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The Chinese Chaos Game

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Author Info
Raul, Matsushita
Iram, Gleria
Annibal, Figueiredo
Sergio, Da Silva

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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 [2, 3]. 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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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1847.

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Date of creation: 2006
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Handle: RePEc:pra:mprapa:1847

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G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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This page was last updated on 2009-12-23.

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