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According to ‘They Still Serve: A Complete Guide to the Military Ghosts of Britain’ by Richard McKenzie ‘Tradition States that the naked ghost of a Roman soldier has been seen running around the centre of the town. It is said that a police officer once gave chase to the phantom streaker only to watch it fade into nothing. The point has to be made thought as to how the witnesses know the nationality of this phantom without it having any clothes to provide clues.’
The Paranormal Database also refers to this ghost placing him around the Abbey, which is close to the Roman Bath House.