Briola, Antonio;
Vidal-Tomás, David;
Wang, Yuanrong;
Aste, Tomaso;
(2023)
Anatomy of a Stablecoin's failure: The Terra-Luna case.
Finance Research Letters
, 51
, Article 103358. 10.1016/j.frl.2022.103358.
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Abstract
We quantitatively describe the main events that led to the Terra project’s failure in May 2022. We first review, in a systematic way, news from heterogeneous social media sources; we discuss the fragility of the Terra project and its vicious dependence on the Anchor protocol. We hence identify the crash’s trigger events, analysing hourly and transaction data for Bitcoin, Luna, and TerraUSD. Finally, using state-of-the-art techniques from network science, we study the evolution of dependency structures for 61 highly capitalised cryptocurrencies during the down-market and we also highlight the absence of herding behaviour analysing cross-sectional absolute deviation of returns.
| Type: | Article |
|---|---|
| Title: | Anatomy of a Stablecoin's failure: The Terra-Luna case |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.frl.2022.103358 |
| Publisher version: | https://doi.org/10.1016/j.frl.2022.103358 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| UCL classification: | UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science UCL > Provost and Vice Provost Offices > UCL BEAMS UCL |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10156467 |
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