In this paper, we study market crowd psychological behaviors in learning by correlation analysis, using every trading high frequency data in China stock market. We introduce a notion of trading conditioning in terms of operant conditioning in psychology and measure its intensity by accumulative trading volume probability in a time interval in the transaction price-volume probability wave equation that can describe market crowd coherence in their interacted trading behavior. We find that there is, in general, significant positive correlation between the rate of price volatility mean return and the change in the intensity of market crowd trading conditioning. They behave significantly disposition effect in stock selling and herd behavior in stock buying with expectation on return simultaneously. Specifically, “the herd” have significant stronger expectation on price momentum than its reversal. Second, there is also a significant negative correlation between them in a subdivided term; market crowd show buy-and-hold behavior when price rises steadily, and panic selling when it drops abruptly in depth. We explain both the puzzle of more peaked, heavily tailed, and clustered characteristics in return distribution by coherence and that of market crowd behavioral “anomalies” by trading conditioning in a unified transaction price-volume probability wave framework.

To brief a transaction volume-price probability wave equation, a new advance in econophysics; To introduce a notion of trading conditioning for the first time in terms of operant conditioning in psychology; To measure the intensity of market crowd’s trading conditioning by transaction volume probability; To test correlation between the rate of mean return and the change in the intensity of trading conditioning subject to the return, using high frequency data in China stock market; To study market crowd’s learning and psychological behavior by correlation analysis, and explain their behavioral“anomalies”by trading conditioning.

We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use transaction volume probability to describe price volatility uncertainty and intensity. Applying the model to high frequent data test in China stock market, we have main findings as follows: 1) there is, in general, significant positive correlation between the rate of mean return and that of change in trading conditioning intensity; 2) it lacks significance in spite of positive correlation in two time intervals right before and just after bubble crashes; and 3) it shows, particularly, significant negative correlation in a time interval when SSE Composite Index is rising during bull market. Our model and findings can test both disposition effect and herd behavior simultaneously, and explain excessive trading (volume) and other anomalies in stock market.