The trading profits of SOES bandits1Most of the work on this paper was completed when both of the authors were at Ohio State University. We are grateful to the Summer Grant Program at Notre Dame and to the Charles A. Dice Center at The Ohio State University for financial support and to workshop participants at Ohio State University, the University of Georgia, and Penn State University for comments. Suggestions by the G. William Schwert (the editor) and the referee also proved very helpful. The authors retain full responsibility for any errors.1