In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of the limitations of theoretical modeling. The thesis aims to study the design, development and characterization of artificial markets as well as the behaviors and strategies of intelligent trading and market making agents. Simulations and experiments are conducted to study information aggregation and dissemination in a market. A number of features of the market dynamics are examined: the price efficiency of the market, the speed at which prices converge to the rational expectations equilibrium price, and the learning dynamics of traders who possess diverse information or preferences.
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