This begs the question of whether or not the more established profs are successfully identifying profitable anomalies in the first place.
For example, I swear I recall reading somewhere about how physicists and mathematicians tend to make their break-through discoveries earlier in their careers. Once they're a bit older and more established, they generally don't hit those same heights again.
A few elements to consider:
First, you never really know if its an ongoing or temporary anomaly -- so you may eventually publish as it begins to fade.
2nd, some identified anomalies work better as marketing for products than they do as true trading insight. Consider a well tested investing advantage that provides an annualized 50 or even 150 basis point advantage versus the S&P500 over 10 years. What do you do with that? They may outperform, but any advantage to the discoverer is contingent on attracting significant assets. So you write a book ("Dogs of the Dow"), sell a newsletter (StockTrader's Almanac "Sell in May"). Maybe you can even create a mutual fund firm (Wisdon Tree) for it.
If you discover a genuine, very significantly outperforming algorithm -- think Jim Simons and Renaissance Capital -- you keep outpeforming year after year, donate tons of money to your favorite chartities, and publish posthumously.
Commenting by HaloScan
