Peter Tankov (Université Paris-Diderot - LPMA)

We present the results of statistical analysis of six electricity spot price series from different countries. In the first part of this talk, we discuss the "stylized facts": qualitative features observed in all series that any modelling approach must take into account. The most important stylized feature of electricity prices, not found in other financial time series, is the presence of spikes: rapid upside moves followed by a rapid decay. In the second part of the talk, we show that the spikes and other stylized facts can be reproduced by representing the spot price as the sum of several independent components of Ornstein-Uhlenbeck type with different decay rates. We propose a new method, based on recent findings in nonparametric statistics, that allows to split the price series into a spike component and a continuous evolution component, and develop a simple estimation procedure for our model.