The construction and stimulation of artificial stock market

Using computer simulation technique, this paper constructs an artificial stock market with China-specific investor structure and market environment, then conducts researches on tick size and price limit. The outputs show that stock return time series has obvious characteristic of steep-peak and heavy tails, in accordance with real stock market. At the same time, increasing tick size properly and relaxing price limit will help provide liquidity of the market, but aggravate stock market fluctuations some extent.