Lilly is an expert in the economics of financial markets, trading practices, and trader conduct with a particular focus on derivatives trading, securities and commodities markets, and analysis of high-frequency trading (HFT) data. For over 18 years, she has been part of specialized economic and forensic research team dedicated to the analysis of commodity and financial markets. She specializes in reviewing complex trading and hedging strategies for internal investigations, regulatory investigations, and litigation.

Lilly work uses data to re-create and examine complex trading strategies and their interactions with the market. She has extensive experience with HFT data sets such as trade capture systems, market transaction data, audit logs, and limit-order-book data from various futures and equities markets. 

She has served as an expert or assisted the testifying expert with many major market manipulation inquiries, regulatory enforcement actions, and trading investigations by the CFTC, SEC, DOJ, European Commission, exchanges, and civil plaintiffs.

Lilly holds an MA in applied economics from Johns Hopkins University and is a CFA Charterholder.

Key Engagements:

  • Expert for an asset management firm in criminal and regulatory investigations and civil proceedings regarding fund performance, hedging, and representations
  • Expert for new management of FTX Trading Ltd. In bankruptcy regarding cryptocurrency trading data analytics and forensics
  • Expert in a multijurisdictional investigation into trading in FX options and exotic products, valuation controls and potential mismarking of positions
  • Consultant for a large investment bank in the first ever SEC enforcement action brought regarding complex structured FX products.  Estimated the impact of undisclosed markups and spreads on proprietary indices and calculated the but-for indices used for official restatement and the calculation of client restitution
  • Expert for a global volatility derivatives dealer in SEC and CFTC investigations into alleged manipulation of the VIX volatility index and related volatility product markets