We model the strategic interaction between fundamental investors and "back-runners,'' whose only information is about the past order flow of fundamental investors. Back-runners partly infer fundamental investors' information from their order flow and exploit it in subsequent trading. Fundamental...

With reference to the class of asset pricing models with a market maker and mean-variance optimization of speculative agents, the note seeks to clarify the concepts behind the price adjustment rule, which are often treated somewhat carelessly in this literature. Calling attention to the...