The Extremity Premium — Sentiment Regimes and Adverse Selection in Cryptocurrency Markets
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摘要
Using the Crypto Fear & Greed Index and Bitcoin (and ETH) market data, the paper documents an "extremity premium": extreme sentiment regimes (extreme greed or extreme fear) are associated with materially higher uncertainty and wider estimated spreads than neutral regimes, an effect that survives multiple robustness checks including within-volatility-quintile stratification and cross-asset replication [page::0][page::14][page::28].
