Heterogeneity, financialization and price formation in commodity derivative markets.

Summary Commodity futures markets have a long history. However, since the beginning of the 21st century, both the financialization process and the development of futures markets on a non-storable commodity (the electricity) have shake up their functioning.The three essays of this thesis study theoretically and empirically commodity futures markets in different situations of functioning.The first essay is an empirical study that shows that the Samuelson effect exists on electricity derivative markets. As a consequence, it shows that storage is not a necessary condition for such an effect.The second essay is a model that shows how the dynamic behavior of storable commodity prices on a segmented futures market is affected by its physical characteristics, and more precisely by the cost of storage.Further, the third essay is a model that shows that financialization changes the risk sharing function of commodity futures markets, whatever the concerned maturity.