An exclusion particle model is considered as a highly simplified model of alimit order market. Its price behavior reproduces the well known crossover fromover-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the timehorizon is increased, provided that orders are allowed to be canceled. Forearly times a mapping to the totally asymmetric exclusion process yields theexact result H=2/3 which is in good agreement with empirical data. Theunderlying universality class of the exclusion process suggests some robustnessof the exponent with respect to changes in the trading rules. In the crossoverregime the Hurst plot has a scaling property where the bulkdeposition/cancellation rate is the critical parameter. Analytical results arefully supported by numerical simulations.
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