Svetlana Borovkova

An ensemble of LSTM neural networks for high‐frequency stock market classification

Svetlana Borovkova, Ioannis Tsiamas · Journal of Forecasting · 2019 · 203 citations · Full text

Benchmark Models, Machine Learning, Data Science +15

Limit theorems for functionals of mixing processes with applications to $U$-statistics and dimension estimation

Svetlana Borovkova, Robert Burton, Herold Dehling · Transactions of the American Mathematical Society · 2001 · 159 citations · Full text

Spectral Theory, Moment Inequalities, Dirichlet Form +15

A Closed Form Approach to the Valuation and Hedging of Basket and Spread Option

Svetlana Borovkova, Ferry Jaya Permana, Hans van der Weide · The Journal of Derivatives · 2007 · 100 citations

Volatility Modeling, Engineering, Basket Options +18

Electricity price modeling with stochastic time change

Svetlana Borovkova, Maren Diane Schmeck · Energy Economics · 2017 · 99 citations · Full text

Seasonal and stochastic effects in commodity forward curves

Svetlana Borovkova, Hélyette Geman · Review of Derivatives Research · 2006 · 85 citations · Full text

Applied Economics, Forward Curves, Commodity Forward Curves +16