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# Markov properties of high frequency exchange rate data

## 1 Introduction

Since L. Bachelier’s pioneering work dating back to 1900 , the complex statistical properties of economic systems have attracted the attention of many researchers and an extensive literature has evolved for modeling fluctuations of financial markets. Traditionally, fluctuations of financial assets were viewed and modeled as random variables. Well known examples are the ARCH-type models (see for example, ) and stochastic volatility (SV) models ().

Since advances in computer technology have made high frequency data available, many physicists have joined the field adapting methods from statistical physics. One line of studies within econophysics focusses on the statistical properties of financial time series such as stock prices, stock market indices or currency exchange rates. Rather than comparing the predictions of models with the various aspects of emprical data (which is the traditional approach), physicists try to extract information about the stochastic processes governing financial markets from an analysis of emprical data. An overview of recent developments in this field can be found in references  ,  and . In spite of all the efforts spent, some of the most basic questions concerning the statistics of financial assets remain unsolved. In particular, the mechanism leading to the fat-tailed (leptokurtic) probability distributions of fluctuations on small time scales is still unknown. Compared to a Gaussian, the pdfs of those fluctuations express an unexpected high probability for large fluctuations (see figure 13). Quantifying the risks of such large fluctuations is of utmost importance for the risk management and the pricing of options.

Fluctuations of financial time series $`y(t)`$ are usually measured by means of returns, log-returns or, equivalently, by price increments. Here, we consider the statistics of the price increment $`x(\tau )`$ over a certain time scale $`\tau `$, which is defined as:

$`x(\tau )=y(t+\tau )y(t).`$ (1)
We suppressed dependence of the price increment $`x(\tau )`$ on the time $`t`$ since we assume the underlying stochastic process to be stationary.

In a recent letter , we demonstrated that the mathematics of stochastic processes is a useful tool for empirical investigations of the time scale dependence of the proabability density function (pdf) $`p(x,\tau )`$ of the price increment $`x`$ on the time scale $`\tau `$111The correct notation for the probability density function of the stochastic variable $`x(\tau )`$ is $`p(x(\tau ))`$. We write $`p(x,\tau )`$ in order to indicate that the pdf of $`x(\tau )`$ depends on the parameter $`\tau `$.. It was shown how the equations governing the underlying stochastic process can be extracted directly from the empirical data, provided that the price increment $`x`$ obeys a Markov process. In particular, it is possible to derive a partial differential equation, the Fokker-Planck equation, which describes the evolution of the pdf $`p(x,\tau )`$ in the scale variable $`\tau `$. Hence, the mathematics of Markov processes yields a complete description of the stochastic process underlying the evolution of the pdfs from Gaussian distributions at large scales $`\tau `$ to the leptokurtic pdfs at small scales.

Here, we extend our previous analysis presented in  considerably. We show how the existence of a Markov process can be checked empirically and how the Fokker-Planck equation can be calculated directly from the data. Furthermore, we show how multiplicative and additive noise sources interact leading to the leptokurtic distributions and volatility clustering of the exchange rates. Finally, our results are interpreted in the context of currently discussed features of financial time series. Since our method is not based on any models, we gain new insights into the mechanisms governing the statistics of economic systmes. In particular, we find new evidence for cascading processes in financial markets.

The paper is organized as follows. Section 2 is devoted to a brief summary of the most important notions and theorems on Markov processes and their application to the analysis of empirical data, while section 3 contains the main results of our analysis. We shall consider in detail a data set containing $`10^6`$ samples of the DM / US-Dollar exchange rate from the one-year period october ’92 to september ’93. An interpretation of our results is finally given in section 4.

## 2 Mathematics of Markov Processes

The following section briefly summarizes the notions and theorems which will be of importance for our statistical analysis. For further details on Markov processes we refer the reader to the references  and .

Fundamental quantities related to Markov processes are conditional probability density functions. Given the joint probability density $`p(x_1,\tau _1;x_2,\tau _2)`$ for finding the price increments $`x_1(:=x(\tau _1))`$ at a scale $`\tau _1`$ and $`x_2`$ at a scale $`\tau _2`$ with $`\tau _1<\tau _2`$, the conditional pdf $`p(x_1,\tau _1|x_2,\tau _2)`$ is defined as:

$`p(x_1,\tau _1|x_2,\tau _2)={\displaystyle \frac{p(x_1,\tau _1;x_2,\tau _2)}{p(x_2,\tau _2)}}.`$ (2)
$`p(x_1,\tau _1|x_2,\tau _2)`$ denotes the conditional probability density for the price increment $`x_1`$ at a scale $`\tau _1`$ given an increment $`x_2`$ at a scale $`\tau _2`$. It should be noted that the small scale $`\tau _1`$ lies within the larger scale $`\tau _2`$ (see equation (1): the increments $`x_1`$ and $`x_2`$ are calculated for the same time $`t`$).

Higher order conditional probability densities can be defined in an analogous way:

$`p(x_1,\tau _1|x_2,\tau _2;\mathrm{};x_N,\tau _N)={\displaystyle \frac{p(x_1,\tau _1;x_2,\tau _2;\mathrm{};x_N,\tau _N)}{p(x_2,\tau _2;\mathrm{};x_N,\tau _N)}}.`$ (3)
Again, the smaller scales $`\tau _i`$ are nested inside the larger scales $`\tau _{i+1}`$ (with the common reference point $`t`$).

The stochastic process in $`\tau `$ is a Markov process, if the conditional probability densities fulfill the following relations:

$`p(x_1,\tau _1|x_2,\tau _2;x_3,\tau _3;\mathrm{}x_N,\tau _N)`$ $`=`$ $`p(x_1,\tau _1|x_2,\tau _2)`$ (4)
with $`\tau _1<\tau _2<\tau _3<\mathrm{}<\tau _N`$. As a consequence of (4), each N-point probability density $`p(x_1,\tau _1;x_2,\tau _2;\mathrm{};x_N,\tau _N)`$ can be determined as a product of conditional probability density functions:

$$p(x_1,\tau _1;\mathrm{}x_N,\tau _N)=p(x_1,\tau _1|x_2,\tau _2)\mathrm{}.p(x_{N1},\tau _{N1}|x_N,\tau _N)p(x_N,\tau _N).$$
(5)
Equation (5) indicates the importance of the conditional pdf for Markov processes. Knowledge of $`p(x,\tau |x_0,\tau _0)`$ (for arbitrary scales $`\tau `$ and $`\tau _0`$ with $`\tau <\tau _0`$) is sufficient to generate the entire statistics of the price increment encoded in the N-point probability density $`p(x_1,\tau _1;x_2,\tau _2;x_3,\tau _3;\mathrm{};x_N,\tau _N)`$.

For Markov processes the conditional probability density fulfills a master equation which can be put into the form of a Kramers-Moyal expansion 222Note that, in contrast to the usual definition as, for example, given in , we multiplied both sides of the Kramers-Moyal expansion by $`\tau `$ (see also equation (8)). This is equivalent to the logarithmic length scale $`ln(\mathrm{\Delta }t/40960s)`$ used in . The negative sign of the left side of equation (6) is due to the direction of the cascade torward smaller scales $`\tau `$.:

$`\tau {\displaystyle \frac{}{\tau }}p(x,\tau |x_0,\tau _0)={\displaystyle \underset{k=1}{\overset{\mathrm{}}{}}}\left({\displaystyle \frac{}{x}}\right)^kD_k(x,\tau )p(x,\tau |x_0,\tau _0).`$ (6)
The Kramers-Moyal coefficients $`D_k(x,\tau )`$ are defined as the limit $`\mathrm{\Delta }\tau 0`$ of the conditional moments $`M_k(x,\tau ,\mathrm{\Delta }\tau )`$:

$`D_k(x,\tau )`$ $`=`$ $`\underset{\mathrm{\Delta }\tau 0}{lim}M_k(x,\tau ,\mathrm{\Delta }\tau ),`$ (7)
$`M_k(x,\tau ,\mathrm{\Delta }\tau )`$ $`=`$ $`{\displaystyle \frac{\tau }{k!\mathrm{\Delta }\tau }}{\displaystyle \underset{\mathrm{}}{\overset{+\mathrm{}}{}}}\left(\stackrel{~}{x}x\right)^kp(\stackrel{~}{x},\tau \mathrm{\Delta }\tau |x,\tau )𝑑\stackrel{~}{x}.`$ (8)
For a general stochastic process, all Kramers-Moyal coefficients are different from zero. According to Pawula’s theorem, however, the Kramers-Moyal expansion stops after the second term, provided that the fourth order coefficient $`D_4(x,\tau )`$ vanishes. In that case, the Kramers-Moyal expansion reduces to a Fokker-Planck equation (also known as the backwards or second Kolmogorov equation):

$$\tau \frac{}{\tau }p(x,\tau |x_0,\tau _0)=\left\{\frac{}{x}D_1(x,\tau )+\frac{^2}{x^2}D_2(x,\tau )\right\}p(x,\tau |x_0,\tau _0).$$
(9)
$`D_1`$ is denoted as drift term, $`D_2`$ as diffusion term. The probability density $`p(x,\tau )`$ has to obey the same equation:

$$\tau \frac{}{\tau }p(x,\tau )=\left\{\frac{}{x}D_1(x,\tau )+\frac{^2}{x^2}D_2(x,\tau )\right\}p(x,\tau ).$$
(10)
The Fokker-Planck equation describes the probability density function of a stochastic process generated by the Langevin equation (we use Itô’s definition)

$$\tau \frac{}{\tau }x(\tau )=D_1(x,\tau )+\sqrt{D_2(x,\tau )}f(\tau )$$
(11)
where $`f(\tau )`$ is a Langevin force, i.e. $`\delta `$-correlated white noise with a gaussian distribution. Here, the increment $`x(\tau )`$ at a fixed time $`t`$ is generated by a stochastic process with respect to the continuous variable $`\tau `$. This kind of process expresses nothing else but a hierarchical, cascade-like structure connecting price increments on different time scales .

In the case that the random force $`f(\tau )`$ ist not Gaussian distributed, the Kramers-Moyal expansion does not reduce to the Fokker-Planck equation. From the more general Kramers-Moyal expansion (6), which is also valid for the probability density $`p(x,\tau )`$, differential equations for the n-th order moments can be derived. By multiplication with $`x^n`$ and integration with respect to $`x`$ we obtain:

$`\tau {\displaystyle \frac{}{\tau }}x^n(\tau )`$ $`=`$ $`{\displaystyle \underset{k=1}{\overset{\mathrm{}}{}}}\left(1\right)^k{\displaystyle \underset{\mathrm{}}{\overset{+\mathrm{}}{}}}x^n\left({\displaystyle \frac{}{x}}\right)^kD_k(x,\tau )p(x,\tau )𝑑v`$ (12)
$`=`$ $`{\displaystyle \underset{k=1}{\overset{n}{}}}{\displaystyle \frac{n!}{(nk)!}}{\displaystyle \underset{\mathrm{}}{\overset{+\mathrm{}}{}}}x^{nk}D_k(x,\tau )p(x,\tau )𝑑v.`$
$`=`$ $`{\displaystyle \underset{k=1}{\overset{n}{}}}{\displaystyle \frac{n!}{(nk!)}}x^{nk}D_k(x,\tau ).`$
## 3 Data Analysis

The hypothesis concerning the Markovian properties of exchange rate data immediately fixes a framework for the analysis of the data. First, one has to give evidence of the Markovian properties according to equation (4). Secondly, the evolution of conditional probability densities $`p(x_1,\tau _1|x_2,\tau _2)`$ has to be specified on the basis of the stochastic evolution equation, eq. (6). To this end, we have to determine the conditional moments $`M_k(x,\tau ,\mathrm{\Delta }\tau )`$ at different scales $`\tau `$ for various values of $`\mathrm{\Delta }\tau `$.

Practically, it is only possible to evaluate the lowest order coefficients. Therefore, we shall restrict our analysis to the coefficients of order one, two, and four. Approximating the limit $`\mathrm{\Delta }\tau 0`$, we obtain the Kramers-Moyal coefficients $`D_k(x,\tau )`$. If the fourth order coefficient vanishes, the evolution equation (6) takes the form of a Fokker-Planck equation, according to Pawula’s theorem. Since we consider a finite data set, we are not able to prove rigorously (in a mathematical sense) that $`D_4`$ is zero but can only give hints for the validity of the assumption that the conditional probability density obeys a Fokker-Planck equation.

