Arun Sen

Arun has experience with analysis in various areas relevant to litigation, involving topics such as statistical analysis of equity trading data, valuation of structured products, and quantitative analysis of derivatives. Arun has developed novel approaches for the analysis of causation in securities class actions, including a method that uses equity options data in conjunction with event studies; this work has been published in a law review article and cited in multiple federal circuit court decisions. In the area of derivatives, Arun has worked on projects involving the valuation and analysis of numerous types of derivatives, including credit default swaps, interest rate swaps, and options.

Arun has submitted expert reports and affidavits in litigation and been deposed multiple times, both at the state and federal levels, testified in federal court, submitted an expert report to a court for a criminal trial, and co-authored expert reports submitted to federal agencies. His research has been published in peer-reviewed trade publications and law reviews.

Arun’s professional experience includes projects where he has:

• Conducted analysis of stock price movements for a variety of shareholder class actions. Performed statistical studies of stock price efficiency and devised novel approach to use option price data to help analyze causation of stock price declines.
• Built a model based on option-theoretic approach to value preferred stock. Analysis required simultaneous solution to a system of nonlinear equations to model the price of barrier options. Model applied to determine preferred stock damages involving a major mortgage underwriter.
• Directed statistical analysis to estimate the price impact of a large purchase of shares of stock, in a project involving a dispute over the cost of acquiring a controlling stake in a company.
• Conducted statistical analysis of the bid-ask spread in the credit default swap and interest rate swap markets as part of major antitrust lawsuits.

Select Expert Witness Work

• Expert report, in United States District Court, Southern District of Indiana, in U.S. v. William Eric Meek and Bobby Lee Peavler, regarding loss causation in the price drop of the stock of a major trucking company, on behalf of CFO. Government dismissed charges before trial. 2022.
• Expert reports (initial and rebuttal) and deposition, in Circuit Court of Cook County, Illinois County Department, Chancery Division, in Sheldon Langer et al. v. CME Group, Inc. et al., regarding dispute over cause of decline in value of member seats of major securities exchange. 2023.
• Expert report, deposition, and court testimony, in United States District Court, Northern District of Illinois, in Securities and Exchange Commission v. SBB Research Group, LLC et al., regarding dispute over valuation of structured notes containing complex embedded options. 2023-2024.

Select Publications

• A. Sen. “On Solving the Minimization of Portfolio VAR as a Nonlinear Program.” Working paper, 2018.
• F. Dunbar and A. Sen. “Counterfactual Keys to Causation and Damages in Shareholder Class-Action Lawsuits.” Wisconsin Law Review: 2009.
• A. Sen and D.F. Shanno. “Optimization and Dynamical System Algorithms for Finding Equilibria of Stochastic Games.” Optimization Methods and Software 23 (6): 975-993, December 2008.
• A. Sen. “An Optimization Approach to Computing the Implied Volatility of American Options.” Optimization Online, 2005.
• H.Y. Benson, A. Sen, and D.F. Shanno. “Interior-Point Algorithms, Penalty Methods and Equilibrium Problems.” Computational Optimization and Applications 34: 155-182, 2005.