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SolveIt comments on Open thread, Aug. 10 - Aug. 16, 2015 - Less Wrong
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Consider the dynamic version of the EMH: that is, rather than "prices are where they should be," it's "agents who perceive mispricings will pounce on them, making them transient."
Then a person placing a dumb trade is creating a mispricing, which will be consumed by some market agent. There's an asymmetry between "there is no free money left to be picked up" and "if you drop your money, it will not be picked up" that makes the first true (in the static case) and the second false.
Well, that looks like an "offering to buy a stock for $1 more than its current price" scenario. You can easily lose a lot of money by buying things at the offer and selling them at the bid :-)
But let's imagine a scenario where everything is happening pre-tax, there are no transaction costs, we're operating in risk-adjusted terms and, to make things simple, the risk-free rate is zero. Moreover, the markets are orderly and liquid.
Assuming you can competently express a market view, can you systematically lose money by consistently taking the wrong side under EMH?
It seems you shouldn't be able to, since if you had such a system you could use the complement strategy (buy everything else) and make money.
You imply that the market is zero-sum. Some markets are, but a lot are not.
Correction: You would beat the market.