In order to verify this assumption and our results for the Kramers-Moyal coefficients, we compare the numerical solutions of the Fokker-Planck equations (9) and (10) with the probability density functions determined directly from the data.

For the rest of the article, prices and price increments are given in units of the standard deviation $`\sigma `$ of $`y(t)`$. For the data set under consideration, $`\sigma `$ is $`0.064DM`$.

### 3.1 Data Processing

From the frequency spectrum (figure 1) of the exchange rate $`y(t)`$, it becomes evident that the data are dominated by white noise for high frequencies (above $`10^2Hz`$), comparable to the noise affecting any physical measurement. The original signal $`y(t)`$ seems to be the sum of the underlying ”real” signal $`s(t)`$ and some additive white noise $`n(t)`$:

$$y(t)=s(t)+n(t).$$
(13)
The additive noise acts on the increments in a similar way (see equation (1)). Note that this noise differs from the dynamical noise of the Langevin equation (11). $`n(t)`$ can be regarded as some randomness which is added seperately to the dynamical stochastic cascade process. In physics this kind of noise is known as measurement noise .

As will be seen in capter 3.3, the existence of such an additive white noise dominating the small scales causes problems in our analysis, especially in the limit $`\mathrm{\Delta }\tau 0`$ which has to be performed according to equation (7). In order to avoid these problems, we applied a low-pass filter to the data. Each value $`y(t)`$ was replaced by the weighted average of itself and its neighbouring data points, where the weighting function was chosen to be a gaussian centered at $`t`$ with a width of $`44sec`$. Figure 2 shows the result $`s(t)`$ of this procedure in comparison to the original data $`y(t)`$.

According to equation (13), we can extract the noise $`n(t)`$ by subtracting the smoothed signal from the original data $`y(t)`$. If the assumptions leading to equation (13) are correct and the algorithm used to smooth the data is an appropriate one, the extracted $`n(t)`$ should be white noise, i.e. it should be $`\delta `$-correlated with zero mean.

The ratio of the mean value $`<n(t)>`$ to the standard deviation $`\sigma _n`$ of $`n(t)`$ was found to be smaller than $`810^5`$ ($`\sigma _n=0.0003DM`$). This result justifies the assumption of a zero mean for $`n(t)`$. The autocorrelation function $`R_n(\tau )`$ of $`n(t)`$ decreases from $`1`$ to $`0.08`$ within two seconds (see figure 3). Compared to the temporal resolution of the data (the smallest time step between two subsequent data points is two seconds), $`R(\tau )`$ indeed decreases rapidly. However, there appear to be small but significantly non-zero values for time delays $`\tau 2min`$, indicating that the approximation of the ”real” signal $`s(t)`$ by the smoothed signal is insufficient. We therefore restrict our analysis to time delays $`\tau `$ larger than a certain elementary step $`\tau _{min}`$ which, from figure 3, we chose to be $`4min`$. In units of $`\tau _{min}`$, $`R_n(\tau )`$ can be considered to be $`\delta `$-correlated.

Figure 4 finally compares the probability density functions of price increments $`x(\tau )`$ calculated from the original data $`y(t)`$ and the smoothed data $`s(t)`$. It becomes evident that the influence of the noise $`n(t)`$ is indeed restricted to small scales. For scales larger than $`\tau =2\tau _{min}`$ the pdfs are practically identical.

It may be worth to recall the result for fully developed turbulence, where a similar stochastic analysis was performed for velocity increments over space scales instead of price increments over time scales. In the case of turbulence, the Markovian properties were found to be valid only for (length-) scales and differences of scales larger than an elementary step size $`l_{mar}`$ . But in contrast to the elementary step in turbulence which is a physical effect caused by the smoothing effects of viscous forces, the step $`\tau _{min}`$ used here for the analysis of financial data is due to the additional noise $`n(t)`$ as discussed above. We want to mention that it is not unusual to find such a ”cut off” at small scales for stochastic processes. For Brownian motion, the mean free path of molecules defines an elementary step size for the diffusion process in an analogous way.

For the rest of the article, the price increments $`x_i(\tau _i)`$ are (unless it is mentioned explicitly) calculated from the smoothed data $`s(t)`$.

### 3.2 Markov Properties

Next, we give evidence that the Markovian property (4) holds. Strictly speaking, the relationships (4) have to be verified for all positive values of N as well as for each set of scales $`\tau _1,\mathrm{},\tau _N`$, a task, which is evidently impossible. However, the data set considered here consisting of $`10^6`$ samples allows to verify condition (4) for $`N=3`$:

$$p(x_1,\tau _1|x_2,\tau _2;x_3,\tau _3)=p(x_1,\tau _1|x_2,\tau _2).$$
(14)
In figure 5, the contour plots of $`p(x_1,\tau _1|x_2,\tau _2)`$ and $`p(x_1,\tau _1|x_2,\tau _2;x_3=0,\tau _3)`$ have been superposed for the scales $`\tau _1=\tau _{min}=4min`$, $`\tau _2=2\tau _{min}`$ and $`\tau _3=3\tau _{min}`$. The proximity of corresponding contour lines yields evidence for the validity of equation (14) for the chosen set of scales. Additionally, two cuts through the conditional probability densities are provided for fixed values of $`x_2`$.

Figure 6 shows the same plots for a different set of scales: $`\tau _1=1h`$, $`\tau _2=\tau _1+\tau _{min}`$ and $`\tau _3=\tau _1+2\tau _{min}`$. Again, we find a good agreement between corresponding contour lines.

Similar results were obtained for several other sets of scales chosen from the intervall $`\tau _{min}\tau _12h`$, with $`\mathrm{\Delta }\tau =\tau _2\tau _1=\tau _3\tau _2`$ ranging from $`\tau _{min}`$ to $`3\tau _{min}`$.

Based on these result, we proceed with the well-founded assumption that the price increments of exchange rate data obey a Markov process for the range of scales under consideration, i.e. for scales and differences of scales larger than $`\tau _{min}`$.

### 3.3 Kramers-Moyal Coefficients

According to equations (2) and (8), the coefficients $`M_k(x,\tau ,\mathrm{\Delta }\tau )`$ can be calculated from the joint probability density functions. These joint pdfs $`p(\stackrel{~}{x},\tau \mathrm{\Delta }\tau ;x,\tau )`$ are easily obtained from the data by counting the number $`N(\stackrel{~}{x},x)`$ of occurrences of the two increments $`\stackrel{~}{x}`$ and $`x`$.

According to equation (7), the limit $`\mathrm{\Delta }\tau 0`$ has to be performed next in order to obtain the Kramers-Moyal coefficients. Figure 7 shows the coefficient $`M_2(x,\tau ,\mathrm{\Delta }\tau )`$ for exemplarily chosen fixed values of $`x`$ and $`\tau `$ as a function of $`\mathrm{\Delta }\tau `$. Throughout the intervall $`\tau _{min}\mathrm{\Delta }\tau 3\tau _{min}`$, the dependence of $`M_2`$ on $`\mathrm{\Delta }\tau `$ turns out to be linear. For values of $`\tau <\tau _{min}/2`$, the values deviate from that linear behaviour. It is interesting to note that the range of scales where those deviations begin is identical with the range of scales for which the autocorrelation function of the reconstructed additive noise $`n(t)`$ has nonzero values (see figure 3). The limit $`\mathrm{\Delta }\tau 0`$ is therefore performed by fitting a straight line to the $`M_n`$ in the intervall $`\tau _{min}\mathrm{\Delta }\tau 2\tau _{min}`$, thus avoiding problems with the values for $`\mathrm{\Delta }\tau \tau _{min}/2`$ (see figure 7).

Figure 7 also displays the coefficient $`M_2^{(y)}`$, which is obtained when instead of the smoothed signal $`s(t)`$ the original data $`y(t)`$ is used to calculate the coefficients $`M_k`$. In the presence of additive white noise, the values of $`M_2^{(y)}`$ diverge as $`\mathrm{\Delta }\tau `$ goes to zero. The limit $`\mathrm{\Delta }\tau 0`$ can not be performed in this case. Since the coefficients $`M_k`$ are nothing but conditional moments of the increments (see equation (8)), the reason for this behaviour can easily be understood by expressing the second moment of the increment of $`y(t)`$ in terms of $`s(t)`$ and $`n(t)`$. Using equation (13), we obtain:

$`\left(y(t+\tau )y(t)\right)^2`$ $`=`$ $`\left(s(t+\tau )+n(t+\tau )s(t+\tau )n(t+\tau )\right)^2`$ (15)
$`=`$ $`\left(s(t+\tau )s(t)\right)^2+\mathrm{\hspace{0.33em}2}n^2.`$
Due to the additive nature of the white noise $`n`$, the additional constant term $`2n^2`$ arises which does not depend on the scale $`\tau `$. Similar terms also arise for the conditional moments $`M_k`$ when $`y(t)`$ is used instead of $`s(t)`$. Dividing the conditional moments of the increment by $`\mathrm{\Delta }\tau `$ according to equation (8) thus leads to the diverging behaviour of $`M_k^{(y)}`$ in the limit $`\mathrm{\Delta }\tau 0`$ as shown in figure 7.

When the smoothed signal $`s(t)`$ is used to calculate the coefficients $`M_k`$, the linear dependence of $`M_k(x,\tau ,\mathrm{\Delta }\tau )`$ on $`\mathrm{\Delta }\tau `$ is found to hold for $`k=1,2`$, several scales $`\tau `$ and all values of $`x`$. This enables us to calculate the coefficients $`D_1(x,\tau )`$ and $`D_2(x,\tau )`$ from the $`M_k`$ using the method of linear extrapolation described above. Figure 8 shows the results for $`D_1`$ and $`D_2`$ as a function of the price increment $`x`$ at several scales $`\tau `$. Both coefficients exhibit simple dependencies on the price increment. While $`D_1`$ is linear in $`x`$, $`D_2`$ can be approximated by a polynomial of degree two where the linear term is zero:

$`D_1(x,\tau )`$ $`=`$ $`\gamma (\tau )x,`$
$`D_2(x,\tau )`$ $`=`$ $`\alpha (\tau )+\beta (\tau )x^2.`$ (16)
Equation (16) turns out to describe the dependencies of the coefficients $`D_k`$ on $`x`$ for all scales $`\tau `$ up to two hours (see figure 8). For larger scales, the statistics of the data are too poore to allow for a proper calculation of the coefficients $`M_k`$, which results in considerable scatter of $`D_1`$ and $`D_2`$ (as exemplarily shown for $`\tau =12h`$ in figure 8). Indeed, from the analogous analysis of turbulent data , we know that the conditional moments $`M_k`$ can be calculated properly only for scales $`\tau `$ with $`\tau 10^4T`$, where $`T`$ is the total length of the data set. With $`T`$ being one year for the data set considered here, we are thus restricted to scales smaller than one hour for a direct analysis of the Kramers-Moyal coefficients.

Fitting the $`D_k(x,\tau )`$ by straight lines and parabolas, respecitvely, therefore yields values for $`\gamma (\tau )`$, $`\alpha (\tau )`$ and $`\beta (\tau )`$ which scatter considerably and which do not exhibit a well defined functional dependence on the scale $`\tau `$. However, what can be concluded from the analysis of the coefficients $`D_k`$ is that the Kramers-Moyal coefficients are linear and quadratic functions of the price increment, respectively, with coefficients depending on the scale $`\tau `$.

### 3.4 The Fourth Order Coefficient

According to Pawula’s theorem, it is of importance to estimate the fourth order coefficient and to decide whether it may be neglected. Figure 9 shows the coefficient $`M_4(x,\tau ,\mathrm{\Delta }\tau )`$ for fixed values of $`x`$ and $`\tau `$ as a function of $`\mathrm{\Delta }\tau `$. Again, we find a linear dependence of the coefficient on $`\mathrm{\Delta }\tau `$ for $`\mathrm{\Delta }\tau \tau _{min}`$. But whereas $`M_2(\mathrm{\Delta }\tau )`$ increases as $`\mathrm{\Delta }\tau `$ goes to zero, $`M_4`$ decreases. Furthermore, the linear extrapolation yields a value for $`D_4`$ which is small compared to the values of $`M_4`$ for $`\tau _{min}\tau 2\tau _{min}`$. This is a first hint that $`M_4`$ tends to zero in the limit $`\mathrm{\Delta }\tau 0`$.

