Abstract: A system for market identification (SMI) is presented.
The resulting representations are multivariable dynamic demand
models. The market specifics are analyzed. Appropriate models and
identification techniques are chosen. Multivariate static and dynamic
models are used to represent the market behavior. The steps of the
first stage of SMI, named data preprocessing, are mentioned. Next,
the second stage, which is the model estimation, is considered in more
details. Stepwise linear regression (SWR) is used to determine the
significant cross-effects and the orders of the model polynomials. The
estimates of the model parameters are obtained by a numerically stable
estimator. Real market data is used to analyze SMI performance.
The main conclusion is related to the applicability of multivariate
dynamic models for representation of market systems.