Multi-Scale Sentiment and Market Microstructure: An Agent-Based Framework for Cryptocurrency Markets

Abstract

Multi-scale sentiment analysis framework for agent-based modeling of cryptocurrency market microstructure. Blends institutional macro signals (ASRI framework) with retail micro signals (CryptoBERT with MC Dropout). In stylized simulation, multi-scale blending reduces volatility from 877% to 5.8% (p=0.013) and spreads from 147 to 3.5 bps (p<0.001) compared to single-source sentiment.

Suggested Citation

BibTeX

@misc{farzulla2025_sentiment_abm,
  author       = {Farzulla, Murad},
  title        = {Multi-Scale Sentiment and Market Microstructure: An Agent-Based Framework for Cryptocurrency Markets},
  year         = {2025},
  howpublished = {ASCRI Working Paper DAI-2510},
  doi          = {10.5281/zenodo.17989810},
  url          = {https://systems.ac/3/DAI-2510}
}

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