If <i>you</i> knew anything about academia, or if you even bothered to carefully read my post instead of nitpicking, you would understand that just because something is in general true, doesn&#x27;t mean that there won&#x27;t be hundreds of papers showing how this thing fails to be true in special cases, or to a very small extent.<p>Regarding martingales, a martingale is defined relative to an information set (<i>you</i> know what a martingale is so you already knew that, right?).  Saying that there is no reversion to the mean implies being a martingale with respect to the weakest possible information set (the history of prices).  Traders, whether high frequency or others, may have extra information outside this information set.<p>In short, stop nitpicking and revise your understanding of what a martingale is.