&quot;In particular, there is no reversion to the mean...  there are going to be literally hundreds of papers exhibiting some reversion to the mean effect.&quot;<p>Okay.<p>I also think you don&#x27;t know what a martingale is. It is impossible to make any expected value betting on martingale movements, by definition. If you believe traders are purely &quot;betting on price movements&quot; of martingales then profit is impossible. So either prices aren&#x27;t martingales or trading is not purely a process of betting on the movements of market-clearing prices. Actually, both assumptions are false.