The resolution is elegant: markets exist in a state of dynamic equilibrium where they are efficient enough that most participants cannot profit from information gathering, but inefficient enough that the most skilled participants can still earn returns that compensate them for their efforts.

The returns earned by sophisticated investors are, in theory, compensation for information gathering and analysis. In practice, they also include profits extracted through structural advantages—co-location and speed—that offer zero benefit to price discovery.

Who pays? The traders without edge. The uninformed. The slow. The weak.