I will present a dynamic model for a commodity market. At every time, two markets are open, a physical one where the commodity is traded and a financial one where futures are traded. The commodity arrives in uncertain supply, but storers can transfer from the preceding period and industrial users have to commit for the next period. We show that there is a rational equilibrium which is a stationary strategy for all agents, and we derive some stylised facts.

This is joint work with Delphine Lautier and Bertrand Villeneuve.