We develop a theoretical framework and propose a relevant empirical analysis of the soybean complex prices cointegration relationship in a high-frequency setting. We allow for heterogeneous expectations among traders on the multi-asset price dynamics and characterize the resulting market...

In this paper we discuss how our insight into the grounds of existence of futures markets has changed. We discuss futures market research within agricultural marketing, on the one hand, and within finance, on the other hand. The research within these two disciplines may be considered...