Yes, in that respect it's like physics - by measuring you are altering the experiment.
The volume on the day the reports came out was quite heavy, but if you had bought a substantial amount of stock it would certainly alter the market as you say. The point is that I'm pretty certain there are holes that will allow you to look at historic data and make statistically good buys - but you have to look where noone else is looking. Like the correlation of Nokia stock to the Finnish weather. Some of these will be large enough that you can make money, even though you alter the experiment.
On an unrelated note - I just read through your blog and found it very insightful :-)
There's so much money to be made in the stock market (most of the money on Earth) and so many people searching for that data with so much resources (including math PhDs by the hundreds, some of whom I know) that looking somewhere nobody else is is virtually impossible. You're much better off focusing on your career and buying ETFs.
The volume on the day the reports came out was quite heavy, but if you had bought a substantial amount of stock it would certainly alter the market as you say. The point is that I'm pretty certain there are holes that will allow you to look at historic data and make statistically good buys - but you have to look where noone else is looking. Like the correlation of Nokia stock to the Finnish weather. Some of these will be large enough that you can make money, even though you alter the experiment.
On an unrelated note - I just read through your blog and found it very insightful :-)