In the analysis of stocks markets, particularly in the investigations of the stocks market structure most of the researches use the Ultrametric Distance (UD) defined in [1]. This distance was derived from the portfolio analysis. In the paper the weak points and limitations of UD are discussed. The alternative time series distance based on the Manhattan Distance (MD) is constructed and its properties are analyzed. It is shown that MD allows to introduce an equivalence classes of the correlations between time series. The properties of the considered time series distances are illustrated on shares quoted on Warsaw Stocks Exchange and New York Stocks Exchange.

[1] R. Mantegna, H. E. Stanley “An Introduction to Econophysics”, Cambridge University Press, 2000

1. PRESENTATION: Time series distance measures, PDF document, version 1.4, 0.4MB

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