Independent Researcher · Singapore

Boon Chuan Lim

Market microstructure, exchange design, and the price impact of institutional flows in equity and cryptocurrency markets.

8
Working Papers
43M+
Tick Records Analyzed
$57B
ETF Flows Studied
2
Open Source Repos
Papers Dashboard Code GitHub
Featured Finding

Bitcoin ETF Flows Create Permanent Price Impact

$100M of ETF inflows causally increases Bitcoin price by 0.20%. Unlike equity markets (Lou 2012), this never reverses — even after 12 months.

+0.20%
per $100M (IV causal)
21.5%
R² (daily returns)
89.5
First-stage F
0 / 11
Horizons with reversal
0.530
Flow autocorrelation
4 / 4
Predictions confirmed
Working Papers on SSRN

Research

01
Liquidity Fragmentation and the Price Impact of ETF Flows: A Model of Cross-Venue Arbitrage in Cryptocurrency Markets
25 pages · Kyle (1985) extension · IV with F=89.5 · Conley bounds · Hansen J
Bitcoin ETFPrice ImpactFragmentation Model
02
The Price Impact of Spot Bitcoin ETF Flows
Empirical companion · 563 trading days · Farside Investors data
Bitcoin ETFEmpirical
03
Random Queue Priority in Continuous Limit Order Books: Evidence from a Large-Scale Controlled Simulation
Submitted to Management Science · Rust dual-engine simulator · 2M+ fills
Market DesignQueue PriorityUnder Review
04
When Is Queue Position Informative? Evidence from 20 NASDAQ Stocks During the April 2025 Tariff Shock
43M Level 3 records · Databento · Panel regression + Benjamini-Hochberg
Queue PositionNASDAQ L3Tariff Shock
05
Order Book Dynamics During the Liberation Day Tariff Shock: Evidence from 20 NASDAQ Stocks
Tick-level event study · Spread, depth, and cancellation dynamics
Order BookEvent Study
06
Did the Supreme Court Restore Order Book Normalcy? Microstructure Evidence from Learning Resources v. Trump
Natural experiment · Difference-in-differences · Tariff vs control stocks
Natural ExperimentDiD
07
Same Shock, Same Assets, Different Microstructure: CeFi vs DeFi Venue Performance During the October 2025 Cryptocurrency Cascade
Cross-venue comparison · Centralized vs decentralized exchanges
CeFi vs DeFiCrypto
08
The Starfall Effect System (SES): A Formal Mathematical Model for Deterministic Card Effect Resolution
Game theory · Mechanism design · Trading card games
Game TheoryMechanism Design
Interactive

Bitcoin ETF Price Impact

Price Impact Calculator
-$1B+$1.4B
+$100M
+0.20%
Predicted Return
$100,195
If BTC = $100K
0.0000195
IV coefficient (t=2.65)
21.5%
R² with controls
Model Predictions — All Confirmed
✓
Linear price impact
Q² insignificant at 5%
t = −1.86
✓
Volatility amplifies impact
Flow × Vol interaction
t = 2.51
✓
Permanent impact (12 months)
No reversal — contrasts Lou (2012)
t = 0.07
✓
Next-day predictability
Autocorrelation = 0.530
t = 2.26
IV Identification
Strength
First-stage F89.5
Conley threshold160% of OLS
Hansen J p-value0.618
Placebo
Predicts Gold?No (t=0.76)
Predicts S&P?No (t=−0.07)
Violation directionConservative
Open Source

Code & Data

btc-etf-price-impact
Replication code for the ETF price impact paper. 563 days of Farside flow data, all regression scripts.
Python · MIT
delta-exchange
Production matching engine in Rust. Random queue priority vs CLOB dual-engine simulator.
Rust · MIT
© 2026 Boon Chuan Lim · Singapore
GitHub · singapore.to