Back-Running: Seeking and Hiding Fundamental Information in Order Flows*
研究了基本面投资者与仅知过去订单流的反向跑者之间的策略博弈，发现反向跑者订单流信息精度提高反而可能损害自身、有利于基本面投资者，并解释了零售订单流付费做法如何泄露机构订单流信息。
Abstract 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 investors counteract back-runners by randomizing their orders, unless back-runners’ signals are too imprecise. Surprisingly, a higher accuracy of back-runners’ order flow information can harm back-runners and benefit fundamental investors. As an application of the model, the common practice of payment for (retail) order flow reveals information about institutional order flow and enables back-runners to earn large profits.