Performing the limit $`\mathrm{\Delta }\tau 0`$ for various values of $`x`$ using the linear extrapolation confirms the above results. We obtain positive as well as negative values for $`D_4`$, as shown in figure 10 for the scale $`\tau =15min`$. Since, by definition, $`D_4`$ is a positive quantity, this means that the data set allows to take $`D_4`$ to be zero.

Similar results were obtained for several scales $`\tau 2h`$. Based on these results, we will proceed with the assumption that the fourth order coefficient $`D_4`$ vanishes, i.e. that Pawula’s theorem applies and that the stochastic process is described by the Fokker-Planck equation.

### 3.5 An Alternative Approach

Based on the results of the preceeding section, we will proceed with the assumption that the statistics of the price increment is governed by the Fokker-Planck euqation with coefficients $`D_1`$ and $`D_2`$ given by equation (16) and try to find estimates for the coefficients $`\gamma `$, $`\alpha `$ and $`\beta `$.

For the slope $`\gamma (\tau )`$ of $`D_1`$, such an estimate can be obtained from the conditional first order moment $`T^1(\tau )=x(\tau )|x_0(\tau _0)`$ of the price increment. Multiplying the Fokker-Planck equation (9) with $`x`$, integrating with respect to $`x`$ and finally using the result (16) for $`D_1`$, an equation for $`T^1(\tau )`$ can be derived. The result is:

$`\tau {\displaystyle \frac{}{\tau }}T^1(\tau )`$ $`=`$ $`\gamma (\tau )T^1(\tau ).`$ (17)
In deriving equation (17), it was assumed that $`D_2(x,\tau )p(x,\tau |x_0,\tau _0)`$ goes to zero for $`|x|\mathrm{}`$.

With the initial condition $`T^1(\tau =\tau _0)=x(\tau =\tau _0)|x_0(\tau _0)=x_0`$, equation (17) is solved by:

$`T^1(\tau )=x_0\mathrm{exp}\left\{{\displaystyle \underset{\tau _0}{\overset{\tau }{}}}{\displaystyle \frac{\gamma (\tau ^{})}{\tau ^{}}}𝑑\tau ^{}\right\}.`$ (18)
If the conditional moment $`T^1`$ follows the simple prediction (18), this can be taken as a strong hint for the validity of the assumptions underlying the derivation (validity of the Fokker-Planck equation and linear dependence of $`D_1`$ on $`x`$). On the other hand, the simple dependence of $`T^1(\tau )`$ on $`\gamma `$ could also be used to measure the function $`\gamma (\tau )`$.

Figure 11 shows the conditional expectation values $`T^1/x_0`$ as a function of $`\tau /\tau _0`$ for scale $`\tau _0=3h`$ and several values of $`x_0`$. Indeed, as was expected from equation (18), $`T^1`$ divided by $`x_0`$ turns out to be an universal function of $`\tau /\tau _0`$. In particular, we do not find a systematic dependence on $`x_0`$.

Furthermore, it is found that $`T^1`$ is well described by a power law in $`\tau `$, i.e.: $`T^1\tau ^c`$. It is easily seen that such a power law arises from equation (18) for the case that $`\gamma (\tau )`$ is constant:

$`T^1(\tau )`$ $`=`$ $`x_0\mathrm{exp}\left\{{\displaystyle \underset{\tau _0}{\overset{\tau }{}}}{\displaystyle \frac{\gamma }{\tau ^{}}}𝑑\tau ^{}\right\}=x_0\mathrm{exp}\left\{\gamma \mathrm{ln}\left({\displaystyle \frac{\tau }{\tau _0}}\right)\right\}`$ (19)
$`=`$ $`x_0\left({\displaystyle \frac{\tau }{\tau _0}}\right)^\gamma .`$
Hence, the conditional first order moment $`T^1`$ of the price increment $`x`$ provides a very convenient method to determine $`\gamma `$. Fitting the data presented in figure 11, we obtain a value of $`\gamma =0.95`$ for the scaling exponent. Summarizing the results obtained by varying the values of $`x_0`$ and $`\tau _0`$ finally yields:

$`\gamma =\mathrm{\hspace{0.33em}0.93}\pm 0.02.`$ (20)
It is interesting to note that the value of $`\gamma `$ we obtain is close to one. However, the statistics of the data set we used is rather poor and further investigations using larger data sets will be necessary to decide whether $`\gamma `$ deviates significantly from one.

Estimates for the coefficients $`\alpha (\tau )`$ and $`\beta (\tau )`$ of $`D_2`$ can be obtained using the equations for the n-th order moments $`<x(\tau )^n>`$ of the price increment. With the result (16) for $`D_1`$ and $`D_2`$, equation (12) yields for $`n2`$:

$`\tau {\displaystyle \frac{}{\tau }}x^n(\tau )`$ $`=`$ $`n\gamma x^n(\tau )+n(n1)\alpha (\tau )x^{n2}(\tau )`$ (21)
$`+n(n1)\beta (\tau )x^n(\tau ),`$
which can be rewritten as:

$`{\displaystyle \frac{\tau \frac{}{\tau }x^n(\tau )}{nx^n(\tau )}}`$ $`=`$ $`\gamma (n1)\beta (\tau )(n1)\alpha (\tau ){\displaystyle \frac{x^n(\tau )}{x^{n2}(\tau )}}.`$ (22)
As $`\gamma `$ is known from the analysis of the conditional first order moment, two of the equations (22) are sufficient to calculate the two unknown functions $`\alpha (\tau )`$ and $`\beta (\tau )`$ from the moments $`x^n(\tau )`$. We use the moments of order two and four, since even moments of low order can be determined best from empirical data. Due to the rather limited number of samples it is even uncertain whether the moment of order six can be determined properly (see  for a more detailed discussion of this topic).

Figure (12) shows the moments $`x^n(\tau )`$ for order two and four as functions of the time scale $`\tau `$. Throughout the range $`\tau _{min}\tau 12h`$, the moments can be described by power laws in $`\tau `$:

$`x^n(\tau )\tau ^{\zeta _n}.`$ (23)
Using this result, the left hand side of equation (22) can easily be shown to be equal to $`\frac{\zeta _n}{n}`$. Fitting the empirically determined moments with power laws, we find the following values for the scaling exponents $`\zeta _n`$:

$`\zeta _2`$ $`=`$ $`\mathrm{\hspace{0.33em}0.94}\pm \mathrm{\hspace{0.17em}0.04}`$
$`\zeta _4`$ $`=`$ $`\mathrm{\hspace{0.33em}1.72}\pm \mathrm{\hspace{0.17em}0.12}.`$ (24)
The estimates for the errors were obtained by varying the range of scales used for the fit. Note that we found a value of $`\zeta _2`$ which is slightly smaller than one, the value which is usually assumed . Due to the poor statistics of the data set, however, this result is by no means significant; the second order moment can be fitted with a scaling exponent of $`\zeta _2=1`$ with almost the same accuracy. Yet, the values given in (24) are the best fitting coefficients for the data set under consideration and will therefore be used here.

Using the results for the second and fourth order moments, equations (22) can easily be solved and yield estimates for the unkown functions $`\alpha (\tau )`$ and $`\beta (\tau )`$. We find that $`\alpha `$ is a linear function of the time scale $`\tau `$ with a slope $`\alpha _0`$ of $`0.016d^1`$, while $`\beta `$ is approximately constant in $`\tau `$ and has a value of $`0.11`$. Let us summarize our results for $`D_1`$ and $`D_2`$:

$`D_1(x,\tau )`$ $`=`$ $`\gamma x`$
$`\gamma `$ $`=`$ $`\mathrm{\hspace{0.33em}0.93}\pm \mathrm{\hspace{0.17em}0.02}`$
$`D_2(x,\tau )`$ $`=`$ $`\alpha _0\tau +\beta x^2`$
$`\alpha _0`$ $`=`$ $`\mathrm{\hspace{0.33em}0.016}d^1\pm \mathrm{\hspace{0.17em}0.002}d^1`$
$`\beta (\tau )`$ $``$ $`const=\mathrm{\hspace{0.33em}0.11}\pm \mathrm{\hspace{0.17em}0.02}.`$ (25)
### 3.6 Consistency Checks

The results and assumptions of the preceeding sections lead to Fokker- Planck equations for the pdf $`p(x,\tau )`$ and the conditional pdf $`p(x,\tau |x_0,\tau _0)`$, respectively (equations (10) and (9)). The coefficients $`D_1`$ and $`D_2`$ which completely determine these equations were estimated from the data. Thus we can claim to have found the complete description of the stochastic process for the data. In order to test this result, we compare the (numerical) solution of the Fokker-Planck equation with the distributions obtained directly from the data. The algorithm used for the numerical iteration is based on the approximative solution of the Fokker-Planck equation for small steps $`\mathrm{\Delta }\tau `$. According to , the conditional pdf $`p(x_1,\tau _0\mathrm{\Delta }\tau |x_0,\tau _0)`$ is, for small $`\mathrm{\Delta }\tau `$ and arbitrary $`D_1`$ and $`D_2`$, a Gaussian distribution in $`x_1`$ with mean value $`x_0D_1\mathrm{\Delta }\tau `$ and standard deviation $`\sqrt{2D_2\mathrm{\Delta }\tau }`$. In order to obtain the conditional densities for larger steps, we use the Chapman-Kolmogorov equation

$$p(x_2,\tau _02\mathrm{\Delta }\tau |x_0,\tau _0)=\underset{\mathrm{}}{\overset{+\mathrm{}}{}}p(x_2,\tau _02\mathrm{\Delta }\tau |x_1,\tau _0\mathrm{\Delta }\tau )p(x_1,\tau _0\mathrm{\Delta }\tau |x_0,\tau _0)𝑑x_1.$$
(26)
(26) is a direct consequence of the Markov condition (4). Iterating this procedure, we finally obtain the conditional pdf $`p(x,\tau _0n\mathrm{\Delta }\tau |x_0,\tau _0)`$. Multiplying with $`p(x_0,\tau _0)`$ and integrating with respect to $`x_0`$ yields the pdf $`p(x,\tau _0n\mathrm{\Delta }\tau )`$.

Figure 13, which compares the solutions of the Fokker-Planck equation for the pdf $`p(x,\tau )`$ with the empirically estimated pdfs, proves that the Fokker-Planck equation accurately describes the evolution of $`p(x,\tau )`$ in $`\tau `$ over the range $`4min\tau 12h`$.

As mentioned above, the Fokker-Planck equation also governs the conditional pdf $`p(x,\tau |x_0,\tau _0)`$. As a further test of our results, we calculated the solutions of the Fokker-Planck equation (9). Figure 14 shows the result for $`\tau _0=1h`$ and $`\tau =0.5h`$, again in comparison with empirical data. Taking into account the various uncertainties and assumptions in the determination of the coefficients $`D_1`$ and $`D_2`$, the agreement between the solution of (9) and the data is remarkably good.

## 4 Summary and Conclusions

The purpose of the present article is to show how the mathematical framework of Markov processes can be applied to the analysis of emprical high frequency exchange rate data. Within the limitations due to the finite number of samples, we were able to verify the Markovian properties of the price increment for time delays $`\tau `$ larger than $`\tau _{min}=4min`$.

Furthermore, we obtained estimates for the Kramers-Moyal coefficients $`D_k(x,\tau )`$ and found hints that the fourth order coefficient $`D_4`$ is zero. The comparison of the solutions of the resulting Fokker- Planck equations with the empricial distributions strongly supports our results for $`D_1`$ and $`D_2`$.

It is worth to note that the results given in the present article differ from the results of our previous analysis presented in . While in  $`D_1`$ and $`D_2`$ were also found to be linear and quadratic functions of $`x`$, respectively, the values given for the coefficients $`\gamma `$, $`\alpha `$ and $`\beta `$ were different from the ones given here in equation (25).

