The pattern was exploitable only on the specific days that Jane Street was allegedly manipulating. How would you have figured out, without counterparty information and before noisy sales start dragging down the index, that day X is a manipulation day?
How would you have identified that there's even such a thing as a manipulation day? Do you have a model that tells you the objectively correct number of days a non-manipulated index should be lower at close?
How would you have identified that there's even such a thing as a manipulation day? Do you have a model that tells you the objectively correct number of days a non-manipulated index should be lower at close?