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While the recent spike in commodity prices has revived the debate on the endogenous versus exogenous explication of fluctuations, in this article we show that the two phenomena are conjointly in play in monthly cotton price dynamics. The application of chaos detecting tools (correlation dimension, Lyapunov exponent) on the price series shows the existence of auto-generated fluctuations, but the ARCH effect test equally confirms the existence of randomness. We also draw on a model that combines chaotic and stochastic processes (Mackey-Glass – EGARCH), and is inspired by the theory of heterogeneous agents to reproduce characteristics of the prices. Our results suggest that the complex price dynamics could originate with the heterogeneity of farmers’ expectations. JEL classification: C22, E32, O13.