Bitcoin Holding Times, Transaction Flows, and Investor Behavior

Summary

This study examines Bitcoin holding durations and age-dependent transaction activity using blockchain data. It reports a heavy-tailed holding-time distribution, with an average power-law exponent near 0.9 across durations from one day to at least 200 weeks. The distribution varies substantially across samples and price regimes, with exponents between 0.3 and 2.5; the authors characterize this variation as multiscaling. They also find a power-law relationship between a coin’s age and the fraction traded, with an exponent near −1.5, which they say is compatible with priority queuing theory.

The paper compares book-to-market and realized-return distributions, reports that trader outcomes are far from optimal, and identifies evidence of the disposition effect. It also reports multifractality in the normalized volume of Bitcoin exchanged over time. These findings describe aggregate patterns and behavioral evidence in the analyzed blockchain data; the excerpt does not specify the sample construction or show how the patterns translate into a profitable trading strategy. Regime dependence and sample-to-sample variation also caution against treating the reported distributions as fixed.

Key ideas

• Bitcoin holding durations follow a heavy-tailed distribution in the study, with substantial variation across samples and price regimes.
• The reported age-dependent transaction flow follows a power law compatible with priority queuing theory.
• The authors find evidence of the disposition effect in blockchain transaction data.
• Normalized Bitcoin exchange activity is reported to be multifractal.
• The excerpt does not establish that these aggregate patterns create a tradable strategy.

Tags

# Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin


# Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin









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.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.