What are the Elements of Filters for Highly Volatility Price Series with Jumps? What are the best filtering techniques for a highly volatility price series with jumps. What needs to be considered in designing new filters for practical finance which are adaptive and highly reactive to jumps?

Also I have seen a filter called JMA which is proprietary. If I want to create a similar filter, what direction should I take?
In case you're looking for an edge-preserving low pass filter, you could have a look at the bilateral filter.

Implementation is fairly straightforward.