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In this paper, from the investor’s perspective, we will use intelligent agents to simulate the investor’s behaviors. The intelligent agent will learn the investor’s behavior according to investor’s historical data. It will learn from the decisions making for the investment. And we will build a virtual stock market in which intelligent agents can invest according to their decisions. Intelligent agents’ investment decisions are different due to different consideration and conclusion for the same message. Then, every intelligent agent will deal with these messages. We will train intelligent agent with data mining technology and artificial neural network to make the intelligent agent’s behaviors similar to investor’s behaviors in the real world. The intelligent agent makes decisions and invests in the virtual stock market.