The analysis presented in  is incomplete, because it did not take into account the presence of the additive white noise (see section 3.1) and mainly focused on the functional dependence of the $`D_k`$ on $`x`$. The numerical values of the coefficients $`\gamma `$, $`\alpha `$ and $`\beta `$ were chosen such that the pdfs of the price increment $`x`$ were fitted best by the resulting Fokker-Planck equation. However, it can be shown that the coefficients given in  fail to describe the conditional pdf $`p(x,\tau |x_0,\tau _0)`$, i.e. cannot be correct.

This is a quite important result: There are several choices for the coefficients which correctly describe the one-point distribution $`p(x,\tau )`$, but only one choice which also describes the joint statistical properties of several increments on different scales. This, in turn, means that a complete statistical characterization of the price increments (or returns) necessarily has to include the multi-scale statistics and must not be restricted to the analysis of increments (or returns) on only one scale.

The results of our analysis presented in this paper also eliminate the discrepancy between our approach as presented in  and the often reported power-law behaviour of the distributions of returns. As previously shown in , the solutions of the Fokker-Planck equation asymptotically show scaling behaviour with a scaling exponent $`\mu `$ which can be calculated from the linear and quadratic coefficient of $`D_1`$ and $`D_2`$, respectively:

$`\mu ={\displaystyle \frac{\gamma }{2\beta }}.`$ (27)
While the values reported in  lead to a value of about $`12`$ for the scaling exponent $`\mu `$, in disagreement with the usually observed value between 3 and 5, our new values (25) yield $`\mu =\mathrm{\hspace{0.17em}4.2}\pm 0.8`$.

Another interesting result of our analysis concerns the symmetry of the stochastic process underlying the evolution of the price increment $`x`$ in the scale variable $`\tau `$. According to (25), the drift coefficient $`D_1`$ is completely antisymmetric in $`x`$ ($`D_1(x)=D_1(x)`$), while the diffusion coefficient $`D_2`$ is symmetric in $`x`$. The resulting Fokker-Planck equation (10) for the pdf $`p(x,\tau )`$ is symmetric in $`x`$. This means that if the large scale pdf, which serves as the initial condition for the partial differential equation (10), was symmetric, it would remain symmetric for all scales $`\tau `$. In other words: The asymmetries of the distributions of price increments on small scales are solely due to the asymmetry of the increment at the largest scale, i.e. they are a consequence of some market event on long terms. The stochastic process itself, at least on scales smaller than a day, is symmetric in $`x`$. This result might provide a possibility to distinct between trends (as for example caused by the long term development of a country’s economy) and the short term fluctuations caused by the market itself i.e. by the interactions of several agents trading an asset. This fits well with the results of commonly discussed market models, which are quite succesfull in qualitatively explaining most of the features of real markets but which do not naturally exhibit asymmetries between positive and negative returns, see for example  and . Our result indicates that there is no need to incorporate asymmetries in such models. However, so far we can only present results for a single data set over an one-year period. Further studies on a larger variety of assets and time scales will be necessary to check the significance of this particular result.

Finally, we would like to comment on the proposed analogy between financial markets and turbulent hydrodynamic flows, cf. . The complex statistical behaviour of velocity increments on a certain length scale in turbulent flows is assumed to be due to a cascading process. Energy, which is fed into the system on large scales, is continuously transported towards smaller scales due to the inherent instability of vortices of a given scale towards perturbations on smaller scales. Finally, the energy is dissipated at the smallest scale.

A similar mechanism has been proposed for financial markets, where the energy cascade was replaced by a flow of information. Initially, the assumption of a cascading process in financial markets was based on similarities in the empirical description of the pdfs of price and velocity increments, respectively . The analogy between turbulence and finance has inspired many further studies (see, for example, , , ), but has also been criticized for being too superficial .

However, the results of the Markov analysis of financial and turbulent data (see  for details on the Markov analysis of turbulence) allow for a more detailed comparison of the stochastic processes underlying the two phenomena with the predictions of common cascade models.

The most prominent model for turbulence is Kolmogorov’s theory dating back to 1962 (furtheron refered to as K62). The prediction of the K62 model for the coefficients $`D_1`$ and $`D_2`$ can easily be shown to be :

$`D_1`$ $`=`$ $`\gamma x,`$
$`D_2`$ $`=`$ $`\beta x^2,`$ (28)
where $`\gamma `$ and $`\beta `$ both are constant ($`\gamma 1/3`$ for turbulence). Castaing  proposed the model of a multiplicative cascade where the increment on a given scale is linked to an increment at a larger scale via a random multiplier. This model was shown to imply Markovian properties  and to predict coefficients $`D_1`$ and $`D_2`$ similar to those predicted by K62, except that it allows for a scale dependence of $`\gamma `$ and $`\beta `$.

Recently, Dubrulle  proposed an extension of Castaing’s multiplicative cascade model which incorporates additive noise. Comparing the results (25) of our analysis with the predictions of the various models, we can state that the statistics of the price increment is well described by the model of a multiplicative cascade with additive noise (or, in the notion of , by the mechanism of ”multiplicative noise with reinjection”).

It is interesting to note the result of the Markov analysis for fully developed turbulent flows . It turns out that measured turbulent data are not completely described by any of the above mentioned models. While $`D_1`$ turns out to be linear, $`D_2`$ exhibits are more complicated dependence on the increment than predicted by the multiplicative cascade models. In particular, we find a linear term in $`D_2`$ which breaks the symmetry and which is by no means negligable, see . In some sense, one might therefore say that financial data are much closer to ideal ”Kolmogorov-like” turbulence than turbulent data. Besides this analogy we found a clear differene in the mechanisms leading to the finite step-size of the cascade processes. In the case of turbulence a smoothing out due to viscosty was found, while financial markets seem to be dominated by some uncoorelated additional noise on the smallest scales.

Summarizing, it is the concept of a cascade in time hierarchy that allowed us to derive the results of the present paper, which in turn quantitatively supports the initial concept of an analogy between turbulence and financial data. Furthermore, we have shown that the smooth evolution of the pdfs down along the cascade towards smaller time delays is caused by a Markov process with multiplicative noise.

Metaphorically, our characterization of volatility of currency markets as random and uneven flow of information to the markets is similar to  which describes stochastic process of the stochastic volatility model as random and uneven flow of news to the financial markets.

## Acknowledgements

We gratefully acknowledge useful discussions with A. Soofi, D. Sornette, Zhi-Feng Huang, St. Lück and M. Siefert. The FX data set has been provided by Olsen &Associates (Zürich).


text:
# The hyperfine transition in light muonic atoms of odd Z

## I Introduction

There is still much uncertainty about the hyperfine transition rate for muonic atoms in the 1s ground state. Different techniques often give different rates, and there are many inconsistencies. This topic was boosted into prominence 30 years ago by the Chicago group of Winston, Telegdi and co-workers  who studied 19F and established the major properties of this effect. Even today, 19F remains the best understood example, because of the convenient time constant of about 180 ns.

When a $`\mu `$- stops in a target, it forms a muonic atom, and quickly cascades down to the 1s level on a time scale of 10-12 s which is effectively instantaneous for any detector. If the nucleus has no spin, there is a single ground state and the muon awaits its fate via the weak interaction decay ($`\mu `$- $``$ e- $`\overline{\nu }_e`$ $`\nu `$μ ) or via nuclear capture. For the light elements this occurs within a few $`\mu `$s and can be studied with a variety of detectors. If the nucleus has a non-zero spin however, the situation is more complicated because there are two hyperfine levels of the 1s state, separated by an energy varying between a few eV and a keV or so. If the transition between these levels occurred via an M1 photon, the rate is too slow to be observed. However, the Chicago group showed that Auger emission can speed up the transition rate a thousand fold and bring it to the time scale of nanoseconds, which is within the range of standard detectors. The hyperfine transition can be detected in any nucleus by observing the depolarization of the $`\mu `$- via the detection of its decay electron. However, the $`\mu `$- has a very small residual polarization in the atomic state ($`<`$ 10% for nuclei with spin), and in addition the $`\mu `$- can be depolarized by magnetic interactions or by nearby radicals. Nevertheless, several experiments have been carried out successfully.

If the nucleus has an odd Z, the $`\mu `$- is magnetically coupled to the odd proton. Now the capture probability in the $`\mu `$-p system, is 660 s-1 for the singlet state, but only 12 s-1 for the triplet state. Thus in one hyperfine state the total muon capture probability is approximately proportional to (1 + Z/2) and in the other proportional to (Z/2). Thus nuclear capture is highly sensitive to the hyperfine state, and the hyperfine transition can be followed by detecting neutrons from the capture events. The effect can also be observed via the time-dependence of the decay electron, but in light nuclei the normal decay rate dominates and thus dilutes the signal. Winston  as well as Suzuki et al.  were able to observe this effect in 19F, but for other nuclei the signal is too small.

The hyperfine transition can also be observed by detecting specific $`\gamma `$-rays resulting from nuclear capture. Some transitions are highly sensitive to the initial hyperfine state and, for certain spin combinations, this is also true for even-Z nuclei such as 13C. Several nuclei have been studied by Gorringe and coworkers . In addition Wiaux  has found a very large sensitivity for the 320 keV $`\gamma `$-ray from muon capture in 11B. An unexpected observation by Gorringe et al., was that the hyperfine rate in metallic sodium was $`\mathrm{\Lambda }`$h = 15.5 $`\pm `$ 1.1 $`\mu `$s-1 , but when in NaF, the sodium hyperfine rate was only $`\mathrm{\Lambda }`$h = 8.4 $`\pm `$ 1.9 $`\mu `$s-1 ; the fluorine hyperfine rate was $`\mathrm{\Lambda }`$h = 4.9 $`\pm `$ 1.2 $`\mu `$s-1, consistent with Winston’s measurement of $`\mathrm{\Lambda }`$h = 6.1 $`\pm `$ 0.7 $`\mu `$s-1 , and our own measurement of $`\mathrm{\Lambda }`$h = 5.6 $`\pm `$ 0.2 $`\mu `$s-1 in LiF. This raised the possibility that there might be a difference between metals and insulators, or between different molecular species. Such a difference could be due to different recombination times, or an unusual sensitivity to the binding energy of the valence electrons. However both possibilities seem unlikely.

The most puzzling result to date has been the observation of a hyperfine transition in 14N by Ishida et al. , using the $`\mu ^{}`$SR technique to observe the muon depolarization. They detected a relaxation rate of 0.092(33) $`\mu `$s-1 of which about 0.016 $`\mu `$s-1 is due to the different loss rates from the hyperfine states. This leaves 0.076(33) $`\mu `$s-1 which may be from a hyperfine transition. The problem is that the energy difference between the hyperfine states is only 7.4 eV, whereas, in the carbon atom, the least bound electron is bound by 11.3 eV, i.e. this energy is the ionization potential (the $`\mu `$- is close to the nucleus, so the 14N muonic system appears to the electrons to be more like a 14C nucleus). If the pseudo 14C atom has formed a “C”N bond, the ionization potential is 14.3 eV, which makes the matter worse. We note that Wiaux found a slower hyperfine rate in 11B in comparision to a $`\mu `$SR experiment, so we suggest that the observation in 14N was caused by an additional depolarization mechanism, not the hyperfine transition.

Because of the various inconsistencies in this field, it was decided to re-investigate several light nuclei, using the more reliable technique of neutron detection. A comparison was also desirable between Na and NaH, Al and LiAlH4, and K and KH, to see if any difference could be detected. Unfortunately, no satisfactory result was obtained for KH. It should be noted that any muon captured in hydrogen is immediately transferred to another atom because the $`\mu `$p system is neutral. Thus NaH, for example, is effecively pure sodium in an insulating environment.

## II Experimental Technique

The experiment was carried out in the M9B channel at TRIUMF, which includes a superconducting solenoid. For muons of 60 MeV/c the stop rate was $``$ 104 s-1 with an electron contamination of 2 % and a pion contamination of $``$ 0.2 %. The muons passed through 2 plastic scintillators, and stopped in various targets; a third large plastic scintillator was used as a veto to define a muon stopped in the target. A mu-metal shield around the targets reduced the ambient magnetic field from 1.5 to 0.1 gauss. Table I lists the properties of the targets.

