Market Manipulation and Market Microstructure

Paul Zurek

Vice President,
Cornerstone Research

Paul Zurek is a financial economist specializing in securities, valuation, financial markets, risk management, and statistical analysis. Dr. Zurek consults to clients at all stages of litigation across a range of industries. He is also an experienced expert witness and provides expert testimony in large, complex matters.

As a consultant, Dr. Zurek leads teams and supports clients and experts in civil litigation, government and regulatory investigations, and international arbitration. He has significant trial experience, in the U.S. (including in state and federal courts and the Delaware Court of Chancery) and internationally (including the Grand Court of the Cayman Islands and the U.K. High Court of Justice). Dr. Zurek also has substantial expertise with shareholder litigation matters involving billions of dollars of claimed damages, including in shareholder matters outside the U.S.

As an expert witness, Dr. Zurek provides testimony on Rule 10b-5, Section 11/12, and Section 14 claims at the class certification and merits stages. He has also opined on security and business valuation. Dr. Zurek has submitted expert reports and declarations that address trading and trade execution, market efficiency, price impact, loss causation, valuation, and damages. He has testified in numerous depositions, and in arbitration and trial, and presented in mediations and regulatory proceedings.

Dr. Zurek has taught corporate finance and valuation courses at Stanford Law School, and taught finance and economics to undergraduates, M.B.A. students, and executives at The Wharton School. He researches, publishes, and presents on securities, investments, and valuation topics. Dr. Zurek coauthored “Market Approach or Comparables”, which appears in multiple editions of the Guide to Damages in International Arbitration, published by the Global Arbitration Review. He contributed a chapter on mutual fund returns and strategies to Commodities: Markets, Performance, and Strategies (Oxford University Press).

Dr. Zurek’s representative experience includes:

Securities

• Addressing issues involving both S. and international securities, including control person and insider trading (Section 20A) claims, and federal Rule 10b-5, Section 11/12, and Section 14 matters
• Analyzing market efficiency, price impact, loss causation, and damages to class members
• Supporting multiple experts in In re BP p.l.c. Securities Litigation, in which the court twice denied class certification on Comcast grounds
• Providing expert testimony in Indiana Public Retirement System v. AAC Holdings, in which class certification was denied for one claim in the securities class action

Valuation, M&A, and bankruptcy

• Valuing companies and financial institutions (including hedge funds and private equity managers, FinTech, medical and pharmaceutical, and other businesses) in commercial disputes, appraisal and bankruptcy proceedings, and arbitrations; experience spans federal and state courts, including the Delaware Court of Chancery, and appraisal matters in the Cayman Islands
• Valuing securities, such as a large portfolio of over-the-counter (OTC) derivatives in an International Swaps and Derivatives Association (ISDA) close-out
• Providing expert testimony at trial in the Delaware Court of Chancery

Financial markets

• Analyzing equity, fixed income, and foreign exchange (FX) markets, both exchanges and OTC markets
• Evaluating alleged fraudulent trading, including developing algorithms to identify unauthorized trading and computing damages
• Assessing high-frequency trading models and examining trading patterns related to alleged market manipulation and short squeezes
• Analyzing transaction execution and issues related to best execution in various instruments
• Analyzing transactions in antitrust matters alleging collusive and manipulative behavior

Risk management and derivatives

• Evaluating market, operational, and compliance risk management procedures at financial institutions
• Quantitatively analyzing risks embedded in financial portfolios using Value-at-Risk (VAR) and simulation methods
• Evaluating risks and returns of hedge fund, private equity, and mutual fund investment strategies
• Assessing rating agency models of default in collateralized debt obligation (CDO) portfolios

Dr. Zurek coheads Cornerstone Research’s M&A, valuation, and bankruptcy practice and has led the firm’s fixed income and derivatives initiatives. He serves on the firm’s risk management and capital funding committees.

Before joining Cornerstone Research, Dr. Zurek worked in M&A at a global investment bank and a consulting company offering business and banking simulations. He also served as a director and on the asset and liability committee of a credit union.

Christine A. Parlour

Sylvan C. Coleman Chair in Finance and Accounting,
Haas School of Business,
University of California, Berkeley

Christine A. Parlour is a finance expert who focuses on market microstructure, limit order markets, cryptocurrencies, FinTech, and payment systems. Professor Parlour provides expert testimony on a range of institutionally complex topics involving financial markets, institutions, market manipulation, cryptocurrency, and regulation. She is the former president of the Western Finance Association and a former member of the Nasdaq Economic Advisory Board. She has also served as visiting economist at the Securities and Exchange Commission (SEC).

For more than twenty years, Professor Parlour has researched issues related to the economics of financial exchanges. She specializes in financial markets, including equity markets, debt markets, and cryptocurrencies. In equity markets, she has examined price dynamics, competition for order flow, payment for order flow, and informed trading. Her research on cryptocurrencies addresses the effect of Central Bank Digital Currency on banking system stability, the costs of settlement on the Bitcoin Ledger, and how initial coin offerings (ICOs) differ from traditional funding.

Widely published, Professor Parlour’s award-winning research has appeared in leading finance and economics journals, including the American Economic Review, the Review of Financial Studies, the Journal of Finance, and the Journal of Financial Economics. She is an editor at the Review of Finance; associate editor of the Journal of Financial Markets, the Journal of Financial Intermediation, and the Journal of Financial Services Research; and a former associate editor of Management Science and the Journal of Finance.

Professor Parlour has taught courses in investment analysis, FinTech, auctions and microstructure, and capital markets. She is a winner of the Haas School’s Earl F. Cheit Award for Excellence in Teaching.

She has held visiting academic appointments at INSEAD, the London School of Economics and Politics, and Paris Dauphine University. Professor Parlour is a past president of the Finance Theory Group.

Erik R. Sirri

Professor of Finance (Emeritus),
Babson College;
Former Director, SEC Division of Trading and Markets;
Senior Advisor, Cornerstone Research

Erik Sirri consults with clients on matters related to asset management, including robo-advising, mutual funds, and exchange-traded products; securities trading, including high-frequency trading; and financial institutions, with a special emphasis on broker-dealer issues. Professor Sirri has extensive experience with regulatory enforcement matters.

Professor Sirri’s research focuses on the interaction of securities law and finance, investment management, securities market structure, and capital markets. From 2006 through 2009, Professor Sirri was director of the Division of Trading and Markets at the U.S. Securities and Exchange Commission (SEC), where he was responsible for matters related to the regulation of stock and options exchanges, national securities associations, brokers, dealers, clearing agencies, and credit ratings agencies. He served as chief economist of the SEC from 1996 through 1999, and was an assistant professor of finance at Harvard Business School from 1989 to 1995.

Professor Sirri’s writings have been published in the Review of Financial Studies, the Journal of Finance, the Journal of Financial Markets, the Journal of Financial and Quantitative Analysis, and other journals and books. He has served on the boards of securities exchanges, mutual funds, industry associations, and foundations. Professor Sirri has consulted for securities firms, stock exchanges, mutual fund companies, issuers, and information vendors on a variety of regulatory and business matters.