The Impact Of The Adjustment Of The Stamp Duty Based On Artificial Market

In our national stock market, as a government macro-control method, stock market Stamp Duty is applied in stock market continuously to establish a stable market. The main idea of this essay is to study if the adjust of Stamp Duty having constant effect. While empirical method is widely used in passed research on Stamp Duty's marketing effect. Although it has reference value to study the Stamp Duty's effect for market volatility from statistics, it can't approve that market volatility is caused totally by the adjustment of Stamp Duty. Therefore, artificial market model is built in this essay to study Stamp Duty's effect on stock market.In this essay, firstly, it is a conclusion of artificial financial markets simulation and the effect on adjustment of Stamp Duty. Then it is review for research methods of stock market's Nonlinear characteristic, Agent-based Computational Finance modeling, and research methods of the market effect on adjustment of Stamp Duty. It verifies the peak and low of stock market, as well as the characteristics of long-term memory and volatility clustering. It is proved that the stock market of our country has nonlinear characteristic and the adjustment of Stamp Duty has strong effect on Shanghai Stock Exchange while it has little affect on Shenzhen Stock Exchange. The increase of Stamp Duty has stronger effect than the lower of that.To study how Stamp Duty—external factor results in micro market and works on the price of stock market, based on SFI (Santa Fe Artificial stock market), a SFI model is set up in this essay, which meets realistic market well. In this model, Price limits and Continuous Double Auction Mechanism are applied; different stock market Stamp Duty rate parameters are installed. Those result in different artificial stock market price lists. By testing the volatilities of those price lists and analyzing the results of test data, researching Stamp Duty's effect on SFI.The results have a kind of policy advice on government's macro-control on stock market, but it can't reach the expected results necessarily. Stock market could develop healthily and well as long as maintaining a stable market and holding a proper degree of Stamp Duty adjustment.