Heterogeneity, financialization and price formation in commodity derivatives markets.

Summary Commodity futures markets have existed for centuries. However, since the beginning of the 21st century, the parallel development of financialization and futures markets on a non-storable commodity (electricity) has disrupted their functioning.The three essays in this thesis study theoretically and empirically the commodity futures markets under different operating conditions.The first essay is an empirical study that shows the existence of the Samuelson effect on electricity futures markets. The second essay is a model that shows how the dynamic price behavior of a storable commodity in a futures market segmented from the rest of the economy is affected by its physical characteristics, and in particular by the cost of storage.Finally, the third essay is a model that shows that financialization modifies the risk-sharing function of commodity futures markets, regardless of the maturity involved.