Current practice in class action litigation entails a series of arbitrary assumptions about fundamental parameters that may not meet Daubert standards of scientific evidence. A new theoretically-grounded microstructure trading model (TMTM) method and arrangement determines retained shares for use in damages calculations for securities fraud cases and complies with Daubert standards. In particular, the TMTM method classifies trades as “buys” or “sells”, as well as estimates trading intensity using the bid-ask spread. The TMTM method has been found to yield more accurate estimates of retained shares than heretofore.
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