[smabie]

It's well known that returns are both not normally distributed (obviously) and not even log-normally distributed (slightly less obvious, but still readily apparent). Moreover, it's pretty obvious that while markets don't conform to any form of EMH, they often trend towards efficiency over time.

This is easy to see in the massive consolidation in the market making space in traditional finance over the last decade and also you can watch it in real-time right now in the crypto space. Even two years ago, it was pretty trivial to be successful as a market maker using quite naive models and a system glued together in Python in a couple days. Today, things have gotten significantly more competitive: many single man operations have become uncompetitive and even larger (3-10 man) and more sophisticated firms are feeling the heat from behemoths like Susquehanna, Jane St, and Jump Trading.

It's amazing how you can feel the crypto market getting more efficient in front or your eyes. It's like running on a treadmill, and you're always terrified it will start going faster than you and your team can run.