Fractal structure in the Chinese yuan/US dollar rate

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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Year of publication:	2003-03-28
Authors:	Silva, Sergio Da ; Figueiredo, Annibal ; Gleria, Iram ; Matsushita, Raul
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 7.2003, 2, p. 1-13
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	G0 - Financial Economics. General
Source:	RePEc - Research Papers in Economics

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