{"id":44587349,"url":"https://github.com/studiofarzulla/sentiment-microstructure-abm","last_synced_at":"2026-02-14T06:15:09.508Z","repository":{"id":321144669,"uuid":"1083761526","full_name":"studiofarzulla/sentiment-microstructure-abm","owner":"studiofarzulla","description":"Real-time crypto market ABM fusing social sentiment with order-book microstructure","archived":false,"fork":false,"pushed_at":"2026-02-06T02:53:33.000Z","size":7329,"stargazers_count":0,"open_issues_count":5,"forks_count":0,"subscribers_count":0,"default_branch":"master","last_synced_at":"2026-02-06T12:04:10.612Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":null,"language":"Python","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/studiofarzulla.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2025-10-26T17:04:58.000Z","updated_at":"2026-02-06T02:53:37.000Z","dependencies_parsed_at":"2025-10-28T03:27:14.690Z","dependency_job_id":"4f0a9ae5-2a4f-431a-9bfb-9ef92480183f","html_url":"https://github.com/studiofarzulla/sentiment-microstructure-abm","commit_stats":null,"previous_names":["studiofarzulla/sentiment-microstructure-abm"],"tags_count":0,"template":false,"template_full_name":null,"purl":"pkg:github/studiofarzulla/sentiment-microstructure-abm","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fsentiment-microstructure-abm","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fsentiment-microstructure-abm/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fsentiment-microstructure-abm/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fsentiment-microstructure-abm/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/studiofarzulla","download_url":"https://codeload.github.com/studiofarzulla/sentiment-microstructure-abm/tar.gz/refs/heads/master","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/studiofarzulla%2Fsentiment-microstructure-abm/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":29438641,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-02-14T05:24:35.651Z","status":"ssl_error","status_checked_at":"2026-02-14T05:24:34.830Z","response_time":53,"last_error":"SSL_read: unexpected eof while reading","robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":false,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2026-02-14T06:15:08.841Z","updated_at":"2026-02-14T06:15:09.503Z","avatar_url":"https://github.com/studiofarzulla.png","language":"Python","funding_links":[],"categories":[],"sub_categories":[],"readme":"# The Extremity Premium\n\n**Sentiment Regimes and Adverse Selection in Cryptocurrency Markets**\n\n[![DOI](https://img.shields.io/badge/DOI-10.5281%2Fzenodo.17989810-blue.svg)](https://doi.org/10.5281/zenodo.17989810)\n[![License: CC BY 4.0](https://img.shields.io/badge/License-CC_BY_4.0-lightgrey.svg)](https://creativecommons.org/licenses/by/4.0/)\n[![Status](https://img.shields.io/badge/Status-With_Editor-yellow.svg)](https://doi.org/10.5281/zenodo.17989810)\n\n**Working Paper DAI-2510** | [Dissensus AI](https://dissensus.ai)\n\n## Abstract\n\nUsing the Crypto Fear \u0026 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 \u0026 Greed history (February 2018--January 2026, N = 2,896) confirms the finding: within-volatility-quintile comparisons show a significant premium (p \u003c 0.001, Cohen's d = 0.21), Granger causality from uncertainty to spreads is strong (F = 211), and placebo tests reject the null (p \u003c 0.0001). The effect replicates on Ethereum and across 6 of 7 market cycles. However, the premium is sensitive to functional form: comprehensive regression controls absorb regime effects, while nonparametric stratification preserves them. We interpret this as evidence that sentiment extremity captures volatility-regime interactions not fully represented by parametric controls---consistent with, but not conclusively separable from, the F\u0026G Index's embedded volatility component. An agent-based model reproduces the pattern qualitatively. The results suggest that intensity, not direction, drives uncertainty-linked liquidity withdrawal in cryptocurrency markets, though identification of \"pure\" sentiment effects from volatility remains an open challenge.\n\n## Key Findings\n\n| Finding | Result |\n|---------|--------|\n| Extremity premium significance | p \u003c 0.001, Cohen's d = 0.21 |\n| Granger causality (uncertainty to spreads) | F = 211 |\n| Replication across assets | Confirmed on Ethereum |\n| Replication across market cycles | 6 of 7 cycles |\n| Placebo tests | Reject null (p \u003c 0.0001) |\n\n## Keywords\n\nextremity premium, sentiment regimes, adverse selection, market microstructure, cryptocurrency, agent-based modeling\n\n## Repository Structure\n\n```\nsentiment-microstructure-abm/\n├── paper/                      # LaTeX source and PDF\n│   ├── main.tex               # Paper source\n│   ├── main.pdf               # Compiled paper\n│   ├── references.bib         # Bibliography\n│   ├── figures/               # Paper figures\n│   └── tables/                # Paper tables\n├── agents/                     # Agent implementations (Market Maker, Informed, Noise, Arbitrageur)\n├── simulation/                 # Mesa ABM environment and matching engine\n├── signals/                    # Signal processing\n├── analysis/                   # Statistical analysis scripts\n├── data_ingestion/             # Binance + Reddit API clients\n├── feature_engineering/        # Microstructure features and sentiment analyzer\n├── monitoring/                 # Dashboard and metrics\n├── demo/                       # Demo scripts\n├── tests/                      # Test suite\n├── config/                     # Configuration files\n├── arxiv-submission/           # arXiv submission package\n├── CITATION.cff\n├── requirements.txt\n└── LICENSE\n```\n\n## Citation\n\n```bibtex\n@article{farzulla2026extremity,\n  author  = {Farzulla, Murad},\n  title   = {The Extremity Premium: Sentiment Regimes and Adverse Selection in Cryptocurrency Markets},\n  year    = {2026},\n  journal = {Dissensus AI Working Paper DAI-2510},\n  doi     = {10.5281/zenodo.17989810}\n}\n```\n\n## Authors\n\n- **Murad Farzulla** -- [Dissensus AI](https://dissensus.ai) \u0026 King's College London\n  - ORCID: [0009-0002-7164-8704](https://orcid.org/0009-0002-7164-8704)\n  - Email: murad@dissensus.ai\n\n## License\n\nPaper content: [CC-BY-4.0](https://creativecommons.org/licenses/by/4.0/)\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fstudiofarzulla%2Fsentiment-microstructure-abm","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fstudiofarzulla%2Fsentiment-microstructure-abm","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fstudiofarzulla%2Fsentiment-microstructure-abm/lists"}