All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

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.
Manuscript Received : Dec 16 2002 Manuscript Accepted : Mar 28 2003

  This abstract has been downloaded 2272 times                The Full PDF of this paper has been downloaded 153794 times