generalization of [2]. There are three types of agents: noisy/liquidity traders, an informed trader (insider), and competitive market makers, all of whom are risk neutral. The agents differ in their information sets, and objectives, as follows. As in [7], I assume that market makers set the price as a function of weighted total order process at time t , i.e. I consider pricing functionals P ( Y$_{[0}$$_{,t}$$_{]}$, t ) of the following form where w ( s ) is some positive deterministic function. where A ( H, w ) is the set of admissible trading strategies for the given price functional H ( ∫ t 0 w ( s ) dY$_{s}$, t ) which will be defined later. That is, the insider maximizes the expected value of her final wealth X θ $_{1}$, where the first term on the right hand side of equation (2.2) is the contribution to the final wealth due to a potential differential between price and fundamental at the time of information release, and the second term is the contribution to final wealth 5 sup θ ∈A ( H,w ) E [ X θ 1 ] = sup θ ∈A ( H,w ) E [ ( f ( Z$_{1}$ ) − P$_{1}$ ) θ$_{1}$ + ∫ 1 0 θ$_{s}$$_{−}$dP$_{s}$ ] (2.2) P ( Y$_{[0}$$_{,t}$$_{]}$, t ) = H (∫ t 0 w ( s ) dY$_{s}$, t ) . P ( Y$_{[0}$$_{,t}$$_{]}$, t ) = P$_{t}$ = E [ f ( Z$_{1}$ ) |F M t ] . (2.1) • Noisy/liquidity traders trade for liquidity reasons, and their total demand at time t is given by a standard Brownian motion B 2 t independent of B 1 and v . • Market makers observe only the total market order process Y$_{t}$ = θ$_{t}$ + B 2 $_{t}$, where θ$_{t}$ is the total order of the insider, i.e. their filtration is F M t = ¯ F Y t . Since they are competitive and risk neutral, on the basis of the observed information they set the price as • The informed investor observes the price process P$_{t}$ = H ( ∫ t 0 w ( s ) dY$_{s}$, t ) and the true firm value Z$_{t}$ , i.e. her filtration is given by F I t = ¯ F Z,P t . Since she is risk-neutral, her objective is to maximize the expected final wealth, i.e.