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Fractal structure in the Chinese yuan/US dollar rate

  • 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)

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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File URL: http://www.accessecon.com/pubs/EB/2003/Volume7/EB-02G00001A.pdf
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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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