An efficient market requires a martingale condition, and unless the variance is linear in the time this produces nonstationary increments, x(t+T)-x(t)≠x(T)-x(0). Martingales are Markovian at the level of pair correlations, meaning that pair correlations cannot be used to beat a martingale market. Stationary increments with nonlinear variance, on the other hand, induce the longtime pair memory of fractional Brownian motion that would make the market beatable at the level of pair correlations. Such a market would necessarily be far from "efficient".