Sean Lew specializes in regulatory enforcement and litigation involving complex financial economics and data issues. Dr. Lew applies his financial expertise to a range of matters that include antitrust claims in financial markets, improper trading and market manipulation, high-frequency trading and electronic platforms, securities litigation, asset pricing and valuation, equity market structure, and crypto-asset markets. He has significant experience analyzing large proprietary and public datasets, particularly as they relate to electronic order books and transaction data.
Dr. Lew’s experience covers a variety of financial products, including futures, swaps, and vanilla and exotic options, and spans such markets as equities, credit, rates, precious metals, foreign exchange, treasuries, and corporate and government bonds. He also has expertise in crypto-asset markets, including coins/tokens traded on centralized platforms. His recent work includes:
Antitrust claims in financial markets
- Analyzing transaction costs and determinants of the bid-ask spread in financial markets.
- Assessing interaction between broker-dealers and clients across exchange-driven and over-the-counter (OTC) markets.
- Determining the impact of market-specific institutional features that drive benchmark fixings.
Improper trading and market manipulation
- Analyzing spoofing, layering, and other manipulative trading strategies using order book data across equities, futures, and FX electronic platforms.
- Analyzing hedging around different types of barrier options.
- Evaluating execution of large orders and trading around benchmark fixings.
- Evaluating an underwriter’s trades around an IPO.
- Investigating potential fictitious FX trades entered to conceal risk/losses.
High-frequency trading and electronic platforms
- Evaluating how different types of participants impact price discovery and market quality.
- Assessing order types and order matching within a dark pool.
- Evaluating routing logic of execution algorithms that target both lit and dark platforms.
- Analyzing the impact of market-making algorithms on market liquidity, quoted spreads, and price volatility.
- Evaluating “last look” functionality on broker platforms to evaluate their rationale and impact on platform users.
- Reviewing aggressive trading strategies, such as latency arbitrage.
Securities litigation
- Analyzing the efficiency of equities, bonds, and options markets.
- Modeling asset pricing for security returns using industry and other risk factors.
- Conducting event study analyses to address price impact and loss causation.
- Calculating potential damages under Rule 10b-5 and Section 11 claims.
Trading-related damages
- Calculating potential damages associated with a broker dealer’s collateral requirements on a hedge fund’s options portfolio.
- Calculating potential damages associated with early cash exercise of SPAC-related warrants.
Asset pricing and valuation
- Analyzing longitudinal pension fund performance to determine geographic and sector allocation and stock selection within sectors.
- Conducting derivative valuations of credit default swaps (CDS) portfolios.
- Assessing spreads that dealers and end users face in CDS markets.
- Evaluating esoteric instruments such as carbon credit portfolios, oil fields, energy service companies, equipment financing special purpose vehicles, and life insurance contract portfolios.
- Analyzing prevalence of covenant features in private loan credit agreements.
Equity market structure
- Evaluating the SEC’s rule proposal on expanding the registration requirements for dealers and government securities dealers.
- Evaluating the SEC’s rule proposal on prohibiting volume based pricing on securities exchanges.
Crypto-asset markets
- Calculating potential damages associated with various SEC claims.
- Analyzing reaction of crypto prices to different sources of news.
- Modeling price discovery across crypto platforms.
- Analyzing algorithmic market making and arbitrage on crypto platforms.
- Investigating potential wash trading and pump-and-dump schemes.
- Analyzing NFT markets.
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