Extracting jumps from a mean reversion jump diffusion process I have been following the below process on how to simulate electricity prices using the mean reversion jump diffusion process 
https://www.mathworks.com/help/fininst/examples/simulating-electricity-prices-with-mean-reversion-and-jump-diffusion.html
But I'd also like to 'extract' the jumps from the series and then analyse the jumps on their own. Can someone point me in the right direction as to how I would extract the jumps? I have been googling but am not really getting anywhere.
Much appreciated
 A: I'd recommend using wavelet denoising techniques because we see discontinuities in the signal, i.e., jumps. In MATLAB (2016 and above), you should have access to wden command with multiple parameter options.
Below you will find sample spinet of the code.
% Load electricity prices and futures prices
load('electricity_prices.mat');

lev = 5;
wname = 'sym8';

[dnsig1] = wden(Prices,'rigrsure','h','mln',lev,wname);
[dnsig2] = wden(Prices,'minimaxi','h','mln',lev,wname);
[dnsig3] = wden(Prices,'sqtwolog','h','mln',lev,wname);

figure;
subplot(411)
plot(PriceDates, Prices);
datetick();
title('Electricity Prices ');
xlabel('Date');
ylabel('Price ($)');
axis('tight');

subplot(412)
plot(PriceDates, dnsig1); hold on;
datetick();
title('Electricity Prices- RigrSure');
xlabel('Date');
ylabel('Price ($)');
axis('tight');

subplot(413)
plot(PriceDates, dnsig2); hold on;
datetick();
title('Electricity Prices - MiniMaxi');
xlabel('Date');
ylabel('Price ($)');
axis('tight');

subplot(414)
plot(PriceDates, dnsig3); hold on;
datetick();
title('Electricity Prices - Sqtwolog');
xlabel('Date');
ylabel('Price ($)');
axis('tight');


