This chapter discusses the difference between arbitrage and innovation, the unpredictability of innovation, and the four uncertainties: technological feasibility uncertainty, commercial value uncertainty, related technology uncertainty, and uncertainty brought about by politics, culture, and policies. The uncertainties of innovation means there cannot be a unified plan for innovation. Instead, innovation relies on the special skills and expertise of entrepreneurs. Innovation can only come from decentralized decisions, with each entrepreneur making his own judgment and the market determining the winner and loser. The market itself is an error correction mechanism. It can encourage the most creative and ambitious people to create wealth for society, but also guarantees that these people (entrepreneurs) do not bring about fatal disasters.