Microstructure and High Frequency Price Discovery in the Soybean Complex

X. Zhou, G. Bagnarosa, A. Gohin, Joost Pennings, Philippe Debie

Research output: Contribution to conferencePaperAcademic


We develop a theoretical framework and propose a relevant empirical analysis of the soybean complex prices cointegration relationship in a highfrequency setting. We allow for heterogeneous expectations among traders on the multi-asset price dynamics and characterize the resulting market behavior. 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.
Original languageEnglish
Number of pages63
Publication statusPublished - 2022
EventNCCC-134: Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management - Online, St Louis, United States
Duration: 19 Apr 202120 Apr 2021


Country/TerritoryUnited States
CitySt Louis
Internet address


  • commodities
  • finance
  • soybean
  • futures market microstructure
  • liquidity
  • price discovery
  • high-frequency


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