Independent Researcher · Singapore
Boon Chuan Lim
Market microstructure, exchange design, and the price impact of institutional flows.
SSRN
GitHub
Live Exchange
Latest Data — Apr 14, 2026
+$2M
Last ETF Flow
+0.003%
Model Predicted
-0.408%
Actual BTC Return
$76,296
BTC Price
2026-05-01
77%
Sign Accuracy (30d)
$56,752M
Cumulative Inflow
564 trading days
Working Papers
Research
01
Liquidity Fragmentation and the Price Impact of ETF Flows: A Model of Cross-Venue Arbitrage in Cryptocurrency Markets
April 2026 · 25 pages · Kyle (1985) extension + IV
Bitcoin ETF
Price Impact
IV: F=89.5
6567058
02
The Price Impact of Spot Bitcoin ETF Flows
April 2026 · Empirical companion
Bitcoin ETF
Empirical
6564338
03
Random Queue Priority in Continuous Limit Order Books
April 2026 · Submitted to Management Science
Market Design
Under Review
6554981
04
When Is Queue Position Informative? Evidence from 20 NASDAQ Stocks
April 2026 · 43M Level 3 records
Queue Position
NASDAQ L3
6561938
05
Order Book Dynamics During the Liberation Day Tariff Shock
April 2026 · Event study · 20 NASDAQ stocks
Order Book
Tariff Shock
6562258
06
Did the Supreme Court Restore Order Book Normalcy?
April 2026 · Natural experiment · DiD
Natural Experiment
Supreme Court
6562501
07
Same Shock, Same Assets, Different Microstructure: CeFi vs DeFi
April 2026 · Cross-venue comparison
CeFi vs DeFi
Crypto
6559300
08
The Starfall Effect System (SES)
April 2026 · Game theory · Mechanism design
Game Theory
6566539
Featured Result
Bitcoin ETF Price Impact
Price Impact Calculator
Net ETF Flow ($M)
-$1,000M
+$1,400M
+$100M
OLS
IV
+0.20%
Predicted Return
$100,195
If BTC = $100K
0.0000195
IV (t=2.65)
21.5%
R² with controls
Model Predictions — All Confirmed
✓
Linear price impact
Q² insignificant at 5%
t = −1.86
✓
Volatility amplifies
Flow × Vol positive
t = 2.51
✓
No reversal (12 months)
Contrasts Lou (2012)
t = 0.07
✓
Next-day predictability
Autocorrelation = 0.53
t = 2.26
IV Identification
Instrument Strength
First-stage F
89.5
Conley threshold
160% of OLS
Hansen J p-value
0.618
Placebo Tests
Predicts Gold?
No (t=0.76)
Predicts S&P?
No (t=−0.07)
BTC-specific?
Yes
Open Source
Code & Data
btc-etf-price-impact
Replication code + 563 days of ETF flow data
delta-exchange
Rust matching engine with random queue priority