The Extremity Premium: Sentiment Regimes and Adverse Selection in Cryptocurrency Markets
Version note · 19 September 2026
An empirical revision was prepared in September 2026. This download remains the older public manuscript; it must not be used as evidence for the withdrawn ABM mechanism or decomposition. The replacement submitted to arXiv is a separate version.
Summary
Historical preprint examining cryptocurrency sentiment extremity and estimated bid–ask spreads. The empirical relationship depends on specification. The original agent-based model does not independently establish the mechanism built into its rules, and the associated mechanism and decomposition claims have been withdrawn.
Suggested citation
Murad Farzulla (2026). The Extremity Premium: Sentiment Regimes and Adverse Selection in Cryptocurrency Markets. Dissensus Working Paper DAI-2510. DOI: 10.21203/rs.3.rs-8802783/v1
Methodology
Sentiment regime analysis
Estimated spread proxies
Specification and sensitivity analysis
Topics
Financial Markets
Cryptocurrency
Agent-Based Modeling