The heterogeneity of information and beliefs among operators in the commodity markets.

Summary The thesis project consists in studying the heterogeneity of information and beliefs among traders in commodity markets to tackle the puzzles of volatility and risk premium in these markets. The first step was to introduce information asymmetry into a storage model. It was found that the market is efficient and that a random informational effect can be distinguished from a deterministic physical effect. The second step is to empirically estimate the parameters of a modified version of the theoretical model mentioned above. The assumption of economic rationality is relaxed. Chartists" are introduced who follow the courses. The aim of this paper is to estimate their influence on price formation. The market chosen for the empirical study is the American Henry Hub natural gas market. The third step is a model where rational and boundedly rational agents coexist in a commodity market. This last chapter shows how traders following the trend in the futures market can destabilize the physical market.