Ortiz Arango, Francisco

Main Affiliation

Facultad de Ciencias Económicas y Empresariales - CampCM

Preferred name

Official Name

Ortiz Arango, Francisco

ORCID

0000-0003-2707-4459

Researcher ID

ACO-1881-2022

Scopus Author ID

55601611100

Now showing 1 - 10 of 24

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Reconstructing household financial well-being; The case of Mexican households
(Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración, 2025)
Dávila-Aragón, Griselda
;
Mopya Ponce, Claudine
;
Ortiz Arango, Francisco
Through the application of Bayesian Network methodology, this study delves into household financial well-being in Mexico over the 2018 – 2022 period. The foundational scenario involved vital variables such as poverty-induced vulnerability, household type, education of the household head, financial education, income source (i.e., formal or informal sector employment), financial asset management, and savings as the main variables influencing household financial well-being. Subsequently, each variable was extrapolated to measure its impact on the focal point of interest. Results show that income from informal sector employment, education of the household head, financial education, and savings emerge as statistically significant factors exerting the greatest influence on household financial well-being. Economic policy recommendations to address these influential factors are discussed. ©The authors © Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración.
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Fronteras en economía financiera
(Universidad Panamericana, 2012)
Ortiz Arango, Francisco
;
López Herrera,Francisco
;
FRANCISCO ORTIZ ARANGO;350353
Esta investigación se basa en el empleo de algunas técnicas matemáticas empleadas en la mecánica cuántica, como la integral de trayectoria de Feynman, el principio de incertidumbre de Heisenberg o la teoría espectral, para poder plantear y resolver problemas como el cálculo del valor de opciones con doble barrera, opciones asiáticas o resolver problemas de valuación de tasas cortas de interés mediante modelos como el Vasicek.
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Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano
(2017)
Ortiz Arango, Francisco
;
Montiel Guzmán, Alma Nelly
En México, el uso del programa de coberturas de la Agencia de Servicios a la Comercialización y Desarrollo de Mercados Agropecuarios (ASERCA) es un instrumento que ha sido utilizado por los productores de maíz (principalmente blanco) para la adquisición de productos derivados en el Chicago Board of Trade (CBOT), cuyo subyacente es el maíz amarillo calidad US#2. En un entorno de alta volatilidad en los precios del maíz, los precios del CBOT deberían ajustarse con los precios spot domésticos para incentivar a los productores mexicanos a participar en el programa, sin embargo, mediante un análisis de volatilidad estocástica multivariante durante el periodo de 2007 a 2012, se mostró que el precio de mercado de futuros de maíz no se encuentra fuertemente relacionado con los precios registrados en algunos estados del país, por lo que se puede inferir que la cobertura mediante el programa ASERCA no cumple adecuadamente con su propósito de proteger a los agricultores nacionales que siembran maíz blanco, a pesar de que su uso se ha incrementado.
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Leveraged exchange trated funds’s emerging markets: A practical application of statistical arbitrage based on cointegration
(2017)
Ortiz Arango, Francisco
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Urrutia-Martínez, Daniel Ulises
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Flores-Méndez, Alejandro
Pair Trading is a Neutral Market Strategy descendant of Statistical Arbitrage. Its objective is to identify pairs of assets whose historical prices or variations have high correlation between them. To attain this, pairs trading takes advantage of overvalued assets sales and purchases undervalued assets. To identify the goal pair, we performed back-testing using historical log returns (from December 31, 2008 through April 16, 2013). With the goal pair identified we run the daily strategy using historical adjusted at closed price data and historical log returns (from December 31, 2010 through September 11, 2015). Herein, we consider two inverse Exchange Trade Funds versus benchmark EEM (iShares MSCI Emerging Markets ETF) index. The objective of this work is to demonstrate that automated trading strategy built under the co-integration approach in moving windows of 60 and 180 days is able to beat a buy and hold strategy on the EEM benchmark. © 2017, ASERS Publishing House. All rights reserved.
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Profitability Using Second-Generation Bioethanol in Gasoline Produced in Mexico
(2021)
Bautista Herrera, Adrián
;
Ortiz Arango, Francisco
;
Álvarez Álvarez, José
Gasoline produced in Mexico by the productive company of the state Petróleos Mexicanos (PEMEX) mainly uses oil-derived ethers as oxygenators to reach the Mexican Regulatory ‘Frame-work’s octane number. An alternative to complying with these regulations could be to use bioethanol as an oxygenate. However, as a gasoline component, this could affect ‘Mexico’s food markets since sugar cane, and grains are the primary inputs for local production. The main objective of this study is to evaluate whether the use of bioethanol, produced from corn stubble, as an additive in gasoline produced by Petróleos Mexicanos (PEMEX) is profitable in Mexico, from the perspective of the evaluation of the supply chain and the finances. The purpose of this work is to contribute to the definition of the advantages and limitations for the existence of a second-generation bioethanol market produced from Lignocellulosic corn biomass and integrated into the gasoline market of national production in Mexico. The work starts with theoretical research to define the use of corn stubble as raw material, set up on its availability and feasibility determined based on a geographic information system (GIS), through the use of the agricultural production forecast approach, as well as the integration of costs and financial analysis. The results show that corn stubble bioethanol production is technically viable, but the production cost is not competitive yet. Although its price is not yet competitive compared to the imported price, using a fiscal incentive scheme and considering the decrease in energy dependence, it would be feasible to produce it in Mexico. © 2021 by the authors.
