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

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Original languageEnglish
Title of host publication30th European Modeling and Simulation Symposium (EMSS 2018)
Subtitle of host publicationProceedings of a meeting held 17-19 September 2018, Budapest, Hungary. Held at the International Multidisciplinary Modeling and Simulation Multiconference (I3M 2018)
EditorsMichael Affenzeller, Agostino Bruzzone, Emilio Jimenez, Francesco Longo, Yuri Merkuryev, Miquel Angel Piera
Place of PublicationRende, Italy
Publisher or commissioning bodyDIME University of Genoa
Pages194-203
Number of pages10
ISBN (Electronic)9788885741034
ISBN (Print)9788885741065
DateAccepted/In press - 21 Jun 2018
DateE-pub ahead of print - 17 Sep 2018
DatePublished (current) - Oct 2018

Abstract

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.

    Research areas

  • simulation for education, financial markets, automated trading

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