Raul, Matsushita and Iram, Gleria and Annibal, Figueiredo and Sergio, Da Silva (2006): The Chinese Chaos Game. Forthcoming in: Physica A
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Abstract
The yuan-dollar returns prior to the 2005 revaluation show a Sierpinski triangle in an iterated function system clumpiness test. Yet the fractal vanishes after the revaluation. The Sierpinski commonly emerges in the chaos game, where randomness coexists with deterministic rules [2, 3]. Here it is explained by the yuan’s pegs to the US dollar, which made more than half of the data points close to zero. Extra data from the Brazilian and Argentine experiences do confirm that the fractal emerges whenever exchange rate pegs are kept for too long.
| Item Type: | MPRA Paper |
|---|---|
| Institution: | Federal University of Santa Catarina |
| Original Title: | The Chinese Chaos Game |
| Language: | English |
| Subjects: | G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Item ID: | 1847 |
| Depositing User: | Sergio Da Silva |
| Date Deposited: | 20 Feb 2007 |
| Last Modified: | 14 Oct 2019 16:24 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/1847 |
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