Abstract
By means of computer simulation technique, this paper builds an artificial sto ck market model consisting of decision making agents. Through the fundamental and technical analysis in the aspects of investors, trading cost, transaction volume, risk-free interest, tick size and price-limit system, the model is used to indicate the volatility and liquid ity. The results show that the stock index time series has obtained the characteristics of steep-peak and heavy-tail, wh ich is in accordance with that of real stock market. It is also found that an appropriate increase of tick size or relax of price limit would help imp rove the market liquidity, but to some extent, increase the market volatility. The irrational behavior of institutional investors and lar ge volume of transaction are also easy to result in stock market fluctuation.
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