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Sergio Da Silva, Annibal Figueiredo, Iram Gleria and Raul Matsushita
 
''Fractal structure in the Chinese yuan/US dollar rate''
( 2003, Vol. 7 No.2 )
 
 
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.
 
 
Keywords:
JEL: G0 - Financial Economics: General
 
Manuscript Received : Dec 16 2002 Manuscript Accepted : Mar 28 2003

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