> You can't buy $InfinteMoney$ worth of stock X in a single transaction, you end up moving the stock price as you buy/sell. This allows others to respond to your activity. At small scales, a system that appears to work will break down at large scales.

OK, true it doesn't work up to infinity, but given how much money there is on the Wall Street, I would imagine that when your activities are big enough to move the market, you are way past the point of wondering what you can and what you cannot afford (say $1B+ not to be too vague). Especially given how many instruments there are out there.