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The capital market is Complex Adaptive System. As for the complexity of the capital market, some of our most powerful mathematical tools are of limited help in understanding the development of CAS. This paper suggests ways to modify research methods and tools, with an emphasis on the role of computer-based models, to increase our understanding of CAS. People introduce the conception of agent, and in the capital market the agent is the investor. The author discusses the modeling for trading process of agent-based capital market from two respects: the first one is the whole market mechanism, discussing the trading model of ZIP traders in CDA market; the other is the process of decision-making of every agent, discussing the decision making model based on the Supergame analysis theory.