The Extremity Premium: Sentiment Regimes and Adverse Selection in Cryptocurrency Markets

Murad Farzulla

Papers from arXiv.org

Abstract: Using the Crypto Fear & Greed Index and Bitcoin daily data, sentiment extremity predicts excess uncertainty beyond realized volatility. Extreme fear and extreme greed regimes exhibit significantly higher spreads than neutral periods -- the "extremity premium." Extended validation on the full Fear & Greed history (2018--2026, N = 2,896) confirms the finding: within-volatility-quintile comparisons show a premium ($p

Date: 2026-02, Revised 2026-07
New Economics Papers: this item is included in nep-fmk and nep-pay
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