Abstract: In financial activities, financial supervision determines the evolution of the direction and path of the normative and performance of financial markets, and plays a key role in the blue-chip running path dependence of the financial system and the whole economic system overall. In order to reveal the complexity of the process of financial supervision and dynamic evolution path of the financial supervision behavior, this paper established the evolution game model, and analyzed the relationships between financial system, quality of market participants, market efficiency, transaction costs and financial supervision. The study concluded that the excess proceeds and costs brought to financial market participants by non-compliance behaviors, and the costs of regulators, investigation and punishment for violations, as well as the market's own penalties for violations, etc., are factors that determine the behaviors of market participants, and determine the evolution path and direction of financial markets.