The neutron detectors were four cylindrical liquid scintillators, 2 of NE213, 1 of NE224 and 1 of BC501A (equivalent to NE213). They were arranged in a symmetrical array at 45, 135, 225, and 315 to the beam, in order to minimize muon rotation effects. Plastic scintillators were placed in front of each detector to veto charged particles (such as decay electrons). The counters had a timing resolution of better than 5 ns full width half maximum (FWHM) for $`\gamma `$-rays. The counters were about 30 cm from the target so a $`\gamma `$-ray time of flight is 1 ns.

Pulse shape discrimination was used to distinguish neutrons from $`\gamma `$-rays. Two different modules were used at different times, but the discrimination was always set conservatively . Sources of 60Co and AmBe were used to set up the system. If $`\gamma `$-rays are detected during the experiment, a prompt peak is clearly distinguishable, so it is straightforward to monitor the electronics on-line.

The time of arrival of an event with respect to the stopping muon was measured by both a 5 $`\mu `$s and a 10 $`\mu `$s full scale time to digital converter (TDC). These TDCs have been tested and do not contribute significantly to the errors in the experiment.

Data acquisition was carried out by a VAX station 3200 and a PDP-11 frontend processor (starburst). Data collected from the CAMAC modules were written to 8 mm tapes for later analysis. Further technical details of the equipment are available in the thesis by Stocki .

To test the overall system several targets were chosen for which there is no hyperfine transition, or for which the transition is too fast to be observed. The time of arrival of the neutrons could then be fitted by the formula:

$$N(t)=\left(\frac{1}{2}erf\frac{tt_0}{\sqrt{2}S}+\frac{1}{2}\right)Ce^{Dt}+B$$
(1)
where D is the total disappearence rate for the element under study, B is a flat background, t0 is the mid-point of the rise-time curve, and S is a folding of the time of flight spread and instrumental time resolution.

A typical fit for Mg is illustrated in Figure 1. The values for S and t0 are presented in Table II and show the tendency for heavier elements to have a slower time of flight for the neutrons. As t0 refers to the time of arrival of the $`\gamma `$-rays, one can add the $`\gamma `$-ray time of flight (0.97 ns) to obtain the average neutron time of flight ($`\mathrm{\Delta }`$t) and average neutron energy ($`\overline{E}`$). From S one can remove the counter timing resolution to obtain the spread in energy of the neutrons ($`\mathrm{\Delta }`$E). These values were used as guidance in analyzing the elements with a hyperfine effect. Note that these values for $`\overline{E}`$ and $`\mathrm{\Delta }`$E are for the neutrons detected in this experiment, and do not constitute measurements of these parameters for muon capture in general.

By taking the time derivative of the data such as that shown in Figure 1, one can get an idea of the neutron time of flight and detector resolution effects. Figure 2 shows this time derivative spectra for Au, brass, Si, and S. One can clearly see in brass and Au that a single error function (or gaussian) is not enough. We found that the function:

$$N(t)=\left[\frac{1}{2}erf\frac{tt_0}{\sqrt{2}S}+\frac{1}{2}+R\left(\frac{1}{2}erf\frac{tt_1}{\sqrt{2}S_1}+\frac{1}{2}\right)\right]Ce^{Dt}+B$$
(2)
seems to give a better fit for those elements. The effect is not seen in Si and S, due to limited statistics.

For most elements there was a small correction (a few percent) for background from muons stopping in carbon in the scintillators. In addition, a few targets contained two elements viz LiF, (CF2)n, LiCl, and CCl4. We used teflon, i.e. (CF2)n, and CCl4 as test cases to ensure that the corrections could be adequately applied. For such molecular targets one needs to know the atomic capture ratio. The Fermi-Teller Z law is far from adequate and a Z$`^{\frac{1}{3}}`$ variation gives a better approximation . However, far more satisfactory is to use an actual measurement as the empirical variation is significant.

For LiF the atomic capture ratio (Li/F) has been measured to be 0.28(3) by Zinov et al.  and 0.10(8) by Wilhelm et al.  for muons, and 0.10(1)  and 0.22(2)  for pions, which should be the same. As Zinov et al. disagree with later measurements for several other molecules, we take the pion values and use 0.16(12) with a liberal error. This value agrees with the empirical capture probability for muons determined by von Egidy and Hartmann which is 0.18(5) for LiF . For (CF2)n, Martoff et al.  found that (89.4 $`\pm `$ 0.7) % of pions capture on fluorine (i.e. an atomic capture ratio C/F of 0.24(2) in the normal definition, which takes into account the relative number of atoms. (The Z$`^{\frac{1}{3}}`$ law gives 0.87; von Egidy and Hartmann  do not give a value for carbon, but using the Martoff value, and a measurement of CO2 , we estimate the C capture probability is 0.33(9) in the von Egidy-Hartmann scheme). For CCl4 there is no measurement but using our value of the C capture probability we obtain C/Cl = 0.25(7) i.e. (5.8 $`\pm `$ 1.6) % of muons stop in the carbon of CCl4. The Z$`^{\frac{1}{3}}`$ rule gives C/Cl = 0.71, i.e. 15 % of muons stop in the carbon of CCl4. For LiCl the atomic capture ratio, as measured by Daniel et al.  is 0.19(8).

Although these values are very uncertain, the situation is not as bad as it might appear. Since the lighter elements produce many fewer neutrons, the corrections turn out to be fairly minor. Hence, the number of stops in an element for which capture occurs (most of which produce neutrons), are 0.53% for Li, 7.8% for C, 33 % for F and 75 % for Cl . The effective background, therefore, from lithium in LiF is 0.25 %, which is negligible in comparison to other problems. We assume the neutron multiplicity to be the same for these elements.

## III Experimental Results

The results for elements with a hyperfine effect are fitted to two different functions; one with a single error function viz

$$N(t)=\left[erf\frac{tt_0}{\sqrt{2}S}+1\right]\left[Ce^{Dt}\left(1Ae^{Ht}\right)+Fe^{Gt}+Pe^{Qt}\right]+B$$
(3)
and another more complex function with two error functions:

$`N(t)`$ $`=`$ $`[{\displaystyle \frac{1}{2}}erf{\displaystyle \frac{tt_0}{\sqrt{2}S}}+{\displaystyle \frac{1}{2}}+R({\displaystyle \frac{1}{2}}erf{\displaystyle \frac{tt_1}{\sqrt{2}S_1}}+{\displaystyle \frac{1}{2}})][Ce^{Dt}(1Ae^{Ht})`$ (6)
$`+Fe^{Gt}+Pe^{Qt}]+B`$
where H is the hyperfine rate, A is the hyperfine asymmetry, F and G are contributions from carbon in the counters, P and Q are contributions from other elements (if appropriate), and B is a flat background. The parameters F, G, P, and Q were calculated and fixed. These components make no substantial contribution to the data analysis. By using these two equations we can get a handle on the systematic errors. In Equation 4 we tie the S1 and t1 values to the S and t0 for two cases, using fits to the brass and the Au data. For LiF the data were of sufficient quality that all the other paramters (t0, S, C, D, A, H) could be fitted freely. In this case the hyperfine effect is well separated from the rise-time effect caused by the neutron time of flight effects. The best fit is illustrated in Figure 3 and the values of S and t0 are given in Table III. They are consistent with the non-hyperfine elements but slightly different.

This is a salutary warning because we shall need to use both Equations (3) and (4) to get a handle on the systematic errors due to the time of flight and timing resolution effects. Our recommended values are the averages of these two methods. One would think that one could get the values of S and t0 from the time spectra of the neighbouring 0+ nuclei. This turns out to be a bad assumption. First let us understand the physics behind this hypothesis. Nuclei without a hyperfine effect are 0+ nuclei, often even-even nuclei such as 16O, 24Mg, 28Si, and 40Ca. These are tightly bound. However odd Z nuclei like 19F, 23Na, 27Al, and 31P tend to have N=Z+1 and so, transforming a proton to a neutron proceeds to a nucleus even more neutron rich and more likely to fall apart. The typical neutron energy spectrum after muon capture is composed of two components, an evaporation spectrum peaked at about 1.5 MeV followed by a high energy tail starting around 5 or 6 MeV . Setting a threshold at 10 MeV Kozlowski et al.  have shown that high energy neutrons constitute the following fraction: 26(5)% in 16O, 19(3)% in 28Si, 11(2)% in Ca and 11(2)% in Pb. Thus for light elements the high energy component is very important, and it is not surprising if it is sensitive to details of the nuclear structure of the product nucleus. The results of our experiment confirm that there are significant variations from nucleus to nucleus.

For Na, Al, P, Cl, and K we do not have sufficient data to allow a free parameter search, so we must average the single error function results with the two error function results, otherwise we do not know whether the results are from both time of flight and hyperfine effects. Notice for LiF and (CF2)n this does not have to be done, because in F the capture rate asymmetry is large enough and the hyperfine rate is slow enough that the hyperfine rate can be distinguished from the time of flight effects. One way out of the dilemma for the other elements is to raise the energy threshold on the neutron detector. However, the hyperfine asymmetries are very small, and statistics becomes a problem. The other way is to do a full study of the neutron spectrum but this is a major project. We have therefore been forced to simply compare results from different fitting functions, using shape information from the spectra in Figure 2. The difference between the fits gives us an estimate of the systematic error. In Table III we present some of these fits to illustrate the problem; Figure 4 shows two fits for Na which are both quite satisfactory. In Table IV our final recommended values are compared with previous results and the hyperfine asymmetries are compared in Table V to various theories, and previous experiments. Note that in Table IV the Cl and K results did not use these error functions; since their asymmetry values were $`<`$ 0, the hyperfine effect could be easily distinguished from the neutron time of flight effects. The most important feature is that apart from 19F and to some extent 23Na, the hyperfine asymmetries are small, and that creates part of the problem. The $`\gamma `$-ray experiments observe large asymmetries (and $`\gamma `$-rays all travel at the same speed). Thus $`\gamma `$-ray experiments with lower statistics can effectively compete with neutron-detection experiments. A word of caution should be given concerning the comparison of the asymmetry with previous calculations, which were made for the total capture rates (including transitions to bound levels which give off no neutrons, and to levels which give off 2 neutrons). The experimental asymmetries are for specific experimental conditions with a threshold on the neutron energy and an energy dependent efficiency for the neutron detector. Thus one would not expect an exact equivalence, but the comparison is interesting.

We see that, on the whole, the errors on the hyperfine rate are somewhat large. The two results which are most convincing are F and Na, but the latter is not sufficient to resolve the disagreement between the earlier sodium metal, and NaF results.

The phosphorus result is worth a short discussion. An initial polarization measurement by Egorov et al.  claimed that an asymmetry had been observed. The measurement was from 0 to 2.4 $`\mu `$s implying no fast depolarization. Note also that the upper level is F=1 and the lower level F=0, so that if a fast hyperfine transition does occur, there can be no residual polarization. Later asymmetry measurements by Hutchinson et al.  and Babaev et al. observed no asymmetry and set limits at 10% of the value observed by Egorov et al., thus indicating that the hyperfine transition was fast, as suggested by Winston  who calculated 58 $`\mu `$s-1, i.e. $`\tau `$ = 17 ns. This scenario was consistent with the data of Gorringe et al.  using $`\gamma `$-ray detection, but no positive observation was obtained. Again, our own result has systematic difficulties but is the first positive identification of the hyperfine transition in phosphorus. All the other hyperfine rates are consistent with earlier results.

The comparision of Na and NaH in our data is interesting, but not of sufficient quality to resolve the questions about the sodium hyperfine rate, similarly for Al and LiAlH4, though the trend is for the hyperfine rates to be similar.

In conclusion, we have measured the hyperfine rate in P for the first time, and obtained a more accurate value for F. Even though neutron detection appears to be the most sensitive technique for measuring the hyperfine transition rate, the problems with the neutron spectrum and the spread of the time of flight to the detectors have made it very difficult to observe fast rates. Further experiments should use a higher energy threshold (and take considerably greater statistics). An alternative technique would be to use a $`\gamma `$-ray detector with a high resolution, but a faster time response than a HPGe detector.

