Wybrane metody wykrywania skoków cen na rynku energii elektrycznej
Some methods of electricity price jump detection

Summary/Abstract: An important feature of commodity markets is an occurrence of rapid price changes. Jumps or spikes are more frequent and sharper on energy markets than on other commodity or financial markets. We applied four jump detection methods based on: quantiles, the Tukey criterion, the recursive filter of prices and the nonparametric Barndorff–Nielsen and Shephard test. We analyzed seasonal patterns in the series of electricity price jumps in winter- and summertime, on weekdays and in hours of a day. We applied the Hawkes process to indicate the existance of jump clustering phenomenon. We analyzed the data form a dayahead Nord Pool market. The results contribute to better understanding of the mechanisms of jump generation and deliver valuable guidelines which might be employed in the construction of advanced stochastic structures for jumps and electricity price forecasting.

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