英文标题：
《BSE: A Minimal Simulation of a Limit-Order-Book Stock Exchange》
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作者：
Dave Cliff
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最新提交年份：
2018
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英文摘要：
This paper describes the design, implementation, and successful use of the Bristol Stock Exchange (BSE), a novel minimal simulation of a centralised financial market, based on a Limit Order Book (LOB) such as is common 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 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 experience in a sufficiently realistic teaching environment. BSE as described here addresses both those 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.
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中文摘要：
本文描述了布里斯托尔证券交易所（BSE）的设计、实施和成功使用，这是一种基于主要证券交易所常见的限额指令簿（LOB）的新型集中金融市场最小模拟。建造疯牛病的动机是，世界上大多数主要金融市场都实现了自动化，以前由人类交易员负责的交易活动现在由高速自动交易系统执行。旨在了解这种新型金融市场动态的研究受到以下事实的阻碍：任何可操作的真实世界交易所都不可能允许在该市场开放和实时运行时对其进行实验性探索，这迫使研究人员主要从过去交易数据的时间序列进行研究。同样，能够创建下一代自动交易系统的工程师的大学教育要求他们在足够现实的教学环境中有实际的学习经验。这里描述的BSE解决了这两个需求：自2012年以来，它已成功用于英国一所领先大学的教学和研究，BSE项目代码在GitHuB上以开源形式免费提供。
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分类信息：

一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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一级分类：Computer Science 计算机科学
二级分类：Multiagent Systems 多智能体系统
分类描述：Covers multiagent systems, distributed artificial intelligence, intelligent agents, coordinated interactions. and practical applications. Roughly covers ACM Subject Class I.2.11.
涵盖多Agent系统、分布式人工智能、智能Agent、协调交互。和实际应用。大致涵盖ACM科目I.2.11类。
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一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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