跳至正文
返回文库全部文档

比特币持有时长、交易流与投资者行为

文章 arXiv papers · 作者: Didier Sornette et al.
阅读原文

总结

本研究使用区块链数据考察比特币持有时长及与币龄相关的交易活动。研究报告称，持有时长分布具有厚尾特征：从一天到至少200周的时长范围内，幂律指数均值接近0.9。该分布在不同样本和价格状态间差异显著，指数介于0.3和2.5之间；作者将这种变化称为多重标度。他们还发现，币龄与交易比例之间存在幂律关系，指数接近−1.5，并称其与优先级排队理论相符。

论文比较了账面市值比与已实现收益的分布，报告称交易者的结果远非最优，并发现了处置效应的证据。研究还报告了比特币交易量标准化后随时间变化的多重分形特征。这些发现描述了所分析区块链数据中的总体模式和行为证据；摘录未说明样本构建方式，也未展示这些模式如何转化为可盈利的交易策略。市场状态依赖性以及样本间差异也提醒读者，不应将报告的分布视为固定不变。

核心观点

  • 研究发现，比特币持有时长呈厚尾分布，且不同样本和价格状态之间差异显著。
  • 报告的币龄相关交易流遵循幂律，与优先级排队理论相符。
  • 作者在区块链交易数据中发现了处置效应的证据。
  • 据报告，比特币交易活动标准化后呈多重分形特征。
  • 摘录并未证明这些总体模式能够形成可交易策略。

标签

加密资产链上数据统计学市场微观结构
全文
# 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.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。