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arXiv · 2603.12132

History state formalism for time series with application to finance

F. Lomoc·N. Canosa·A. P. Boette·R. Rossignoli
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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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F. Lomoc, N. Canosa, A. P. Boette, R. Rossignoli. 2026-03-12. History state formalism for time series with application to finance. https://arxiv.org/abs/2603.12132

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