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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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.
11
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Leveraged exchange trated funds’s emerging markets: A practical application of statistical arbitrage based on cointegration
(2017)
Ortiz Arango, Francisco
;
Urrutia-Martínez, Daniel Ulises
;
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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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
;
Ortiz Arango, Francisco
;
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.
35 2
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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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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.
39 2
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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.
29 1
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Impact of Mexico's energy reform on consumer welfare
(2021)
Ramírez, José Carlos
;
Ortiz Arango, Francisco
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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Possible paths for Mexico's electricity system in the clean energy transition
(Elsevier, 2024)
Cruz Ake, Salvador
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Ortiz Arango, Francisco
;
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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Historical identification and forecast values of IBEX 35 & IPC financial indices using differential neural networks
(2012)
Ortiz Arango, Francisco
;
Cabrera Llanos, Agustín Ignacio
One of the main objectives of quantitative analysis in Finance is to be able to make accurate forecasts of prices and yields from financial assets, the question is to find reliable methods and techniques to perform properly such forecasts. In the early 1990 ́s while pursuing better results the use of artificial neural networks (ANN) started, this technique was only used as a tool of monitoring and description of values, but later it evolved into a way of forecasting the behavior of economic and financial variables, achieving promising results. In this paper we present one of the first applications in finance of the Differential Neural Networks (DNN), we use that to carry out two processes: the description of daily closing values of financial index IBEX 35 (Madrid Stock Exchange) and the IPC index (Mexican Stock Exchange), both from January 3, 2000 to January 20, 2012. Later, we perform the forecast of daily closing values of these indices from January 23 to February 17, 2012. The results obtained in the description and forecast of the closing values of both indices were excellent, which makes it extremely attractive to continue the study of this methodology to carry out these forecasts.
15 1
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Un modelo de minimización de costos de mantenimiento de equipo médico mediante lógica difusa
(2019)
Cabrera Llanos, Agustín Ignacio
;
Ortiz Arango, Francisco
;
Cruz Aranda, Fernando
This paper presents an algorithm based on fuzzy logic that models a Maintenance Management Plan of Medical Equipment, this is developed in three stages: In the first one, a functional inventory is generated, following the protocols recommended by the WHO and information of each team. In the second, three priority attention protocols are attached, used to select the diffuse system membership functions. In the third, a family of scenarios is generated by Monte Carlo simulation, calculating the degreeof fuzzy maintenance priority for the equipment. The results achieve that the equipment selection of the annual maintenance plan is carried out guaranteeing the availability of the priority equipment. In this article, the application of the Fennigkoh-Smith algorithms and the Wang-Levenson algorithm are improved by placing the ambiguity of the diffuse structure, making the selection of the medical equipment incorporate the range of possibilities that exist when selected in an arbitrary manner. An area of opportunity consists of incorporating a process of optimization of equipment maintenance costs with a budgetary restriction. It is concluded that the system shown is friendly and robust for the purposes proposed.
Scopus© Citations 3 28 1

Ortiz Arango, Francisco

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