History state formalism for time series with application to finance

• URL: http://arxiv.org/abs/2603.12132v1
• Date: Thu, 12 Mar 2026 16:35:31 GMT
• Title: History state formalism for time series with application to finance
• Abstract summary: We present a method for analyzing general time series by employing the history state formalism of quantum mechanics.<n>This formalism allows us to describe a complete evolution based on a single quantum state, the history state.<n> Entanglement based volatility indicators are also derived, and compared with standard volatility measures.
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• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We present a method for analyzing general time series by employing the history state formalism of quantum mechanics. This formalism allows us to describe a complete evolution based on a single quantum state, the history state, which simultaneously includes -also as a quantum system- the reference clock. It naturally leads to the concept of system-time entanglement, with the ensuing entanglement entropy constituting a measure of the effective number of distinguishable states visited in the history. Through a quantum coherent state embedding of the time series data, it is then possible to associate a quantum history state to the series. The gaussian overlap between these coherent states provides thus a smooth measure of distinguishability between the series data. The eigenvalues of the corresponding overlap matrix determine in fact the entanglement spectrum and entropy of the history state, which provide a rigorous characterization of the evolution. As illustration, the formalism is applied to typical financial time-series data. Through the entanglement entropy and spectrum, different evolution regimes can be identified. Entanglement based volatility indicators are also derived, and compared with standard volatility measures.

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