中文摘要：

现有的研究一般将金融市场中的胖尾分布、波动聚集、长期记忆等格式化特征的形成机归于交易者的行为。为了研究市场交易机制对这些特征有何影响,以我国证券市场交易制度为蓝本建立了一个连续竞价市场的基于Agent的仿真模型。仿真结果表明：在连续竞价机制下,即使Age是理性的基本分析者或简单的随机交易者,模型仍然能够再现上述特征。这一结果说明,交易机也是导致格式化特征的重要原因。

英文摘要：

In order to investigate whether the trading mechanism affect the stylized facts, an agent-based simulation model for continuous auction market was built, in which agents fell into fundamentalists or random traders. The model could reproduce some stylized facts such as fat tail, volatility clustering and long memory. The results support the conjecture that the emergence of those stylized facts is due to not only the trading strategies of agent, but also as a consequence of trading mechanisms themselves.