SSRNCrypto & DeFi
The flow, not the headline: point-in-time LLM sentiment and the cross-section of cryptocurrency returns *
Headlines scored by LLM within minutes predict cross-sectional cryptocurrency returns with a daily long-short Sharpe of 2.21 until the signal decays.
Featured in No. 138 on 6 Nov 2026 · 3 days after release
- Released
- 3 Nov 2026
- First featured
- No. 138 · 6 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7669918
- Authors
- ALEKSANDR SENKEVICH
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).