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Inferring the private information of humans from their strategic behavioral data is crucial and challenging. The main approach is first obtaining human behavior functions (which map public information and human private information to behavior), enabling subsequent inference of private information from observed behavior. Most existing studies rely on strong equilibrium assumptions to obtain behavior functions. Our work focuses on continuous double auctions, where multiple traders with heterogeneous rationalities and beliefs dynamically trade commodities and deriving equilibria is generally intractable. We develop a knowledge-aware machine learning-based framework to infer each trader's private cost vectors for producing different units of its commodity. Our key idea is to learn behavior functions by incorporating the statistical knowledge about private costs given the observed trader asking behavior across the population. Specifically, we first use a neural network to characterize each trader's behavior function. Second, we leverage the statistical knowledge to derive the posterior distribution of each trader's private costs given its observed asks. Third, through designing a novel loss function, we utilize the knowledge-based posterior distributions to guide the learning of the neural network. We conduct extensive experiments on a large experimental dataset, and demonstrate the superior performance of our framework over baselines in inferring the private information of humans.