Showing up on someone's doorstep makes clear who "the rich" are, which of "them" are at least partly to blame for the state of the economy, and creates a much more stark divide between those who grow rich at the expense of others and those who are manipulated, used and left poorer by a system that is unfair even when its operators follow the rules, let alone now.
As a practical effort to address either the economy or those with their hands on its strings, the Millionaires March is hopeless.
As a protest tactic, it's confrontational, theatrical, but rhetorically effective, like Quixote tilting at windmills.
He never can win, and maybe he never should. But seeing him do it gives everyone else ideas.
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Source: live picture, OccupyWallSt.org