Fractal structure in the Chinese yuan/US dollar rate
نویسندگان
چکیده
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. Citation: Matsushita, Raul, Iram Gleria, Annibal Figueiredo, and Sergio Da Silva, (2003) "Fractal structure in the Chinese yuan/US dollar rate." Economics Bulletin, Vol. 7, No. 2 pp. 1−13 Submitted: December 16, 2002. Accepted: March 28, 2003. URL: http://www.economicsbulletin.com/2003/volume7/EB−02G00001A.pdf
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تاریخ انتشار 2002