Participants in the stock market are divided into consumers, investors who hold stock spot and speculators who simply buy and sell stock index futures.

Consumers constitute the demand side of the stock spot market and do not participate in the trading of the stock index futures market;

The investors who hold the stock spot constitute the suppliers of the stock spot market, and can participate in the trading of the stock spot in the futures market at the same time, and the borrowing cost of having a large amount of self-owned funds or funds can be ignored, so they can hold a large amount of stock spot at any time at a very small cost;

Speculators who buy and sell stock index futures only participate in highly leveraged futures trading and do not hold stock spot because of insufficient self-owned funds and high borrowing costs.

From the above assumptions, we can find that the consumers defined by the model are similar to the retail investors in the current domestic securities market, while the investors holding spot stocks are similar to institutional investors. At the same time, it should be noted that the above classification of market participants is only based on the classification of participants' trading behavior. For example, retail investors buy both spot and stock index futures. The former trading behavior is classified as consumers, while the latter trading behavior is regarded as speculators who only buy and sell stock index futures.