[sseveran]

So if you think about any opportunity in the market you are bounded by how much liquidity is available at a price level that is mispriced. In many cases the size (or capacity) is correlated pretty closely this what the expected duration of a trade is and the size of the mis-pricing. In my example of a futures contract that is not very liquid as you move into the market and buy contracts you will naturally move the price such that the price moves to the level you were expecting it to. This limits how much capital can be deployed in an single trade.

Bloomberg wrote about smaller shops a few months ago: http://www.bloomberg.com/news/articles/2016-03-16/barbarian-...

I run a strategy currently which consistently is profitable. I know others that do as well. What I run currently is work that came out of starting an automated trading shop so my partner and I have a considerable amount of infrastructure at our disposal that others just starting might not. I currently work elsewhere in finance but may return to it full time when what I am working on now either succeeds or fails. There have been a proliferation of 2 - 5 person shops that are typically pretty secretive about what they do. Several people I know in different ones don't even say that they have a job on linked in.

That being said there is a lot more available off the shelf things available now (Quantopian,etc...) then there was 5 years ago when I tried.

To your last point going to different markets is not just something that individuals can do. There are for instance HFT firms that started trading in places like brazil given the competitiveness of US markets. Markets are only long run efficient.