Based on cognitive psychology and prospect theory,this paper analyses the three types of stock-traders in the qualitative perspective and mathematical model: Informed traders who are composed mainly of institutional investors;positive feedback traders and conservative traders both of which are uninformed and come mainly from the group of individual investors.

Considerable discussion focuses on whether it needs a regulatory way to give additional protection for individual investors in the futures market and what is the theoretic foundation for the regulatory authority to intervene in the individual investor protection.

Based on the hypothesis of heterogeneous traders, this paper analyzes the strategic behaviors of informed traders and uninformed traders during the process of call auction, and discusses the impact of indicator price information disclosure and public limit order book on the call auction process.

The character of trader s information from the complication of interaction between the trader s characteristics and the character of information in finance market includes competitiveness,speculation,falsity and time of trader s behaviors and behavior of the information.