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Publication - Professor Dave Cliff


    A Minimal Simulation of a Limit-Order-Book Stock Exchange


    Cliff, D, 2018, ‘BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange’. in: Michael Affenzeller, Agostino Bruzzone, Emilio Jimenez, Francesco Longo, Yuri Merkuryev, Miquel Angel Piera (eds) 30th European Modeling and Simulation Symposium (EMSS 2018): Proceedings of a meeting held 17-19 September 2018, Budapest, Hungary. Held at the International Multidisciplinary Modeling and Simulation Multiconference (I3M 2018). DIME University of Genoa, Rende, Italy, pp. 194-203


    This paper describes the design, implementation, and successful use of the Bristol Stock Exchange (BSE) a novel minimal simulation of a centralized financial market, based on a Limit Order Book (LOB) such as is commonly in major stock exchanges. Construction of BSE was motivated by the fact that most of the world’s major financial markets have automated, with trading activity that previously was the responsibility of human traders now being performed by high-speed autonomous automated trading systems. Research aimed at understanding the dynamics of this new style of financial market is hampered by the fact that no operational real-world financial exchange is ever likely to allow experimental probing of that market while it is open and running live, forcing researchers to work primarily from time-series of past trading data. Similarly, university-level education of the engineers who can create next-generation automated-trading systems requires that they have hands-on learning experiences in a sufficiently realistic teaching environment. BSE as described here addresses both needs: it has been successfully used for teaching and research in a leading UK university since 2012, and the BSE program code is freely available as open-source on GitHub.

    Full details in the University publications repository