Svetlana Borovkova

Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration

Associate Professor

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 13,242

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6,707

SSRN CITATIONS
Rank 19,921

SSRN RANKINGS

Top 19,921

in Total Papers Citations

30

CROSSREF CITATIONS

33

Scholarly Papers (17)

1.
Downloads 896 (48,088)
Citation 6

SenSR: A Sentiment-Based Systemic Risk Indicator

Number of pages: 21 Posted: 07 Apr 2016 Last Revised: 08 Jul 2016
Svetlana Borovkova, Evgeny Garmaev, Philipp Lammers and Jordi Rustige
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, VU University Amsterdam - Finance, VU University Amsterdam, Finance and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 550 (89,802)
Citation 3

Abstract:

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Systemic Risk, News Sentiment, Granger Causality

SenSR: A Sentiment-Based Systemic Risk Indicator

De Nederlandsche Bank Working Paper No. 553
Number of pages: 25 Posted: 11 Apr 2017
Svetlana Borovkova, Evgeny Garmaev, Philipp Lammers and Jordi Rustige
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, VU University Amsterdam - Finance, VU University Amsterdam, Finance and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 346 (154,893)
Citation 9

Abstract:

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systemic risk, sentiment analysis, Granger causality

2.

An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification

Number of pages: 27 Posted: 16 Jul 2018 Last Revised: 15 Feb 2019
Svetlana Borovkova and Ioannis Tsiamas
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads 862 (50,780)
Citation 15

Abstract:

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High-Frequency Trading, Deep Learning, LSTM Neural Networks, Ensemble Models

3.

News Analytics for Energy Futures

Number of pages: 18 Posted: 11 Dec 2010 Last Revised: 04 Nov 2014
Svetlana Borovkova
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Downloads 607 (80,201)
Citation 10

Abstract:

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Oil Futures, News, Event Study

4.

Deep Learning Prediction of the EUROSTOXX 50 with News Sentiment

Number of pages: 17 Posted: 13 Oct 2018
Svetlana Borovkova and M. Dijkstra
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 571 (86,868)

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Deep Neural Network, Stock Prediction, Kalman

5.

Spatial GARCH: A Spatial Approach to Multivariate Volatility Modeling

Number of pages: 33 Posted: 17 Nov 2012
Svetlana Borovkova and Rik Lopuhaa
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and Delft University of Technology
Downloads 537 (93,603)
Citation 8

Abstract:

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conditional variance, space-time models, GARCH, weight matrix, maximum likelihood estimation

6.

Systemic Risk and Centralized Clearing of OTC Derivatives: A Network Approach

Number of pages: 56 Posted: 03 Oct 2013 Last Revised: 11 Dec 2013
Svetlana Borovkova and Hicham Lalaoui El Mouttalibi
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads 529 (95,380)
Citation 7

Abstract:

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centralized clearing, interest rate swaps, contagion, systemic risk

7.

The Role of News in Commodity Markets

Number of pages: 41 Posted: 01 Apr 2015
Svetlana Borovkova
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Downloads 492 (104,298)
Citation 4

Abstract:

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News sentiment, commodity markets, event studies, commodity indices, volatility modelling

8.

News Sentiment, Factor Models and Abnormal Stock Returns

Number of pages: 11 Posted: 27 Nov 2015
Svetlana Borovkova and Ding Xiaobo
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads 450 (115,863)
Citation 1

Abstract:

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News sentiment, news analytics, factor models, abnormal returns

9.

News, Volatility and Jumps: The Case of Natural Gas Futures

Number of pages: 32 Posted: 03 Oct 2013
Svetlana Borovkova and Diego Mahakena
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 376 (142,402)
Citation 8

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news sentiment, natural gas futures, state space modelling, Kalman filter, realized variance, Granger causality

10.

Sector News Sentiment Indices

Number of pages: 25 Posted: 05 Dec 2017
Svetlana Borovkova and Philipp Lammers
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam, Finance
Downloads 365 (147,189)

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News sentiment, Sector rotation, Investment strategies

11.

Delta Hedging of Derivatives using Deep Reinforcement Learning

Number of pages: 86 Posted: 18 May 2021 Last Revised: 07 Jun 2021
Alexandru Giurca and Svetlana Borovkova
ABN AMRO - ABN-Amro Bank, The Netherlands and Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Downloads 331 (163,633)
Citation 5

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Deep Reinforcement Learning, Derivatives, Delta Hedging, Optimal Control, Deep Q-Networks, Deep Deterministic Policy Gradient, Risk Management, Transaction Costs

12.

Three-Factor Commodity Forward Curve Model and Its Joint P and Q Dynamics

Number of pages: 41 Posted: 08 Feb 2021
Sergiy Ladokhin and Svetlana Borovkova
VU Amsterdam and Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Downloads 241 (227,525)
Citation 1

Abstract:

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Commodity forward curve, derivatives pricing, oil futures, joint dynamics model, Kalman filter, Brent oil futures

Commodity Forward Curves With Stochastic Time Change

Number of pages: 32 Posted: 06 Jul 2021 Last Revised: 19 Aug 2021
Sergiy Ladokhin, Maren Diane Schmeck and Svetlana Borovkova
VU Amsterdam, Bielefeld University - Center for Mathematical Economics and Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
Downloads 158 (335,734)
Citation 1

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commodity prices, futures, forward curve, stochastic time change, activity rate, activity bond, mean reversion

Commodity Forward Curves with Stochastic Time Change

Number of pages: 32 Posted: 28 Jul 2023
Svetlana Borovkova, Sergiy Ladokhin and Maren Diane Schmeck
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, VU Amsterdam and Bielefeld University - Center for Mathematical Economics
Downloads 37 (793,666)

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commodity prices, futures, forward curve, Stochastic time change, activity rate, activity bond, mean reversion

14.

Electricity Price Modeling with Stochastic Time Change

Number of pages: 36 Posted: 02 Nov 2015
Svetlana Borovkova and Maren Schmeck
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and University of Cologne - Institute of Mathematics
Downloads 129 (390,206)
Citation 11

Abstract:

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electricity prices, stochastic time change, activity rate, mean reversion, jump diffusion

15.

Variational AutoEncoders with Student-t distribution for large portfolios

Number of pages: 38 Posted: 15 Nov 2022
Svetlana Borovkova and Maurits van den Oever
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and affiliation not provided to SSRN
Downloads 126 (397,296)

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Variational Autoencoders, market risk, latent variables, heavy tails, implied volatility

16.

Conic CVA and DVA for Option Portfolios

Van Bakel, S.H.J., Borovkova, S.A., & Michielon, M. (2020). Conic CVA and DVA for option portfolios. International Journal of Theoretical and Applied Finance, 23(5), [2050032]. https://doi.org/10.1142/S0219024920500326
Posted: 07 Jul 2017 Last Revised: 30 Oct 2020
Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon
ABN AMRO Bank N.V., Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and ABN AMRO Bank N.V.

Abstract:

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Conic Finance, CVA, DVA, bid-ask spread, liquidity, commodity option, futures option, distortion function, Wang transform, Black model

17.

Collateralized Commodity Obligations: Rating and Risk Assessment

Posted: 02 Oct 2012
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, SNS Reaal, affiliation not provided to SSRN, NIBC Bank N.V. and affiliation not provided to SSRN

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structured product, commodities, rating, bootstrap, mean reversion