatively, it might be expected that the higher energy trials will produce more nearest-neighbor events, at constant mean density over the whole circle, and hence a more intense velocity fluctuation spectrum, and the opposite for the lower energy cases. That seems to be what happens.

We conducted two runs of $`1790`$ trials each, with $`N=1.6\times 10^5`$ and $`R=400`$, as before. One of the sets of trials corresponded to mean-field energy $`=4_0`$ and the other set to $`=_0/4`$. Fig. 4 shows the mean probability distribution, Eq. (18), evaluated for the two cases. Consistently with Ampere’s law and the remarks above, more (less) vorticity must be crowded toward the origin for the higher (lower) energies. We should bear in mind that associated with each individual line vortex, there is an infinite positive self-energy. This is not included in what we are calling the “mean-field energy,” which is a sum of potential energies between pairs only. Nevertheless, choosing mean-field energies above that of the uniform distribution greatly enchances the ability of a given number of line vortices to strengthen the high-velocity tails: crowding the vortices together produces more opportunities for nearest neighbor events in the regions of enhanced mean-field vorticity. Also, where there is a high probability density, we may expect a large value of the average velocity that is not attributable to nearest neighbor events.

Fig. 5 displays the vorticity probability distribution at $`r=40.7`$ for the $`=4_0`$ case; this is inside the region of high radial probability density. Note the very large value of $`\overline{w}`$ and the associated large values of $`w^2`$. The probability of finding a vortex near this point is so high, in fact, that every single trial contained at least one nearest-neighbor event, so the corresponding graph with nearest neighbor events deleted has no data points in it, according to our previously-chosen criterion. We also observe that the nearest-neighbor formula (broken line) and the Gaussian (solid line) are not far apart for this case.

Figs. 6a,b are also for the high-energy case, but sample the velocity field at $`r=114`$, an intermediate value. Here we observe, as in the uniform vorticity density case, a noticeable high-velocity tail attributable to the nearest-neighbor events which disappears when those events are deleted. The much lower value of $`\overline{w}=3.3`$ is close to what was seen in the uniform vorticity case, and far lower than in Figs. 5a,b. Not only the mean-fields, but the statistics of the fluctuations, are now strongly position-dependent. This point is made even more strongly by looking at the velocity distribution at $`r=399`$, near the wall (Figs. 7a,b). Here, where the probability distribution is very low, there is little velocity fluctuation ($`\overline{w}=0.35`$). Here, the nearest-neighbor calculation is of severely limited applicability. The Gaussian is still present, as is the high-velocity tail, but the high-velocity tail does not disappear when the nearest neighbor events are deleted. The nearest neighbor formula derivation takes no account of the proximity of the wall, effectively assuming a rotational symmetry about the point of observation which is not even approximately fulfilled near the wall. The boundary condition begins to make itself strongly felt in this case, and it is not obvious how to include it in any theory.

Turning now to the second set of trials, with $`=_0/4`$, we consider the case where the probability is concentrated near the walls. We present the results of sampling at the radius $`r=147`$ (Figs. 8a,b). This is again an intermediate regime where the results are not greatly different from the uniform mean-vorticity case. Closer to the wall, the locally larger values of $`p`$ again diminish the differences between this case and the uniform $`\omega `$ case.

In summary, there are some strong qualitative similarities between the uniform and non-uniform mean field vorticity cases: the division into Gaussian plus high-velocity tail is usually applicable. One principal quantitative difference is that the fluctuation level becomes more intense for the high-energy cases in those regions where the vorticity is concentrated. The mean velocity can also go up, and the mean field also becomes more intense. The overall fluctuation level goes up dramatically with mean-field energy. Though we do not have a theory for how fast it should go up, we can see from Fig. 9 that it is considerably faster than linear. Fig. 9 shows the mean field energy, normalized to the uniform mean-vorticity values, as a function of mean-field energy, for the three values of mean-field energy considered. Adding points to this graph is an expensive and time-consuming activity, but would seem to be a worthwhile undertaking. The significantly noisier high-energy states for the system is something that will be characteristic of the ideal line vortex model but not for continuum models of a fluid.

## VII Closing Remarks

We have investigated numerically the statistics of the Eulerian velocity field in two dimensional flows generated by a large number of ideal, parallel, line vortices inside an axisymmetric rigid boundary. This is a dynamical system the statistical mechanics of which have been interesting to investigate in their own right, and which also seem to have implications, not fully elucidated, for two-dimensional viscous continuum flows . By considering the numerical effects of “near neighbors” and their contributions to the velocity fields at fixed spatial points, we have to a considerable degree confirmed the hypothesis of Kuvshinov and Schep  that the observed non-Gaussian, approximately third power “tails” in the velocity field distribution are due to these near neighbor events. These tails coexist with a “bulk” Gaussian distribution at lower velocities.

The phenomenon of non-Gaussian high-velocity tails in measurement and computation of three-dimensional continuum fluid turbulence has been observed before (e.g., Vincent and Meneguzzi ; see also Jimenez ). In computations, also simultaneously visible have been concentrated vortex configurations that have variously been called “tubes,” “worms” or “spaghetti,” since they are longer by a considerable amont in one dimension than they are in the other two. Accounting for these configurations has been an important problem. It is difficult not to imagine that the one might be responsible for the other. That is, we suggest that the non-Gaussian tails are a signature of physically proximate strong, tubular vortices which are enough like “line” vortices that they account for the tails in three dimensions in the manner observed here in pure two-dimensional form.

A second part of the investigation has been motivated by the recognition that pairwise interaction energies, summed over all the pairs of an assembly of identical line vortices, provides a finite integral of the motion that can be set at any value, and determines as much about the thermal equilibria that are possible as energy usually does for conservative statistical-mechanical systems. The non-uniform mean-field distribution which results can impact the microscopic fluctuation distribution for a fixed number of vortices by creating more (and therefore noisier) regions where “near neighbors” reside. Such an effect will undoubtedly enhance transport properties, such as the coefficient of self diffusion , because of the larger random velocities which result.

It would be of interest to follow up these investigations with dynamical computations, in which an assembly of line vortices was moved around by its self-consistent velocity field, with an eye toward measuring two-time statistical correlations of Eulerian velocity fields, diffusion and decay rates. Measured coefficients of self-diffusion may be determined numerically, and may be found to depend fundamentally on the mean-field energy and consequent temperature that characterize a vortex equilibrium and not to be representable by any “universal” formula. Much earlier computations and theories for ideal line vortex dynamics  showed unexpected late implications for Navier-Stokes fluid turbulence in two dimensions . Standard “homogeneous turbulence” theories were shown to be very poor predictors for the late-time states of turbulent fluids in two dimensions, once this step was taken. We may speculate that the present considerations, which extend Holtsmark statistics beyond the spatially uniform case, might substantially revise, for example, the magnitudes of transport coefficients that are often assigned to such diverse systems as galaxies or globular clusters  and dilute magnetized plasmas .

###### Acknowledgements.

One of us (T.S.L.) was supported under a Waterhouse Research Grant from Dartmouth College. The other (D.C.M.) would like to express gratitude for hospitality in the Fluid Dynamics Laboratory at the Eindhoven Technical University in the Netherlands, where part of this work was carried out.