Abstract
The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is traded like any other com- modity. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy ex- changes. These features can be adequately reproduced by the sum-OU model: a model representing the price as a sum of L«evy-driven Ornstein- Uhlenbeck (OU) processes. We present a new method for filtering out the different OU components and develop a statistical procedure for estimat- ing the sum-OU model from data.