Market Micro-structure

An efficient market is inherently an inefficient one.

Encompassing the market exists a dynamic that precedes increases and decreases in volatility, yet for us to engage in that broader dynamic or narrative, we must express our opinion of the market through an internal mechanism that is at centre of that dynamic, however that process is not without friction and can lead to inefficient price action.

Theoretically, through interaction with that mechanism the market is operating at efficiency, however, the internal process of that interaction is not without friction, such friction causes inefficient price distortions and dislocation from that market efficiency.

In other words, the apparatus that allows one to buy or sell through which market balance and value can be achieved, is also responsible for price movement entirely. Volatility isn’t just preceded by shifts of value, but also in part caused by the fact that the process or mechanism which strives to establish market efficiency, is inherently inefficient.

That inefficiency allows us to form the basis of edge extraction and allows us to make money.