Individuals have preferences and beliefs in their judgment and decision making. These are two broad topics in behavioral economics and finance. However, it is a challenge to find the right way to measure individual preferences in choice and beliefs in assessment because such behaviors are unobservable outside laboratory. We assume that a speculative trader might trade a stock as any another trader or collective traders have done in intraday trading although we observe that he trades it at a sure price. We measure individual decision weights in preferences by using collective cumulative trading volume distribution over a price range and determine a reference point concerning assessment value in beliefs by the maximum volume price. We test the hypothesis, from the microstructure of the distribution, that prospect theory traders are boundedly rational arbitrageurs and that they demonstrate coherent preferences in intraday trading in the stock market. That is, they search for a reference point intelligently in intraday trading, tend to have gains and losses arbitrage that brings stock price back to it, and adapt to any prospect or outcome by assigning decision weights in preferences in the allocation of final trading wealth. Testing the hypothesis against a set of explicit models of coherent preferences, we detected individual coherent preferences using high frequency data in the Chinese stock market. It holds true because 82.42 percent of total tests supports it. From time to time, moreover,speculative traders update the reference point, make it jump discontinuously, and generate a price volatility mean return in intraday trading. It has 11.92 percent chance to occur. To extent, we can infer that skewed cumulative trading volume distribution might reveal individual asymmetric preferences over gains and losses in the stock market. It suggests potential psychological and behavioral applications in economics, finance, management, and social sciences.
Key words: coherent preferences, boundedly-rational arbitrageur, prospect theory, volume distribution, market microstructure, decision weight, reference point
JEL Classifications: D03, C60, D30
