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, we document that sentiment extremity predicts excess uncertainty beyond realized volatility. Extreme fear and extreme greed regimes exhibit significantly higher spreads than neutral periods -- a phenomenon we term the "extremity premium." Extended validation on the full Fear & Greed history (February 2018--January 2026, N = 2,896) confirms the finding: within-volatility-quintile comparisons show a significant premium (p

Date: 2026-02, Revised 2026-02
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2602.07018 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2602.07018

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().