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Fractal structure in the Chinese yuan/US dollar rate

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  • Sergio Da Silva

    ()
    (Department of Economics, Federal University of Rio Grande Do Sul, Brazil)

  • 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)

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.

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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 7 (2003)
Issue (Month): 2 ()
Pages: 1-13

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Handle: RePEc:ebl:ecbull:eb-02g00001

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Cited by:
  1. Matsushita, Raul & Gleria, Iram & Figueiredo, Annibal & Rathie, Pushpa & Da Silva, Sergio, 2004. "Exponentially damped Lévy flights, multiscaling, and exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 353-369.
  2. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "On the origins of truncated Lévy flights," Finance, EconWPA 0404013, EconWPA.
  3. Matsushita, Raul & Gleria, Iram & Figueiredo, Annibal & Da Silva, Sergio, 2007. "The Chinese chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 427-442.
    • Raul, Matsushita & Iram, Gleria & Annibal, Figueiredo & Sergio, Da Silva, 2006. "The Chinese Chaos Game," MPRA Paper 1847, University Library of Munich, Germany.

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