Abstract: The rapid development of the financial industry has required a higher level of supervision.Is there an access to improve our finance? Improving the local financial regulation system within the framework of the law is an inevitable choice to promote the reform of Chinese financial system and accelerate the development of the financial in dustry.Aiming at the practical problem of local governments' participation in financial regulation,the game theory is adopted to analyze the relationship between the central regulatory authority and local financial regulatory aglncies,as well as the relationship between local financial regulatory agencies and local financial institutions on the basis of the legitimacy analysis of looal financial supervision system.Furthermore,the path to improve the local financial regulatory system is tried to be found out.A great significance is contributed to improve the theory of local financial supervision and construct the system.

Key words: local financial, financial innovation, supervision game