  Empirical evidence suggests that even the most competitive markets are not
strictly efficient. Price histories can be used to predict near future returns
with a probability better than random chance. Many markets can be considered as
{\it favorable games}, in the sense that there is a small probabilistic edge
that smart speculators can exploit. We propose to identify this probability
using conditional entropy concept. A perfect random walk has this entropy
maximized, and departure from the maximal value represents a price history's
predictability. We propose that market participants should be divided into two
categories: producers and speculators. The former provides the negative entropy
into the price, upon which the latter feed. We show that the residual negative
entropy can never be arbitraged away: infinite arbitrage capital is needed to
make the price a perfect random walk.
