We develop a theoretical framework and propose a relevant empirical analysis of the soybean-complex prices’ cointegration relationships in a high-frequency setting. We allow for heterogeneous expectations among traders on the multi-asset price dynamics and characterize the resulting market behaviour. We demonstrate that the asset prices’ autoregressive matrix rank and the speed of reversion towards the long-term equilibrium are related to the market realized and potential liquidity, unlike the cointegrating vector. Our empirical application to the soybean complex, where we control for volatility, supports our theoretical results when the price idleness of the different assets is properly accounted for. Our analysis further suggests that the presence of cointegration among assets is related to the time of day and the contract maturities traded at a given time.

我们开发了一个理论框架，并提出了对高频环境下大豆综合价格协整关系的相关实证分析。我们允许交易者对多资产价格动态有不同的预期，并描述由此产生的市场行为。我们证明资产价格的自回归矩阵等级和向长期均衡回归的速度与市场实现和潜在流动性有关，这与协整向量不同。当适当考虑不同资产的价格闲置时，我们对控制波动性的大豆综合体的实证应用支持我们的理论结果。