Swindle exists commonly in any securities markets, where swindle has led to serious influences on regulations and the normal development of our securities market. The paper attempts to develop a game model of supervision on swindle in the securities market so as to investigate the relationship between supervisor and supervisee from the microcosmic aspect, and analyze the microcosmic mechanism resulting to swindle in the securities market, and enlighten our securities supervision as to swindle in the securities market.