###### Acknowledgements.

We wish to thank Glen Marshall and Elie Korkmaz for lending some liquid scintillators and some pulse shape discriminator NIM modules to us. We would also like to thank B.A. Moftah and M.C. Fujiwara for their help and advice with the experiment. We thank Lars Holm for his help with the University of Alberta pulse shape discrimination NIM module. We wish to thank the Natural Sciences and Engineering Research Council of Canada and similarly the National Science Foundation in the U.S.A. for providing support and equipment for this experiment; we also thank the National Research Council of Canada and the staff at TRIUMF for providing the excellent muon beam facility.


text:
# Matter Mass Generation and Θ Vacuum: Dynamical Spontaneous Symmetry Breaking

\[

## Abstract

This work proposes a stringent concept of matter mass generation and $`\mathrm{\Theta }`$ vacuum in the context of local gauge theory for the strong force under the constraint of the flat universe. The matter mass is generated as the consequence of dynamical spontaneous symmetry breaking (DSSB) of gauge symmetry and discrete symmetries, which is motivated by the parameter $`\mathrm{\Theta }`$ representing the surface term. Matter mass generation introduces the typical features of constituent particle mass, dual Meissner effect, and hyperfine structure. The $`\mathrm{\Theta }`$ term plays important roles on the DSSB of the gauge group and on the quantization of the matter and vacuum space. The $`\mathrm{\Theta }`$ vacuum exhibits the intrinsic principal number and intrinsic angular momentum for intrinsic space quantization in analogy with the extrinsic principal number and extrinsic angular momentum for extrinsic space quantization.

\]

The understanding of matter mass generation and $`\mathrm{\Theta }`$ vacuum  is one of the longstanding problems in physics, which are deeply related to underlying principles of the universe. Quantum chromodynamics (QCD)  does not perturbatively provide any clues for matter mass generation. Although the Glashow-Weinberg-Salam (GWS) model  holds many attractive features, the Higgs mechanism  and fermion mass generation are the least satisfied aspects of electroweak interactions. The Higgs mechanism in the GWS model is applied to generate the masses both of gauge bosons and of fermions, but the masses of fermions are just input parameters of the theory which are not predicted. The difficulty comes from the fact that conventional mass terms in the Lagrangian are not allowed because the left- and right-handed components of the various elementary fermion fields have different quantum numbers as seen in the GWS model  and so simple mass terms violate gauge invariance. The Higgs mechanism or spontaneous symmetry breaking mechanism fails to generate fermion masses even though it is successful in generating gauge boson masses: experimentally, Higgs particles are not observed yet. In this scheme, the $`\mathrm{\Theta }`$ vacuum term as the nonperturbative one is taken into account to show dynamical spontaneous symmetry breaking (DSSB), which is successful in the generation of fermion masses as well as gauge boson masses and is relevant with the axial current anomaly in strong interactions . This approach thus concentrates on the DSSB mechanism of local gauge symmetry and global discrete symmetries to generate fermion masses. The $`\mathrm{\Theta }`$ term representing the surface effect takes the difference in quantum numbers of left- and right-handed fermions to generate elementary fermion masses. Due to the $`\mathrm{\Theta }`$ term, the boundary condition of the system is imposed and the matter-vacuum space is quantized. Not only mass generation mechanism but also $`\mathrm{\Theta }`$ vacuum may be resolved systematically. This paper briefly addresses characteristics of mass generation and $`\mathrm{\Theta }`$ vacuum in strong interactions, whose details are addressed in the reference .

The nonperturbative $`\mathrm{\Theta }`$ vacuum term  is added to the perturbative gauge theory in order to generate fermion and gauge boson mass terms nonperturbatively. The QCD Lagrangian density  is given by

$$_{QCD}=\frac{1}{2}TrG_{\mu \nu }G^{\mu \nu }+\underset{i=1}{}\overline{\psi }_ii\gamma ^\mu D_\mu \psi _i+\mathrm{\Theta }\frac{g_s^2}{16\pi ^2}TrG^{\mu \nu }\stackrel{~}{G}_{\mu \nu },$$
(1)
where the bare $`\mathrm{\Theta }`$ term  is a nonperturbative term added to the perturbative Lagrangian density with an $`SU(3)_C`$ gauge invariance. The subscript $`i`$ stands for the classes of pointlike spinor $`\psi `$ and $`A_\mu =_{a=0}A_\mu ^a\lambda ^a/2`$ stand for gauge fields. The field strength tensor is given by $`G_{\mu \nu }=_\mu A_\nu _\nu A_\mu ig_s[A_\mu ,A_\nu ]`$ and $`\stackrel{~}{G}_{\mu \nu }`$ is the dual field strength tensor. The $`\mathrm{\Theta }`$ term apparently odd under both P and T operation plays the role relating two different worlds, matter and vacuum. Since conventional mass terms in the Lagrangian density are not allowed, this scheme adopts the DSSB of local gauge symmetry as well as global chiral symmetry , which uses the fermion condensation as the order parameter, to generate fermion masses. The Lagrangian density is invariant under global gauge transformation but the true vacuum is not invariant due to the condensation of singlet gauge bosons and fermions. The gauge boson mass $`M_G`$ decreases through the condensation of the singlet gauge boson:

$$M_G^2=M_H^2c_fg_s^2\varphi ^2=c_fg_s^2[A_0^2\varphi ^2]$$
(2)
where $`M_H=\sqrt{c_f}g_sA_0`$ is the gauge boson mass at the grand unification scale, $`A_0`$ is the singlet gauge boson with even parity, and $`\varphi `$ is the condensation of singlet gauge boson with odd parity. The effective coupling constant at the strong scale is expressed in analogy with the phenomenological, electroweak coupling constant $`G_F=\frac{\sqrt{2}g_w^2}{8M_G^2}`$ with the weak coupling constant $`g_w`$:

$$\frac{G_R}{\sqrt{2}}=\frac{c_fg_s^2}{8(k^2M_G^2)}\frac{c_fg_s^2}{8M_G^2}$$
(3)
where $`k`$ denotes the four momentum and $`c_f`$ denotes the color factor. DSSB consists of two simultaneous mechanisms; the first mechanism is the explicit symmetry breaking of gauge fields, which is represented by the strong coupling constant $`c_f\alpha _s`$ with the color factor $`c_f`$ and the strong fine structure constant $`\alpha _s`$, and the second mechanism is the spontaneous symmetry breaking of gauge fields, which is represented by the condensation of singlet gauge fields. A metastable, unphysical vacuum leads to a stable physical vacuum through DSSB due to the condensation of singlet gauge bosons. The condensation reducing the vacuum energy generates fermion masses as a consequence of gauge and discrete symmetries breaking in course of parity and charge conjugation violation. For strong interactions, the $`SU(2)_V`$ doublet vector current is conserved but the $`SU(2)_A`$ (or $`U(1)_A`$) singlet axial vector current is not conserved during DSSB and for electroweak interactions, the $`SU(2)_L`$ doublet (V - A) current is conserved but the $`SU(2)_R`$ (or $`U(1)_R`$) singlet (V + A) current is not conserved during DSSB . The proton and neutron as spinors possess up and down colorspins as a doublet just like up and down strong isospins:

$$\left(\genfrac{}{}{0pt}{}{}{}\right)_c,=\left(\genfrac{}{}{0pt}{}{1}{0}\right)_c,=\left(\genfrac{}{}{0pt}{}{0}{1}\right)_c.$$
(4)
This implies that conventional, global $`SU(2)`$ strong isospin symmetry introduced by Heisenberg  is postulated as the combination of local $`SU(2)`$ colorspin and local $`SU(2)`$ weak isospin symmetries.

The constraint of the extremely flat universe

$$\mathrm{\Omega }1=10^{61},$$
(5)
which is required by quantum gauge theory, provides the relation $`\mathrm{\Omega }=(\rho _m\mathrm{\Theta }\rho _m)/\rho _G`$ where $`\rho _m`$ is the zero point energy density, $`\rho _m`$ is the matter energy density, $`\rho _G=M_G^4`$ is the vacuum energy density, and

$$\mathrm{\Theta }=10^{60}\rho _G/\rho _m$$
(6)
is the parameter of the $`\mathrm{\Theta }`$ vacuum term representing the surface term . Matter mass generation has features represented by the $`\mathrm{\Theta }`$ vacuum, dual Meissner effect, and constituent particle mass . The matter mass is attributed from the dual pairing process due to dielectric mechanism, which violates the gauge symmetry and discrete symmetries. The relation between the gauge boson mass and the fermion mass is given by

$$M_G=\sqrt{\pi }m_fc_f\alpha _s\sqrt{N_{sd}}$$
(7)
where $`N_{sd}`$ is the difference number of even-odd parity singlet fermions in intrinsic two-space dimensions. The above relation stems from the dual pairing mechanism $`M_G=g_{sm}^2|\psi (0)|^2/m_f,`$ in analogy with electric superconductivity, where $`|\psi (0)|^2=(m_fc_f\alpha _s)^3`$ is the particle probability density and $`g_{sm}=2\pi n/\sqrt{c_f}g_s=2\pi \sqrt{N_{sd}}/\sqrt{c_f}g_s`$ is the color magnetic coupling constant according to the Dirac quantization condition :

$$\sqrt{c_f}g_sg_{sm}=2\pi \sqrt{N_{sd}}.$$
(8)
The particle number $`N_{sd}`$ is the difference number between the number $`N_{ss}`$ of singlet particles interacting with charge symmetric configurations and the number $`N_{sc}`$ of condensed particles interacting with charge asymmetric configurations: $`N_{sd}=N_{ss}N_{sc}`$. The fermion mass formed as the result of confinement mechanism is composed of constituent particles: $`m_f=_i^Nm_i`$ where $`m_i`$ is the constituent particle mass as the result of the $`U(1)`$ gauge theory. In the above, $`N`$ depends on the intrinsic quantum number of constituent particles: $`N=N_{sd}^{3/2}`$. For examples, $`N=1/B`$ with the baryon number $`B`$ for the constituent quark in the formation of a baryon, $`N=1/M`$ with the meson number $`M`$ for the constituent quark in the formation of a meson, and $`N=1/L`$ with the lepton number $`L`$ for a constituent particle in the formation of a lepton. A fermion mass term in the Dirac Lagrangian has the form $`m_f\overline{\psi }\psi =m_f(\overline{\psi }_A\psi _V+\overline{\psi }_V\psi _A)`$ where the mass term is equivalent to a helicity flip. Vecor fermions are put into $`SU(2)`$ doublets and axial-vector ones into $`SU(2)`$ singlets. In the matter space, it is the pairing mechanism of electric monopoles while in the vacuum space, it is the pairing mechanism of magnetic monopoles according to the duality between electricity and magnetism . In the dual pairing mechanism, discrete symmetries P, C, T, and CP are dynamically broken due to massive gauge bosons . Electric monopole, magnetic dipole, and electric quadrupole remain in the matter space but magnetic monopole, electric dipole, and magnetic quadrupole condense in the vacuum space as the consequence of P violation. Antibaryon particles condense in the vacuum space while baryon particles remain in the matter space as the result of C and CP violation at the strong scale: the baryon asymmetry $`\delta _B10^{10}`$ . The electric dipole moment of the neutron and no parity partners in hadron spectra are the typical examples for P, T, and CP violation at the strong scale. The fine or hyperfine structures of a fermion mass include spin-spin, isospin-isospin, and colorspin-colorspin interactions due to intrinsic angular momenta of $`SU(2)`$ gauge theories:

$$\mathrm{}E\alpha _m\frac{\stackrel{}{s}_i\stackrel{}{s}_j}{m_im_j}|\psi (0)|^2+\alpha _i\frac{\stackrel{}{i}_i\stackrel{}{i}_j}{m_im_j}|\psi (0)|^2+\alpha _s\frac{\stackrel{}{\zeta }_i\stackrel{}{\zeta }_j}{m_im_j}|\psi (0)|^2$$
(9)
where $`\alpha _m`$, $`\alpha _i`$, and $`\alpha _s`$ are respectively coupling constants. The approach can be applied to investigate the masses of hadrons, which justify the constituent quark model  as an effective model of QCD at low energies from this viewpoint. If fine structure and hyperfine structure interactions due to colorspin and isospin contributions are absorbed to the constituent quark mass, the meson mass of the conventional constituent quark model is obtained:

$$m_m=m_1+m_2+A\frac{\stackrel{}{\sigma }_1\stackrel{}{\sigma }_2}{m_1m_2}$$
(10)
where $`\stackrel{}{\sigma }_1\stackrel{}{\sigma }_2=4\stackrel{}{s}_1\stackrel{}{s}_2=1`$ for vector mesons and $`\stackrel{}{\sigma }_1\stackrel{}{\sigma }_2=3`$ for pseudoscalar mesons are given and $`A=\frac{8\pi g_s^2|\psi (0)|^2}{9}`$. By the same token, the baryon mass of the conventional constituent quark model is obtained:

$$m_b=m_1+m_2+m_3+A^{}\underset{i>j}{}\frac{\stackrel{}{\sigma }_i\stackrel{}{\sigma }_j}{m_im_j}$$
(11)
where $`A^{}=\frac{4\pi g_s^2|\psi (0)|^2}{9}`$. Since $`\sigma _i\sigma _j=4s_is_j=2[s(s+1)3s(s+1)]`$ with the total spin $`\stackrel{}{S}=\stackrel{}{s}_1+\stackrel{}{s}_2+\stackrel{}{s}_3`$, $`\stackrel{}{\sigma }_i\stackrel{}{\sigma }_j=3`$ for decuplet baryons and $`\stackrel{}{\sigma }_i\stackrel{}{\sigma }_j=3`$ for octet baryons are given. The constituent quark model illustrates reasonable agreement in hadron spectra within a few percent deviation.

