Svetlana Borovkova

Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration

Associate Professor

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 13,196

SSRN RANKINGS

Top 13,196

in Total Papers Downloads

3,556

CITATIONS
Rank 21,474

SSRN RANKINGS

Top 21,474

in Total Papers Citations

21

Scholarly Papers (13)

1.
Downloads 573 ( 45,958)
Citation 3

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 428 (65,520)
Citation 2

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 145 (198,875)
Citation 1

Abstract:

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systemic risk, sentiment analysis, Granger causality

2.

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 444 (63,283)
Citation 6

Abstract:

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centralized clearing, interest rate swaps, contagion, systemic risk

3.

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 443 (63,467)

Abstract:

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

4.

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 435 (64,882)
Citation 2

Abstract:

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Oil Futures, News, Event Study

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 341 (86,399)
Citation 5

Abstract:

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

6.

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 314 (94,636)

Abstract:

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

7.

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 260 (115,779)
Citation 5

Abstract:

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

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 258 (116,720)
Citation 1

Abstract:

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News sentiment, news analytics, factor models, abnormal returns

9.

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 194 (154,149)

Abstract:

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Deep Neural Network, Stock Prediction, Kalman

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 133 (212,558)

Abstract:

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News sentiment, Sector rotation, Investment strategies

11.

Conic CVA and DVA for Option Portfolios

Number of pages: 24 Posted: 07 Jul 2017 Last Revised: 25 Sep 2017
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.
Downloads 83 (294,489)
Citation 1

Abstract:

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Conic Finance, CVA, DVA, bid and ask pricing, liquidity, futures options, distortion function

12.

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 78 (305,618)
Citation 2

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

13.

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