This paper establishes the transaction manipulation model of the behavioral active banker under the assumption of bounded rationality. This model not only considers the herding effect of the positive feedback traders, but also reflects the two different roles of the arbitrageurs. We capture the market price fluctuations when the dealer manipulates, and reveal its trading strategy through the model, the most critical is that we deduce the profit conditions of dealer’s trading manipulation. According to this model, the herding effect is the key to the profit manipulation of the banker, and we analyze the conditions of the formation of the herding. Moreover, we use this model to make policy analysis based on the Chinese stock market.

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