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What are some common methods in determining fair value of a stock, from market data only, in real-time, as close to instantaneous as possible?

The kind of pricing that algorithmic trading engines would use.

(This should be from the information contained in market data only. That is, not taking into account fundamental analysis or news/sentiment analysis)

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  • $\begingroup$ If you are talking about stock price traded today, I would say that is based on supply and demand, which also factors in the news or other information. However, you can do fundamental analysis to discover the true value, and then make potential future profit, if you have a good faith for your analysis and your true value if far from the traded price. $\endgroup$ – Gordon May 12 '16 at 13:55
  • $\begingroup$ @Gordon - Thanks for the comment! I'm looking for common methods which can calculate fair value in real-time, near instantaneous - I'll update the question $\endgroup$ – Steve Lorimer May 12 '16 at 15:11
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    $\begingroup$ Such trading strategies, if profitable, are proprietary. I do not think anyone is willing to make them public here. $\endgroup$ – Gordon May 12 '16 at 17:38
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    $\begingroup$ To me by definition "fair value" involves using fundamentals. If you are interested in strategies involving price only, you could read about momentum trading, pairs trading or stat arb; that might give you some ideas to get started, although these methods are by know too well known to be profitable... $\endgroup$ – Alex C May 13 '16 at 1:51
  • $\begingroup$ What is your concept of "Fair Value"? This may sound like an odd question, but the only demonstrable fair value is the current trade price of the stock in the market. Anything else would be a presumed value that would effectively present an arbitrage opportunity. I am assuming that arbitrage is what you would want to trade. There are uncountable ways to calculate that presumed value. What is yours? $\endgroup$ – drobertson May 17 '16 at 18:08

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