Ortiz Arango, Francisco

Main Affiliation

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 Autonoma de Mexico01861042, 2025-12-29)
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Mopya Ponce, Claudine
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Fronteras en economía financiera
(Universidad Panamericana, 2012)
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López Herrera,Francisco
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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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Leveraged exchange trated funds’s emerging markets: A practical application of statistical arbitrage based on cointegration
(2017)
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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.
46 2
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Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano
(2017)
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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.
9 1
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Las finanzas de los hogares mexicanos: análisis con Redes Bayesianas
(2021)
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Cabrera Llanos, Agustín Ignacio
El bienestar de los hogares está ligado en gran parte al desarrollo de los mercados financieros. El estudio de las finanzas de los hogares analiza las formas en que estos utilizan instrumentos financieros para satisfacer sus necesidades y objetivos; este análisis representa un gran desafío debido a la escasa información estadística y la interrelación entre las variables consideradas. En este trabajo, pionero en el uso de las redes bayesianas en este campo, utilizamos de manera conjunta las finanzas tradicionales y las conductuales. Medimos la probabilidad de prevalencia de estabilidad financiera de los hogares en México; obtenemos un resultado base y posteriormente, al generar distintos escenarios, descubrimos que las variables más determinantes son el manejo del crédito y la conformación de los hogares. Estos resultados subrayan la importancia de promover iniciativas de educación financiera en los distintos niveles, modalidades y subsistemas educativos. © 2021 Universidad Nacional Autónoma de México. In today's economy, the well-being of households is considered to be linked mainly to the development of financial markets. The field of household finance analyzes how households use financial instruments to satisfy their needs and achieve objectives. This analysis represents a significant challenge due to scarce statistical information and the interrelation among the variables involved. We follow two aspects: Traditional and behavioral finance. This paper pioneers the use of Bayesian networks in the field. A model measuring the probability of prevalence of financial stability of households in Mexico is used; a baseline result is obtained and then, while generating different scenarios, we discover that credit management and household composition are the most determining variables. These results underscore the importance of promoting different financial education initiatives at different educational levels, modalities, and subsystems. © 2021 Universidad Nacional Autónoma de México.
Scopus© Citations 2 14 2
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Profitability Using Second-Generation Bioethanol in Gasoline Produced in Mexico
(2021)
Bautista Herrera, Adrián
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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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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.
39 2
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Possible paths for Mexico's electricity system in the clean energy transition
(Elsevier, 2024)
Cruz Ake, Salvador
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García Ruiz, Reyna Susana
This paper analyzes possible paths for Mexico's Electricity System. It shows that under the current dispatch order and minimization of electricity production-cost guidelines, Mexico will not reach the 50% clean electricity goal in 2050; however, this goal could be achieved before 2030 if the government favors CO2 minimization, with a low impact on energy costs. The effects of pollution are analyzed considering cost and CO2 minimization guidelines, combining four energy demand growth scenarios and three investment growth scenarios. Finally, we show that if Mexico wants to take advantage of nearshoring, it is essential to consider the presented alternatives. ©Elsevier
Scopus© Citations 2 46 1
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Impact of Mexico's energy reform on consumer welfare
(2021)
Ramírez, José Carlos
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We study the impact of Mexico's energy reform on the welfare of electricity, liquified petroleum gas, and gasoline consumers between 2010 and 2018. We utilize micro-level data to estimate income and price elasticities. Comparative statics are used to determine subsidy and price influences on consumer surplus. A counterfactual is used to simulate the industry's behavior under non-reform parameters. Data cover ten income deciles and sociodemographic characteristics in the National Survey of Household Income and Expenditure. We conclude that consumers of energy goods in the post-reform experimental group (2014–2018) experienced a welfare gain compared to consumers in the control group (2010–2014) at the expense of alternative social costs related to energy subsidies.
Scopus© Citations 5 15 5
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Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market
(2017)
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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

Ortiz Arango, Francisco

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