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I was playing around with some models, and I'm able to predict a stock's current price based on the current prices of other stocks. This model is extremely accurate, although I can't see any use of this. If I wanted to know a stock's current price I would just grab it from the market, not derive it from other stock prices.

Does anybody know if a model that does this has any utility at all? Thanks.

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    $\begingroup$ Probably it does not have any trading value. But you could investigate whether the forecast error has any predictive value for the future market price. If the market and the model disagree, who will turn out to be right? Most likely the market is right, but you can hope that the market is wrong and will correct towards the current model value in the next period. Not too likely, but might be worth investigating empirically. $\endgroup$
    – nbbo2
    May 27 at 1:38
  • $\begingroup$ @nbbo2 yeah that was my initial idea, although it turns out to be too accurate to even test for that. I think the best hope is to do something like an Arbitrage Pricing Theory model with it, although I'm not sure how that would work since the model predicts current price and not expected returns. $\endgroup$
    – user708873
    May 27 at 2:16

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You can provide estimates for missing data. Backfilling / interpolation of market time series is a common problem in the industry.

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Adding on to Kermittfrog's answer: it might be that you only have cash close prices for stocks that trade in different time zones, hence you only have asynchronous daily prices which you might need to make aligned for various purposes.

If the model works on tick level and since stocks do not tick synchronously, you can predict the next price on stocks that have not yet "ticked". It could be that it works better (or worse) on stocks that have fewer price updates per time unit.

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