arXiv · arXiv q-fin · 2023
This paper investigates the causes of the FTX digital currency exchange's failure in November 2022. We identify the collapse of the Terra-Luna ecosystem as the pivotal event that triggered a significant decrease in the exchange's liquidity. Analysing on-chain data, we report that FTX heavily relied on leveraging and misusing its native token, FTT, and we show how this behaviour exacerbated the company's fragile finan…
David Vidal-Tomás, Antonio Briola, Tomaso Aste
arXiv · arXiv q-fin · 2024
This paper investigates the cryptocurrency network of the FTX exchange during the collapse of its native token, FTT, to understand how network structures adapt to significant financial disruptions, by exploiting vertex centrality measures. Using proprietary data on the transactional relationships between various cryptocurrencies, we construct the filtered correlation matrix to identify the most significant relations …
Riccardo De Blasis, Luca Galati, Rosanna Grassi, Giorgio Rizzini
arXiv · arXiv q-fin · 2026
Cryptocurrency markets exceed USD 3 trillion in capitalisation, yet practitioners lack an interpretable, channel-decomposed composite for characterising crypto-native systemic stress. We introduce the Aggregated Systemic Risk Index (ASRI), built from four weighted sub-indices -- Stablecoin Concentration Risk (30%), DeFi Liquidity Risk (25%), Contagion Risk (25%, implemented as a TradFi-stress proxy), and Regulatory O…
Murad Farzulla, Andrew Maksakov
arXiv · arXiv q-fin · 2026
Cryptoassets are increasingly entangled with the traditional financial system, and how this activity integrates into national economies and behaves under stress bears on financial stability and the design of public digital money. However, blockchain pseudonymity and the lack of geographic identifiers force existing work to rely on indirect proxies to infer and locate market participants. Here we use a regulatory regi…
Pietro Saggese, Michael Sigmund, Burkhard Raunig, Esther Segalla, Bernhard Haslhofer
arXiv · arXiv q-fin · 2024
Trust mechanisms diverge between centralized and decentralized exchanges, representing distinct sociotechnical governance paradigms. However, quantifying trust dynamics and their redistribution between these architectures remains empirically challenging, limiting understanding of how institutional shocks affect market behavior. The FTX collapse offers a natural experiment to bridge this gap. Through an interdisciplin…
Xintong Wu, Wanlin Deng, Yutong Quan, Lin William Cong, Luyao Zhang
arXiv · arXiv q-fin · 2023
Over the last decade, the cryptocurrency market has experienced unprecedented growth, emerging as a prominent financial market. As this market rapidly evolves, it necessitates re-evaluating which cryptocurrencies command the market and steer the direction of blockchain technology. We implement a network-based cryptocurrency market analysis to investigate this changing landscape. We use novel hourly-resolution data an…
Arnav Hiray, Pratvi Shah, Vishwa Shah, Agam Shah, Sudheer Chava
arXiv · arXiv q-fin · 2022
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and the Triangulated Maximally Filtered Graph (TMFG) evolve from high (15 s) to low (1 day) frequency time resolutions. For each horizon, we test the stability, statistical significance …
Antonio Briola, Tomaso Aste