A Generalized Devil Staircase-Based Generator for the JPY-USD Exchange Rate?

By exploiting the linear similarity between two series, namely the exchange rate Japanese Yen - United States Dollar (JPY-USD), and the generalized devil staircase (GDS) recursive plot, the possibility of synthesizing the real series by using the GDS generator is investigated. The properties of the real and simulated series are compared from both fractal and chaotic perspective using a new multifractal deviation factor, and a crossing analysis based on correlation dimension and non linear prediction error, respectively. Given the encouraging results supported by good fitting values, there are arguments to consider the method an alternative for time series modeling on deterministic assumptions.