The absence of linear autocorrelation in asset price movement has been empirically observed countless times. It is usually accompanied by an explanation that goes something like this:
If there was linear autocorrelation in the price movement of a particular asset, it would be exploited by traders, causing the autocorrelation to vanish. Therefore it doesn’t exist.
I don't see why these observations wouldn't support the opposite conclusion. The logic is as follows:
Let's assume for sake of contradiction that the above statement is true. Now suppose we currently observe no linear autocorrelation in the market. Any strategy that attempts to exploit autocorrelation if it isn't present would not be profitable. Therefore they aren't being used at the moment. But if they aren't being used at the moment, and we are assuming they are the reason autocorrelation doesn’t exist, we should see a reversion to an autocorrelated price. Since we don’t observe this reversion, these strategies cannot be the reason for an absence of autocorrelation in prices.
Since this is a rather obvious idea I'm assuming its wrong but I'm not exactly sure why. I was wondering if someone could help direct me to an explanation for why the first conclusion is in fact more likely.