Ortiz Arango, Francisco

Preferred name

Official Name

Ortiz Arango, Francisco

Alternative Name

fortizar

Main Affiliation

ORCID

0000-0003-2707-4459

Scopus Author ID

55601611100

Researcher ID

ACO-1881-2022

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.
11
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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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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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Volatilidad estocástica del tipo de cambio peso-dólar: el régimen flotante en México
(2011)
López Herrera, Francisco
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Rodríguez Benavides, Domingo
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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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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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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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Historical identification and forecast values of IBEX 35 & IPC financial indices using differential neural networks
(2012)
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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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Cálculo del Valor en Riesgo Operacional de una Empresa Aseguradora Mediante Redes Bayesianas
(2019)
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It was in the 1990’s when the concept of Operational Risk was defined, since then the institutions, especially those in the financial sector, are worried about this type of risk since their exposure could have fatal consequences. In case of the insurance sector its study originates due to the new European regulatory framework of Solvency II. The purpose of this research is the development of a methodology based on Bayesian networks to identify and measure operational risk in order to determine the solvency capital requirement in the online policy quotation process of an insurance company that recently entered into this way of operating. For this, a Bayesian network model was designed with a priori and a posteriori distributions that allowed estimating the frequency and severity of the losses, with the posteriori distributions, an estimate of the expected loss for a period of one year was made using Monte Carlo simulation.
28 1
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Precios de transferencia de fondos en bancos de México entre febrero de 2012 y mayo de 2021
(2023)
Valencia Serpel, Karina
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Objective: The submitted work estimates the Funds Transfer Prices (FTP) of seven banks in Mexico. Methodology: A bond is used that reproduces the bank's cash flows, which allows estimating the term structure. The bond is valued utilizing the Nelson-Siegel model. Then, the rates of your loan portfolio and deposits are estimated to calculate the FTP. Likewise, we calculate each bank's spread of the TIIE-28 and the CETE-28 rate to establish their patterns between February 2012 and May 2021. Results: The results obtained show a discrepancy of less than 0.0006. Recommendations: The FTP methodology improves by using the most available data. Limitations and implications: To get better results, more information is required from all the bank's lines of business, making it difficult and delaying the application of the model. Originality: It shows a positive relationship between the application of the FTP methodology and profitability. Conclusions: Using the FTP methodology is possible to create value by optimizing the bank's net interest margins. JEL Classification: C13, G12, G21. © 2023 Russell Sage Foundation. Lewis-McCoy, R. L’Heureux, Natasha Warikoo, Stephen A. Matthews, and Nadirah Farah Foley. 2023.
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Ortiz Arango, Francisco

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