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And the article even moreso:

> "We follow all individuals who day traded mini-Ibovespa futures contracts for their first time from 2013 to 2015, a total of 19,646 individuals."

I know nothing about the Brazilian equities market, but it seems like it might be harder to for individuals to reliably make a profit on something heavily traded and fungible (Ibovespa is an index), where you're competing with much bigger players. Smaller stuff might work better--for one person--because it doesn't scale.

I don't know much about the Brazilian equities market per se, but I do know about trading in other markets.

Liquidity is a very important aspect of any market. If you are the largest player in a small market (i.e. it has low liquidity), you are market making, and the problem with that is information asymmetry comes into play: you're trading against people who know stuff you don't know, and they will only trade against you when you're wrong.

If you are in a highly liquid market, the market represents all the information out there, so you need to think about where your informational edge comes from.

Most day traders seem to focus on technical analysis in the belief that there are underlying probabilities that drive market movement and this alone is enough to find an edge.

The linked paper is not one I have read completely yet, but it seems to align with my own experience and those observed elsewhere: that might be true, but you need to find the edge nobody else has seen yet, and that seems to be very difficult and carry some risk.

Exactly. The odds that any random person (or worse, those with <2 years of day trading experience), has a meaningful edge on an index covering 80% of the Brazilian stock market are....not great.

The trick with a lot of smaller markets is that they're easily manipulated. You try to trend-follow and just get exploited by pump-and-dumps.

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