  We study the dynamics of the limit order book of liquid stocks after
experiencing large intra-day price changes. In the data we find large
variations in several microscopical measures, e.g., the volatility the bid-ask
spread, the bid-ask imbalance, the number of queuing limit orders, the activity
(number and volume) of limit orders placed and canceled, etc. The relaxation of
the quantities is generally very slow that can be described by a power law of
exponent $\approx0.4$. We introduce a numerical model in order to understand
the empirical results better. We find that with a zero intelligence deposition
model of the order flow the empirical results can be reproduced qualitatively.
This suggests that the slow relaxations might not be results of agents'
strategic behaviour. Studying the difference between the exponents found
empirically and numerically helps us to better identify the role of strategic
behaviour in the phenomena.
