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