This paper deals with the internal structure of a commodity futures market. We proposed a mathematical model representing the mechanism of this market. The model shows the links between market components (transactional prices, transactional quantities, open interest) and traders' states (position, position’s average price, potential wealth and realized wealth). Later, we stated and demonstrated some analytical properties of this model. This paper is not dealing with classical economic concepts like arbitrages, market equilibrium etc., rather it focuses on exact mathematical relationships between market platform components. Amongst our main findings is an exact relationship between open interest variation and transactional quantities. Indeed, this result indicates that if transactional quantity is tiny then open interest has 50% chance to not change and 25% chance to either increase or decrease, whereas when transactional quantity is big enough, then there is 75% chance for open interest to increase and 25% chance to decrease.
Key words: Commodity futures market, market microstructure, trader's position, open interest, market average price, market analytical properties
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