Scopus© Citations 10 9 2
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Project Valuation of a Distribution Centre of an Auxiliary Rail Freight Terminal: Using Real Options with Fuzzy Logic and Binomial Trees
(2016)
Cruz Aranda, Fernando
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Ortiz Arango, Francisco
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Cabrera Llanos, Agustín Ignacio
This paper presents the financial evaluation of the extension of an auxiliary rail freight terminal to integrate it to a logistics platform (LP). This investment phase is focused on building a distribution center (CEDI), as part of a comprehensive project of high commercial and strategic impact for Mexico. The project evaluation is done using binomial trees for the valuation of an American type real call option, incorporating the expected volatility over the expected cash flows, in order to determine the benefit of postponing the project three years. In addition, to complement this real option valuation, we incorporate the fuzzy logic theory in the process of assigning probabilities to the branches of tree. The value of the American type real call option to postpone the project three years is 30.37% of investment, while the value of real option, using fuzzy logic is 29.94% of investment, this is a better result. © 2016, ASERS Publishing House. All rights reserved.
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Pronóstico de precios de petróleo: una comparación entre modelos garch y redes neuronales diferenciales
(2017)
Ortiz Arango, Francisco
The aim of this paper is to show the advantages of the use of neural networks differentials (rnd) as an efficient alternative method in calculating the forecasts of future prices of financial assets, for which a comparison is made with models of the garch family, to carry out the forecast of future closing price of crude oil barrels, types West Texas International and Brent. The results shows that the use of rnd has essentially the same accuracy as the values obtained with the tgarch (1,1) model and are superior to those obtained by the garch (1,1) model to calculate price forecasts barrels of crudes Brent and wti respectively during the period of description, from January 2, 2013 to February 24, 2015 and the forecast period from February 25 to March 10, 2015. However, the effort made to obtain such results with the family of garch models is significantly higher than when using the rnd, this supports the proposal to use the rnd as a reliable alternative method in the analysis of time series.
Scopus© Citations 2 27 2
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Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market
(2017)
Ortiz Arango, Francisco
;
Montiel Guzmán, Alma Nelly
In Mexico, the use of the coverage program of the Bureau of Market Services and Agricultural Market Development (ASERCA for its acronym in Spanish) is a tool that has been used by corn producers (mainly for white corn) for the acquisition of derived products in the CBOT (Chicago Board of Trade), the underlying element of which is US#2 grade yellow corn. In a high volatility environment regarding the prices of corn, the prices of CBOT should be adjusted with the spot domestic prices to incentivize Mexican producers to participate in the program. However, through a multivariate stochastic volatility analysis during the period of 2007–2012, it was shown that the future price of corn is not strongly related to the prices registered in some states of the country, therefore, it can be inferred that the coverage through the ASERCA program does not properly comply with its objective of protecting the national farmers that grow white corn, despite the fact that its use has increased. © 2017 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración
Scopus© Citations 3 21 1
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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
;
Ortiz Arango, Francisco
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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Volatilidad estocástica del tipo de cambio peso-dólar: el régimen flotante en México
(2011)
López Herrera, Francisco
;
Rodríguez Benavides, Domingo
;
Ortiz Arango, Francisco
This paper shows the results of the analysis of the volatility of the peso-dollar peg, which is carried out by a model in which the distribution of the peso's rate of return or appreciation (depreciation) is a mixture of normal distributions. Exchange rate volatility is modeled as a stochastic variable whose process is determined by a Markov chain with two states: one with low volatility and the other with high volatility. The estimated model allows us to identify the existence of two regimes or states in the volatility of the Mexican currency but the volatility of the peso-dollar exchange rate is less persistent when compared with the volatility observed in other exchange rates. Also a high probability for the low volatility regime is observed, which could be regarded as consistent with a relatively stable exchange rate.
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Ortiz Arango, Francisco

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