Fractal structure in the Chinese yuan/US dollar rate

Sergio Da Silva, Annibal Figueiredo (), Iram Gleria () and Raul Matsushita ()
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Annibal Figueiredo: Department of Physics, University of Brasilia
Iram Gleria: Department of Physics, Federal University of Alagoas
Raul Matsushita: Department of Statistics, University of Brasilia

Economics Bulletin, 2003, vol. 7, issue 2, 1-13

Abstract: Price changes of the Chinese yuan/US dollar rate are found to display a Sierpinski triangle in an Iterative Function System clumpiness test. This fractal structure commonly emerges in “the chaos game”, where randomness coexists with deterministic rules. We show that a threshold model with four states, two deterministic and two stochastic is able to replicate the properties of the yuan/dollar returns in general, and the Sierpinski triangle in particular.

JEL-codes: G0 (search for similar items in EconPapers)
Date: 2003-03-28
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Citations: View citations in EconPapers (6)

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