I mean - of course the entirety of financial markets are not zero sum - it would indeed be almost lunacy to claim that :) My point is that there's a big part of the financial markets that _are_ zero-sum - not that all financial markets are. One can argue about EMH and that the zero-sum games are in fact injecting information into the market by providing better price discovery, and that is indeed an argument - but one is left with the intellectually unsatisfying statement of "Well, anything the market does is information extraction, and the market is an information extraction machine, so prima facie, it works" - which is basically restating the EMH axiom.

For example, the added value provided by sub-millisecond arbitrage between NY and Chicago - while making the prices converge a fraction of a millisecond faster, makes the overall set of people playing that game in excess of 1B USD in aggregate. I'd argue that such a ratio of profit vs value-added gain is very bad, bordering on 0 - thus making that effectively a zero-sum game.