Skip to main content
Article
Fractal Structure in the Chinese Yuan-US Dollar Rate
Economics Bulletin (2003)
  • Raul Matsushita, University of Brasilia
  • Iram Gleria
  • Annibal Figueiredo, University of Brasilia
  • Sergio Da Silva
Abstract
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 changes in general, and the Sierpinski triangle in particular.
Keywords
  • Exchange rates,
  • Sierpinski triangle,
  • Chaos game
Disciplines
Publication Date
March, 2003
Publisher Statement
Economics Bulletin is open access
Citation Information
Raul Matsushita, Iram Gleria, Annibal Figueiredo and Sergio Da Silva. "Fractal Structure in the Chinese Yuan-US Dollar Rate" Economics Bulletin Vol. 7 Iss. 2 (2003)
Available at: http://works.bepress.com/sergiodasilva/35/