The paper analyzes the shortcomings of classic capital market theories based on EMH and discloses the complexity essence of capital market. It studies the operation regulation of capital market with the complexity science method, and analyzes the applied realm, focal point and interrelationship of such theories as dissipative structure theory, chaos theory, fractal theory, synergistic theory, catastrophe theory and scale theory. It discusses the achievements and problems in each theory, and foretells the development direction of complexity science in capital market.