The difference number $`N_{sd}`$ in intrinsic two-space dimensions suggests a degenerated particle number $`N_{sp}`$ and an intrinsic principal number $`n_m`$ in the intrinsic radial coordinate; these quantum numbers are connected by the relation $`n_m^4=N_{sp}^2=N_{sd}`$ and the Dirac quantization condition $`\sqrt{c_f}g_sg_{sm}=2\pi N_{sp}`$ is satisfied. The $`N_{sp}`$ is thus the degenerated state number in the intrinsic radial coordinate that has the same principal number $`n_m`$. The intrinsic principal quantum number $`n_m`$ consists of three quantum numbers, that is, $`n_m=(n_c,n_i,n_s)`$ where $`n_c`$ is the intrinsic principal quantum number for the color space, $`n_i`$ is one for the isospin space, $`n_s`$ is one for the spin space. Intrinsic quantum numbers $`(n_c,n_i,n_s)`$ take integer numbers. A fermion therefore possesses a set of intrinsic quantum numbers $`(n_c,n_i,n_s)`$ to represent its intrinsic quantum state. The concept automatically adopts the three types of intrinsic angular momentum operators, $`\widehat{C}`$, $`\widehat{I}`$, and $`\widehat{S}`$, when intrinsic potentials for color, isospin, and spin charges are central so that they depend on the internal radial distance: for instance, the color potential in strong interactions is dependent on the radial distance. The intrinsic spin operator $`\widehat{S}`$ has a magnitude square $`S^2=s(s+1)`$ and $`s=0,1/2,1,3/2\mathrm{}(n_s1)`$: the third component of $`\widehat{S}`$, $`\widehat{S}_z`$, takes half integer or integer quantum number in the range of $`ss`$ with the degeneracy $`2s+1`$. The intrinsic isospin operator $`\widehat{I}`$ and intrinsic color operator $`\widehat{C}`$ are analogously quantized. The principal number $`n_m`$ in intrinsic space quantization is very much analogous to the principal number $`n`$ in extrinsic space quantization and the intrinsic angular momenta are analogous to the extrinsic angular momentum so that the total angular momentum has the form of

$$\stackrel{}{J}=\stackrel{}{L}+\stackrel{}{S}+\stackrel{}{I}+\stackrel{}{C},$$
(12)
which is the extension of the conventional total angular momentum $`\stackrel{}{J}=\stackrel{}{L}+\stackrel{}{S}`$. The intrinsic principal number $`n_m=(n_c,n_i,n_s)`$ denotes the intrinsic spatial dimension or radial quantization: $`n_c=3`$ represents strong interactions as an $`SU(3)_C`$ gauge theory. For QCD as the $`SU(3)_C`$ gauge theory, there are nine gluons ($`n_c^2=3^2`$), which consist of one singlet gluon $`A_0`$ with $`c=0`$, three degenerate gluons $`A_1A_3`$ with $`c=1`$, and five degenerate gluons $`A_4A_8`$ with $`c=2`$. One explicit evidence of colorspin and isospin angular momenta is strong isospin symmetry in nucleons, which is postulated as the combination symmetry of colorspin and weak isospin. Another evidence is the nuclear magnetic dipole moment: the Lande spin g-factors of the proton and neutron are respectively $`g_s^p=5.59`$ and $`g_s^n=3.83`$ shifted from $`2`$ and $`0`$ because of contributions from color and isospin as well as spin. The mass ratio of the proton and the constituent quark, $`m_p/m_q2.79`$, thus represents three degrees of freedom of color, isospin, and spin. In fact, the extrinsic angular momentum associated with the intrinsic angular momentum may be decomposed by

$$\stackrel{}{L}=\stackrel{}{L}_i+\stackrel{}{L}_c+\stackrel{}{L}_s$$
(13)
where $`\stackrel{}{L}_i`$, $`\stackrel{}{L}_c`$, and $`\stackrel{}{L}_s`$ are angular momenta originated from isospin, colorspin, and spin, respectively. This is supported by the fact that the orbital angular momentum $`l_c`$ of the nucleon has the different origin from the color charge with the orbital angular momentum $`l_i`$ of the electron from the isospin charge since two angular momenta have opposite directions from the information of spin-orbit couplings in nucleus and atoms. Extrinsic angular momenta have extrinsic parity $`(1)^l=(1)^{(l_c+l_i+l_s)}`$, intrinsic angular momenta have intrinsic parity $`(1)^{(c+i+s)}`$, and the total parity becomes $`(1)^{(l+c+i+s)}`$ for electric moments while extrinsic angular momenta have opposite parities respectively. Fermions increase their masses by decreasing their intrinsic principal quantum numbers from the higher ones at higher energies to the lower ones at lower energies. The coupling constant $`\alpha _s`$ of a non-Abelian gauge theory is strong for the small $`N_{sd}`$ and is weak for the large $`N_{sd}`$ according to the renormalization group analysis. The vacuum energy is described by the zero-point energy in the unit of $`\omega /2`$ with the maximum number $`N_{sd}10^{61}`$ and the vacuum is filled with fermion pairs of up and down colorspins, isospins, or spins, whose pairs behave like bosons quantized by the unit of $`\omega `$: this is analogous to the superconducting state of fermion pairs. The intrinsic particle number $`N_{sp}1`$ (or $`B1`$) characterizes strong interactions for nucleons: according to $`M_G=\sqrt{\pi }m_hc_f\alpha _s\sqrt{N_{sd}}`$ , $`m_h=0.94`$ GeV, $`c_f=1/3`$, $`\alpha _s=0.48`$, $`N_{sd}=1`$, $`M_G=0.27`$ GeV for a nucleon are realized. Note that if $`N_{sp}>1`$ (or $`B<1`$), it represents a pointlike fermion and if $`N_{sp}<1`$ (or $`B>1`$), it represents a composite fermion.

The invariance of gauge transformation provides $`\psi [\widehat{O}_\nu ]=e^{i\nu \mathrm{\Theta }}\psi [\widehat{O}]`$ for the fermion wave function $`\psi `$ with the transformation of an operator $`\widehat{O}`$ by the class $`\nu `$ gauge transformation, $`\widehat{O}_\nu `$: the vacuum state characterized by the constant $`\mathrm{\Theta }`$ is called the $`\mathrm{\Theta }`$ vacuum . The true vacuum is the superposition of all the $`|\nu `$ vacua with the phase $`e^{i\nu \mathrm{\Theta }}`$: $`|\mathrm{\Theta }=_\nu e^{i\nu \mathrm{\Theta }}|\nu `$. The topological winding number $`\nu `$ or the topological charge $`q_s`$ is defined by

$$\nu =\nu _+\nu _{}=\frac{c_fg_s^2}{16\pi ^2}TrG^{\mu \nu }\stackrel{~}{G}_{\mu \nu }d^4x$$
(14)
where the subscripts $`+`$ and $``$ denote moving particles with opposite intrinsic properties in the presence of the gauge fields . The subscripts $`+`$ and $``$ represents axial-vector and vector particles at the strong scale. The matter energy density generated by the surface effect is postulated by

$$\rho _m\rho _c\frac{c_fg_s^2}{16\pi ^2}TrG^{\mu \nu }\stackrel{~}{G}_{\mu \nu }10^{47}\text{GeV}^4$$
(15)
which implies that the fermion mass is generated by the difference of fermion numbers moving to opposite directions. The difference number $`N_{sd}`$, the singlet fermion number $`N_{ss}`$, and the condensed singlet fermion number $`N_{sc}`$ in intrinsic two-space dimensions respectively correspond to $`\nu `$, $`\nu _+`$, and $`\nu _{}`$ in three-space and one-time dimensions. In the presence of the $`\mathrm{\Theta }`$ term, the axial vector current is not conserved due to an Adler-Bell-Jackiw anomaly :

$$_\mu J_\mu ^5=\frac{N_fc_fg_s^2}{16\pi ^2}TrG^{\mu \nu }\stackrel{~}{G}_{\mu \nu }$$
(16)
with the class number of fermions $`N_f`$ and this reflects degenerated multiple vacua. This illustrates mass generation by the surface effect due to the field configurations with parallel charge electric and magnetic fields. $`\mathrm{\Theta }`$ values defined by $`\mathrm{\Theta }=10^{61}\rho _G/\rho _m`$ is consistent with the observed results, $`\mathrm{\Theta }<10^9`$ in the electric dipole moment of the neutron . The topological winding number parameterized by $`\nu =\rho _m/\rho _G`$ is related to the intrinsic quantum number $`n_m`$ by $`\nu =1/n_m^8`$. The intrinsic principal number $`n_m`$ is also connected with $`N_{sp}`$ and $`N_{sd}`$: $`n_m^2=N_{sp}`$, $`N_{sp}^2=N_{sd}`$, and $`N_{sp}^4=1/\nu `$. The relation between the intrinsic radius and the intrinsic quantum number might be ascribed by $`r_i=r_{0i}/n_m^2`$ with the radius $`r_{0i}1/m_fc_f\alpha _sN_{sp}/M_G`$. Intrinsic quantum numbers are exactly analogous to extrinsic quantum numbers. The extrinsic principal number $`n`$ for the nucleon is related to the nuclear mass number $`A`$: $`n^2=A^{1/3}`$, $`n^4=A^{2/3}`$, $`n^6=B=A`$. The relation between the nuclear radius and extrinsic quantum number is outlined by

$$r=r_0A^{1/3}=r_0n^2$$
(17)
with the radius $`r_01.2`$ fm. This is analogous to the atomic radius $`r_e=r_0n_e^2`$ with the atomic radius $`r_0`$ and the electric principal number $`n_e`$: the atomic radius $`r_0`$ is almost the same with the Bohr radius $`a_B=1/m_e\alpha _e=0.5\times 10^8`$ cm. These concepts are related to the constant nuclear density $`n_B=3/4\pi r_0^3=1.95\times 10^{38}\text{cm}^3`$ or Avogadro’s number $`N_A=6.02\times 10^{23}\text{mol}^1`$ and to the constant electron density $`n_e=3/4\pi r_s^3=6.02\times 10^{23}Z\rho _B/A`$ with the matter energy density $`\rho _m`$ in $`g/\text{cm}^3`$ where the possible relation is $`r_e=r_0L^{1/3}=r_0n_e^2`$ with the lepton number $`L`$. The $`\mathrm{\Theta }`$ value indicating DSSB becomes $`\mathrm{\Theta }_{QCD}10^{12}`$ at the strong scale. Baryon mass generation is described by $`\rho _B\mathrm{\Omega }_B\rho _c10^{61}\mathrm{\Omega }_B\rho _G/\mathrm{\Theta }\mathrm{\Omega }_B10^{47}\text{GeV}^4`$ with the gluon mass density $`\rho _G10^2\text{GeV}^4`$ at the strong scale. $`\mathrm{\Theta }`$ term as the surface term modifies the original QCD for strong interactions , which has the problem in fermion mass violating gauge invariance, and suggest mass generation as the nonperturbative breaking of gauge and chiral invariance through DSSB. The presence of the nonperturbative anomaly represented by the $`\mathrm{\Theta }`$ vacuum does not necessarily spoil renormalization because there is no Ward-Takahashi identity  destroyed by the nonconservation of any local current with even parity.

