Transaction flows and holding time scaling laws of bitcoin
Year: 2024
Type: article
Abstract: We study the temporal evolution of the holding-time distribution of bitcoins and find that the average distribution of holding-time is a heavy-tailed power law extending from one day to over at least 200 weeks with an exponent approximately equal to 0.9, indicating very long memory effects . We also report significant sample-to-sample variations of the distribution of holding times, which can be best characterized as multiscaling, with power-law exponents varying between 0.3 and 2.5 depending on bitcoin price regimes. We document significant differences between the distributions of book-to-market and of realized returns, showing that traders obtain far from optimal performance . We also report strong direct qualitative and quantitative evidence of the disposition effect in the Bitcoin Blockchain data. Defining age-dependent transaction flows as the fraction of bitcoins that are traded at a given time and that were born (last traded) at some specific earlier time, we document that the time-averaged transaction flow fraction has a power law dependence as a function of age, with an exponent close to −1.5, a value compatible with priority queuing theory. We document the existence of multifractality on the measure defined as the normalized number of bitcoins exchanged at a given time.
Authors: Didier Sornette, Yu Zhang
Institution: Southern University of Science and Technology
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,450
OpenAlex ID: W4405316242