The Experimental Study On Stock Market Microstructure

Since the initial works about artificial stock market are proposed by Holland and Arthur in Santa Fe in 1987, and the first stock market structured by Palmer in 1994, more and more scholars have begun to study on the artificial stock market from different point of view. This research method makes the study on stock market break away from the limitation of the rational expectation and leads the scholars into a global new study area. More over, by the developing and improving of the studying about price behave of the stock market, the study about the microstructure of stock market become more and more important. The main research methods about the microstructure of stock market lie in two facts: the theory study based on the rational expectation and empirical study on micro-data of stock market. Because of the complexity of the stock market, the both methods are always based on the certain hypothesis to implement. It makes the scholar can't tackle the influence, aroused by market mechanism, on the stock market well and truly. Although of the great achievement of the empirical research about the microstructure it is impossible to identify the influence of a certain market mechanism on market behave. In this case, the artificial stock market methods are introduced in this thesis to study the microstructure of stock market in order to find some interesting results.Firstly, the artificial stock market methods make the study about stock market no more dependent on the rational expectation. Secondly, because these methods can be controlled, the study about the influence aroused by market mechanism become possible and the results can't be influenced by other factors. Finally, using this method we can study the most microcosmic factor-trader of stock market directly. Based on the Santa Fe artificial stock market, the simulated experiments of different markets include market clear mechanism, price limited mechanism, and dividend mechanism markets are implement. And the bubble and frangibility of stock market are also studied by this method. The satisfactory results are gotten.