Svetlana Borovkova

Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration

Associate Professor

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

  • Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 12,919

SSRN RANKINGS

Top 12,919

in Total Papers Downloads

5,979

SSRN CITATIONS
Rank 19,963

SSRN RANKINGS

Top 19,963

in Total Papers Citations

20

CROSSREF CITATIONS

32

Scholarly Papers (17)

Actions:
Email selected abstracts
1.

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 825 (46,347)
Citation 7

Abstract:

Loading...

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

2.

SenSR: A Sentiment-Based Systemic Risk Indicator

Downloads 796 (48,670)
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 518 (83,755)
Citation 3

Abstract:

Loading...

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 278 (169,426)
Citation 7

Abstract:

Loading...

systemic risk, sentiment analysis, Granger causality

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 575 (74,326)
Citation 8

Abstract:

Loading...

Oil Futures, News, Event Study

4.

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 509 (86,460)
Citation 7

Abstract:

Loading...

centralized clearing, interest rate swaps, contagion, systemic risk

5.

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 504 (87,586)

Abstract:

Loading...

Deep Neural Network, Stock Prediction, Kalman

6.

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 499 (88,650)
Citation 8

Abstract:

Loading...

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

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 463 (96,905)
Citation 4

Abstract:

Loading...

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 428 (106,260)
Citation 1

Abstract:

Loading...

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 342 (136,956)
Citation 7

Abstract:

Loading...

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

10.

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 304 (155,124)
Citation 4

Abstract:

Loading...

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

11.

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 294 (160,640)

Abstract:

Loading...

News sentiment, Sector rotation, Investment strategies

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 165 (276,473)

Abstract:

Loading...

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

13.

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 112 (372,900)

Abstract:

Loading...

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 105 (390,004)
Citation 4

Abstract:

Loading...

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 58 (548,624)

Abstract:

Loading...

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:

Loading...

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
Svetlana Borovkova, Hidde Bunk, Willem-Jan de Goeij, Dimitar Mechev and Dirk Veldhuizen
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

Abstract:

Loading...

structured product, commodities, rating, bootstrap, mean reversion