New development based on a local gauge theory for the strong force under the constraint of the flat universe $`\mathrm{\Omega }1=10^{61}`$ are matter mass generation mechanism through the dynamical spontaneous breaking of gauge symmetries and $`\mathrm{\Theta }`$ vacuum structure through intrinsic quantization specifying intrinsic properties. Matter mass generation introduces the typical features of constituent particle mass induced from the gauge boson mass, dual Meissner effect through the pairing mechanism, and fine structure due to intrinsic angular momentum interactions. The $`\mathrm{\Theta }`$ term plays important roles on the DSSB of the gauge group and on the quantization of the matter and vacuum space. $`\mathrm{\Theta }`$ vacuum structure exhibits intrinsic principal numbers and angular momenta for intrinsic space quantization in analogy with the extrinsic principal number and angular momentum for extrinsic space quantization. The intrinsic space essentially consists of the color space, isospin space, and spin space, which form their associated extrinsic space: the total angular momentum $`\stackrel{}{J}=\stackrel{}{C}+\stackrel{}{I}+\stackrel{}{S}+\stackrel{}{L}`$ is the extension of the conventional one $`\stackrel{}{J}=\stackrel{}{S}+\stackrel{}{L}`$. This work may thus become a turning point toward the complete understanding of the universe structure since the insight in matter mass generation and $`\mathrm{\Theta }`$ vacuum is clarified.


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# Multiwavelength observations revealing the outbursts of the two soft X-ray transients XTE J1859+226 and XTE J1118+480

## 1 Introduction

The SXTs, also called X-ray novae, are a class of low mass X-ray binaries (LMXBs), including GRO J1655–40 and GRO J0422+32. In this class of sources, more than 70% are thought to contain Black Holes (Charles, 1998). The compact object accretes matter through an accretion disk from a low-mass star via Roche lobe overflow. The history of these sources is characterized by long periods of quiescence, typically lasting decades, and punctuated by very dramatic outbursts, visible at every wavelength, although these sources are usually discovered in X-rays or the optical, and often accompanied by radio activity. A prototypical outburst is characterized by X-ray emission dominated by thermal emission from the hot inner accretion disk, and optical emission produced by reprocessing of X-rays. Two such sources were discovered during the last year: XTE J1859+226 and XTE J1118+480. Thanks to our override programs with RXTE/HST/UKIRT we could get early multiwavelength observations of these systems, and follow the evolution of these systems from outburst towards their quiescence, to get more information on the mechanisms underlying their outbursts. We will describe in Section 2 the observations and results on XTE J1859+226 and in Section 3 those on XTE J1118+480.

## 2 XTE J1859+226

The first source, XTE J1859+226, was discovered by ASM/RXTE on 1999 October 9 (Wood et al., 1999), at the galactic coordinates: ($`l,b`$) = ($`54.05^{}`$, $`+8.61^{}`$). This source exhibited a fast rise ($`5`$ days) and exponential decay ($`23`$ days) typical of X-ray novae (see Fig. 1). The optical counterpart reached 15th magnitude at its maximum (Garnavich et al., 1999) exhibiting a period of 9.15 +/- 0.05 hr which could be the orbital period (Garnavich & Quinn, 2000). Sanchez-Fernandez et al. (2000) observed the quiescent counterpart of the source at a magnitude of 23 and also confirmed this weak photometric modulation. A strong radio counterpart was detected, but no jet feature was observed (Pooley & Hjellming, 1999). The compact object could be a black hole, i) because of the hard X-ray spectrum which showed a high-soft state in October 1999, described by a temperature of T $`0.9`$ keV and a power-law of photon index $`\alpha 1.5`$, and ii) because of the presence of high-frequency QPOs ($`100`$ Hz), as in GRS 1915+105, GRO J1655–40, and XTE J1550–564 (Cui et al., 2000). The column density was determined as $`N_H38\times 10^{21}\text{ cm}^2`$ (Markwardt et al. (1999), dal Fiume et al. (1999)). We undertook a multi-epoch multiwavelength program of observations with HST/RXTE/UKIRT (see lightcurve in Fig. 1).

### 2.1 Short timescale modulation

To search for short timescale modulations, we observed with the HiRAC camera on the Nordic Optical Telescope, used in a high speed photometric mode, during the first run of a new camera operating system. This system allows a fast readout in a windowed mode. The operating system was developed by R. Østensen, and converts existing CCD cameras which are equipped with the Copenhagen University Observatory controllers into a fast photometer. On Oct 17 we used an integration time of 5.3 s, readout time of 1.8 s and a cycle time of 7.5 s, with the object and one reference star. The following night we had a sample time of 30 s, and used 3 comparison stars. We detected a faint modulation at 20–24 min (Fig. 2). This QPO may be the result of hydrodynamic oscillations at the $`L_1`$ point, where a comparison with V404 Cyg predicts a value of $`0.055P_{orb}`$ compared to the observed value of $`0.042P_{orb}`$ (King, 1989). This modulation was also seen in several sets of data amounting to 33 hr of optical data with different instruments/telescopes, in the NIR with UKIRT (Hynes et al., 1999), and much later in the outburst by Charles et al. (2000). No periodic modulation was seen in the NIR at shorter timescales.

### 2.2 Evolution of the Spectral Energy Distribution

The early spectral energy distribution (SED) observed by HST & UKIRT (see Fig. 3) is well fitted by a typical X-ray irradiated disk model ($`TR^{3/7}`$). The model used was actually generated to fit the SED of GRO J0422+32 in outburst, which has an orbital period of 5.1 hr, and then scaled to fit the new data with no other adjustment. This suggests that XTE J1859+226 is also a relatively short period system (less than one day). If the disk were heated by viscous processes instead of irradiation we would expect intead to see $`f_\nu \nu ^{1/3}`$ (corresponding to $`TR^{3/4}`$). Gratifyingly, this is seen in our last visit where the SED is better fitted by a viscously heated accretion disk model with an edge temperature of $`8000`$ K, suggesting evolution from an irradiation dominated to viscosity dominated regime.

## 3 XTE J1118+480

The second source, XTE J1118+480, is a very unusual object, and therefore certainly very interesting. Its galactic coordinates are ($`l,b`$) = ($`157.62^{}`$,$`+62.32^{}`$). The X-ray object was discovered by RXTE on 2000 March 29 (Remillard et al., 2000) as a weak, slowly rising source, the post-analysis revealing an outburst in January 2000, with a similar brightness (see Fig. 4). The optical counterpart is a 13th magnitude star, coincident with a 18.8 mag object in the DSS (Uemura et al., 2000). Its optical spectrum was typical of X-ray novae in outburst (Garcia et al., 2000). This system was characterized by a very low X-ray to optical flux ratio of 5 (see Remillard et al. (2000) & Uemura et al. (2000)), when the typical value is 500 (see e.g. Tanaka & Shibazaki (1996)). A weak photometric modulation on 4.1 hr (0.17082 d) period was rapidly discovered (Cook et al., 2000), which was associated with the orbital period, the shortest among the black hole candidates. Flickering with an amplitude of $`0.4`$ mag, and also a quasi-periodic oscillation (QPO) at 10 s, was observed in the optical, in the UV (Haswell et al., 2000b) and also in the X-rays, with an evolving frequency (Wood et al., 2000). A faint radio counterpart was detected at 6.2 mJy, but no jet feature could be spatially resolved. The large value of the mass function, f(M) = 5.9 +/- 0.4 solar masses, suggests that the compact object is a black hole (Wagner et al. (2000) & McClintock et al. (2000a)).

Its location at an unusually high galactic latitude ($`b=+62^{}`$) at an estimated distance of $`0.8\text{ kpc}`$ (McClintock et al., 2000b) implied that there is a very low absorption along the line of sight of the source, with a column density estimated to $`N_H0.751.3\times 10^{20}\text{ cm}^2`$ (Hynes et al. (2000), McClintock et al. (2000b)). Triggering our multi-epoch multiwavelength program with HST/RXTE/UKIRT and requesting Director’s Discretionary EUVE observations, we got unprecedented broadband coverage (see lightcurve in Fig. Multiwavelength observations revealing the outbursts of the two soft X-ray transients XTE J1859+226 and XTE J1118+480 & SED in Fig. 6, more details in Hynes et al. (2000)). The SED suggests that the system was exhibiting a low-state mini-outburst, with the inner radius of the accretion disk at $`2000R_s`$ ($`R_s`$: Schwarzschild radius). One of the most striking features was the strong non-thermal (likely synchrotron) contribution in the optical and NIR wavelengths. Indeed, the SED shows a very flat spectrum from the NIR to the UV ($`1000\mathrm{50\hspace{0.17em}000}\AA `$), suggesting that there is another source of NIR flux apart from thermal disk emission, likely related to radio emission, and therefore possibly synchrotron.

### 3.1 Non-thermal contribution

The $`10`$ s QPO was also seen in the UV, implying a common nature for this QPO from the optical to the X-rays. We looked for a rapid periodicity in the NIR wavelengths, and we therefore observed with the 3.8-m U.K. Infrared Telescope and IRCAM3 instrument on June 24.23 UT when the source was at K = 11.512 +/– 0.004 and on July 15.25 UT, when the source was at K = 11.948 +/– 0.006. The 0.02 mag/day mean decline between these two dates was therefore much stronger than from April to June (Hynes et al., 2000), and comparable to the 0.015 mag/day mean decline seen in the optical (VSNET observations). During both observations we took rapid photometric observations for nearly 1 hour, with 2 s integration time on the source and nearly 7 s sampling time. The source showed rapid fluctuations through nearly 0.5 mag, with a 0.05 mag error bar for each individual frame. A periodicity search analysis in both runs did not show any secure quasi-periodic oscillation, although there could be some modulations around 35 s. Unfortunately our sampling time could not address the presence or absence of the periodicity of 10 s seen in the optical and in the X-rays.

However, we could detect flickering at NIR wavelengths, of bigger amplitude ($`0.8`$ mag) than in the optical ($`0.4`$ mag). This flickering in the K band is reported in Figure 5. We also took a NIR K-band spectrum of this source using the CGS 4 instrument and a $`0.6^{\prime \prime }`$ slit on June, 27.2 UT, which was featureless, also consistent with the fact that the disk is not the only source of emission in this part of the spectrum. These two facts suggest a strong non-thermal (likely synchrotron) emission in the NIR wavelengths. This is consistent with the flat slope of the SED, shown in Figure 6 from the radio to the IR, and will be developed in Chaty et al. (in prep.).

### 3.2 The nature of the system

In our HST UV spectra we observed a complete absence of carbon and oxygen lines, suggesting that the material accreted from the companion star has undergone significant CNO-cycle processing resulting in C and O depletion (Haswell et al., 2000a). Since a 4 hr binary would normally be thought to contain an M dwarf companion, no CNO processing would be expected. Therefore it is likely that the companion star is the core of a larger star that has lost its envelope: a stripped giant. To test this hypothesis and try to reveal the nature of the companion star of the system, we will need to observe this source in quiescence with spectroscopic observations, at both optical and NIR wavelengths.

## 4 Conclusions

XTE J1859+226 allows us to study the accretion mechanisms during the outburst and the changes in temperature distribution due to irradiation. XTE J1118+480 allowed us to get broadband coverage from the radio to the X-rays, showing that it was exhibiting a very low-state mini-outburst, with a strong non-thermal (likely synchrotron) contribution.

## acknowledgements

S.C. is very grateful to the UKIRT staff for their availability and skills to perform service observations for override programs, and in particular to John Davies, Sandy Leggett and Andy Adamson. We thank HST/STScI and RXTE staff for ongoing effort in these multi-epoch campaigns, and EUVE staff for the DD observations. S.C., C.A.H. R.I.H. and A.R.K. acknowledge support from grant F/00-180/A from the Leverhulme Trust.