  We study the relaxation dynamics of the bid-ask spread and of the midprice
after a sudden, large variation of the spread, corresponding to a temporary
crisis of liquidity in a double auction financial market. We find that the
spread decays very slowly to its normal value as a consequence of the strategic
limit order placement of liquidity providers. We consider several quantities,
such as order placement rates and distribution, that affect the decay of the
spread. We measure the permanent impact both of a generic event altering the
spread and of a single transaction and we find an approximately linear relation
between immediate and permanent impact in both cases.
