By the way, your description of profits dropping for market participants reminds of the concept you may find interesting. Here’s an example of P&L dynamics: A

By the way, your description of profits dropping for market participants reminds of the concept you may find interesting. Here’s an example of P&L dynamics: At time t, your throw an unbiased coin. If it comes out heads your wealth multiplies by 0.6 with probability 0.5, or if it comes up tails, your wealth multiplies by 1.5 with probability 0.5. Now you could simulate this process and take two averages. One is an ensemble average, averaging over many trajectories (of many participants) at a pre-defined time step t. The other average is a time average (what happens to a a single trajectory picked at random over time). You may find the result interesting and close to what you’ve just described. This result is because of the process being non-ergodic; but it exhibits a few “winner takes all” and has nothing to do with the properties of the winners. It is a purely random property. An illuminating exercise. There are quite a few other results like this one from the field of stochastic processes that relate volatility bounds to your expected P&L, etc.