I have this theory that small transaction size actually confers a small advantage. You never have to worry about having enough orders on the other side of the transaction, thus you can do any transaction at the lowest price offered. Whereas big bid orders are basically the average price of the N lowest offer prices. I have no facts or experience on this, just a theory.

In other words there may be profitable techniques that are impossible for the big boys to use, simply because they can't be bothered with tiny investments.

Also, I thought you could eliminate transaction costs using a broker like zecco. Such a broker might invalidate my above theory though, if it were true.