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The mahalanobis distance between the hurst coefficient and the Alpha-Stable parameter: An early warning indicator of crises
(Academic Publications, 2016)
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Cruz-Aké, Salvador
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Venegas-Martínez, Francisco
The Hurst coefficient and the alpha-stable parameter are useful indicators in the analysis of time series to detect normality and absence of self-similarity. In particular, when these two features met simultaneously the series is driven by white noise. This paper is aimed at developing an index to measure the degree to which a time series departs from white noise. The proposed index is built by using the principal component analysis of the Mahalanobis distances between the Hurst coefficient and the alpha-stable parameter from theoretical values of normality and absence of self-similarity. The proposed index is applied to examine the Mexican Peso exchange rate against the US Dollar. The distinctive characteristic of the index is that it can be used as an early warning indicator of crises, as it is shown for the Mexican case. © 2010, Academic Publications, Ltd.; https://ijpam.eu ©The authors.
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Modeling the Optimal Supply Chain of Liquefied Natural Gas as Fuel in Fishing Vessels in Mexico
(2022)
Hernández-Palomo, Giovanna
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Venegas-Martínez, Francisco
The global energy transition process has generated a set of modifications in the generation and consumption of energy. Environmental objectives have gained great relevance for regions, countries and companies. The fishing sector has been identified as having a broad environmental impact, which is why the transition to cleaner energy sources in this sector has been considered. One of the proposed strategies is based on the transition from the diesel engines of the ships to the use of liquefied natural gas (LNG), however, this transition requires guaranteeing the supply of fuel as well as the process of reconversion of units in operation and the impulse of LNG gas engines for new units. This work presents a proposal for the design of an LNG gas supply chain for the fishing industry in the State of Tampico in Mexico that allows evaluating the feasibility of the transition from the use of diesel to natural gas in fishing vessels. The main results show the feasibility of the transition in the fuel supply and economic and environmental benefits for the fishing industry. However, there is a significant challenge in converting units in operation to the use of natural gas due to the lack of public policies that promote and support its use in this sector. © Mobile Networks and Applications
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Competition between agricultural foods and biofuels: Referees' response to "The nonlinear relation between biofuels and food prices"
(2017)
Venegas-Martínez, Francisco
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The nonlinear relation between biofuels and food prices", written by Cruz Aké (2017), several issues were left out by the author: 1) a comparison of the paper's results with traditional non-linear econometric analysis, as Markov switching regime models; 2) a comparative analysis of the long-run relationship between biofuels (bioethanol and biodiesel) consumption and its demand determinants, namely, competitive goods, their prices, world's GDP (economic activity) and climate phenomena, and 3) an explanation for the volatility regarding non-linearities in the biofuels consumption and its determinants. Under this framework to complement Cruz Aké's (2017) work, we perform a traditional cointegration analysis to assess the impact of the long-run components of the biofuel demand. We find a significative statistical consistency in the three cointegration equations from a six-equation system. Moreover, we find two volatility regimes of the biofuel consumption, wich is also consistent with the empirical evidence from Cruz Aké's (2017) paper. Although Cruz Aké (2017) contributes to the current discussion on the subject matter, it remains to consider, more carefully, other essential issues that invitied us to a deeper academic debate: 1) the distribution of innovations that drives the biofuel consumption and its price may not be Student's t nor a Generalize Extreme Value (GEV) distribution; 2) the stochastic process that guides the biofuels consumption and its price may not be stable over time, and 3) the cointegration analysis may be done by assuming fractional cointegration. Finally, it is worth noticing that Cruz Aké's (2017) paper may be extended in different ways such as: 1) the long-run sustainability of the biofuels consumption; 2) the effect of the agricultural foods and fuel prices volatilities on the economic welfare, and 3) the effect of changes in agricultural foods and energy prices on poor people. Needless to say, all the above stated points encourage to a wider and deeper debate.
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Euro exchange rate forecasting with differential neural networks with an extended tracking procedure
(2016)
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Cabrera Llanos, Agustín Ignacio
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Venegas-Martínez, Francisco
This paper develops a new kind of non-parametrical artificial neural network useful to forecast exchange rates. We departure from the Differential Neural Networks (DNN) framework and extend the tracking procedure. Under this approach, we examine daily closing exchange rates of Euro against US dollar, Japanese yen and British pound. With our proposal, extended DNN or EDNN, we perform the tracking procedure from February 15, 1999, to August 31, 2013, and, subsequently, the forecasting procedure from September 2 to September 13, 2013. The accuracy of the obtained results is remarkable, since the error percentage in the forecasting period varies from 0.001.
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