I'm a graduating PhD student looking into quant finance. Popping the cherry with this post, since its something I actually know about
I've played poker and blackjack for the last 5 years.
In Blackjack you can gain up to approximately a 5% edge per bet depending on the count. Exploiting that edge requires lots of time at the tables, good risk management (Kellys criterion), and a bankroll. A bankroll of less than $100,000 and your expected win rate is approx. $50 per hour. I've personally broken even over a couple of years.
In Poker, a great player can gain up to approximately a 15% edge, with the edge decreasing as you move up in stakes and players get better. I think a *very* few number of professional poker players make more than $200,000 a year which seems commonplace in finance. I've made a few thousands over the last two years, ~10% return on capital investment. Nevermind the money I could have made working at starbucks instead of those countless hours at the tables.
My intuition says that the rules and structure of gambling games are restrictive enough as to negate the abilities of a person with superior intellect. I think that the market and finance offer more opportunities to be creative in collecting, analyzing, and acting on information in order to get a decent edge, and at much higher stakes.
Comparing the market to poker, its like everyone, beginners (fish) and experts (sharks), are always playing at the same poker table. So you can take advantage of beginners in larger volume, whereas to get high-stakes action in poker you are going to have to sit at the tables only with pros. Maybe a similar phenomenon occurs in the market when you are forced to deal in volume.