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The Chinese chaos game

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  • Matsushita, Raul
  • Gleria, Iram
  • Figueiredo, Annibal
  • Da Silva, Sergio

Abstract

The yuan-dollar returns prior to the 2005 revaluation show a Sierpinski triangle in an iterated function system clumpiness test. Yet the fractal vanishes after the revaluation. The Sierpinski commonly emerges in the chaos game, where randomness coexists with deterministic rules (M.F. Barnsley, Fractals Everywhere, Academic Press, San Diego, 1988; H.O. Peitgen, H. Jurgens, D. Saupe, Chaos and Fractals: New Frontiers of Science, Springer, New York, 1992). Here, it is explained by the yuan's pegs to the US dollar, which made more than half of the data points close to zero. Extra data from the Brazilian and Argentine experiences do confirm that the fractal emerges whenever exchange rate pegs are kept for too long.

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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 378 (2007)
Issue (Month): 2 ()
Pages: 427-442

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Handle: RePEc:eee:phsmap:v:378:y:2007:i:2:p:427-442

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Chaos game; Iterated function systems; Yuan-dollar exchange rate; Chinese monetary policy; Exchange rate pegs;

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  1. repec:ebl:ecbull:v:7:y:2003:i:2:p:1-13 is not listed on IDEAS
  2. Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2003. "Fractal structure in the Chinese yuan/US dollar rate," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-13.
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Cited by:
  1. Cristescu, C.P. & Stan, C. & Scarlat, E.I., 2009. "The dynamics of exchange rate time series and the chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4845-4855.
  2. Cristescu, Constantin P. & Stan, Cristina & Scarlat, Eugen I. & Minea, Teofil & Cristescu, Cristina M., 2012. "Parameter motivated mutual correlation analysis: Application to the study of currency exchange rates based on intermittency parameter and Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2623-2635.

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