Purpose-The purpose of this paper is to research and analyze the price of gold futures based on heterogeneous investors’ overconfidence.Design/methodology/approach-This paper divides the traders of gold futures market into two kinds:the speculators and arbitrageurs,and then constructs a market equilibrium model of futures pricing to analyze the behaviors of the two kinds of traders with overconfidence.After getting the decision-making function,the market equilibrium futures price is attained on the condition of market clearing.Then,this paper analyzes how the overconfidence impacts on futures price,volatility of the price of gold futures and the effects on individual utility.Findings-Under different market conditions,the overconfidence psychological impacts of heterogeneous investor on the price and volatility of futures are different,sometimes completely opposite.Originality/value-In the past literature,the relationships between overconfidence and the price or volatility are positive;however,the study shows that sometimes it is positive,and sometimes it is negative