The financial market provides a mechanism for aggregating information of heterogeneous traders, who have different beliefs, knowledge and trading strategies. This paper studies the interactions between heterogeneous traders and their impacts on price discovery by developing a pricing model for the futures market. With mathematical analysis, we solve the equilibrium and its stability conditions for the system. As the findings show, behavioral factors such as risk appetites, degree of rationality and market liquidity have a combined effect on stability conditions. When the stability conditions are satisfied, the market can aggregate the information to form “good knowledge” about the price. If investors have high risk appetites or a high degree of rationality, it is difficult for the market to realize the price discovery function.

金融市场为聚合具有不同信念、知识和交易策略的异构交易者的信息提供了一种机制。本文通过开发期货市场的定价模型来研究异质交易者之间的相互作用及其对价格发现的影响。通过数学分析，我们求解了系统的平衡及其稳定条件。研究结果表明，风险偏好、理性程度和市场流动性等行为因素对稳定条件有综合影响。当满足稳定条件时，市场可以汇总信息以形成有关价格的“良好知识”。如果投资者具有较高的风险偏好或高度的理性，市场就很难实现价格发现功能。