Information and hierarchical structure in financial markers

I investigate the information content present in the time: series of stock prices of a portfolio of stocks traded in a financial market. By investigat ing the correlation coefficient between pairs of stocks I provide a working definition of a generalized distance between the stocks of the portfolio. This generalized distance is used to obtain an ultrametric distance matrix between the stocks. The ultrametric structure of the portfolio investigated has associated a taxonomy which is meaningful from an economic point of vi ew. (C) 1999 Elsevier Science B.V. All rights reserved.