The trend of economic development is related to the industries of high-tech, education, life information and knowledge as well as the entertainment industry. The social and economic development is the driving force of the great changes of the residents' living behavior. After entering the consumer society, the development of social economy has brought tremendous changes in residents' living behavior. Consumption, as a part of residents' daily life, plays a more and more important role in social space order. The study on the space-time law of behavior in human geography reveals the statistic law of time and route, attraction and location of purchase behavior, entertainment behavior and living behavior as well as the cognitive behavior through the method of time geography. So, it goes beyond the boundary of economy and culture studies which is divided by the traditional economic geography and cultural geography. Therefore, the study on consumption space behavior is a frontier area in which the relationship of society and space, globalization and localization, the changes of public place and private place will be discussed. This paper aims to research on the relationship between the consumption behaviors of urban residents, residents' daily living space and space behavior law, based on the study of consumption space behavior. The method of Mathematical Statistics and Stochastic Processes are adopted in the research process. Finally, the authors points out that the research on consumption theory and its behavior has been well-developed in western world, and several theoretical systems have come into being including consumption economic, consumption culture, consumption social science, and consumption geography. The study on the theory of consumption and its behavior in China is related to economy, culture, society and geography. But the researches on consumption space cognition and space law stay at the stage of case study and the researches on retail trade and residents consumption behaviors. The study of the law of urban living space will be a frontier area for human geography and relevant disciplines.