{
  "annotation_id": "ec1d404c-cec5-4d5f-ae27-9d5b1ce4e23b",
  "date_created": "2026-03-02T18:01:11.270000Z",
  "date_modified": "2026-03-02T18:01:11.270000Z",
  "file_hash": "91ed7dee7550583bffe35655e873868eb76a59f2bcc6a74315605374b7bb63fe",
  "private": false,
  "record": {
    "abstract": "We study the relaxation dynamics of the bid-ask spread and of the midprice\nafter a sudden, large variation of the spread, corresponding to a temporary\ncrisis of liquidity in a double auction financial market. We find that the\nspread decays very slowly to its normal value as a consequence of the strategic\nlimit order placement of liquidity providers. We consider several quantities,\nsuch as order placement rates and distribution, that affect the decay of the\nspread. We measure the permanent impact both of a generic event altering the\nspread and of a single transaction and we find an approximately linear relation\nbetween immediate and permanent impact in both cases.",
    "arxiv_id": "physics/0608032",
    "authors": [
      "Adam Ponzi",
      "Fabrizio Lillo",
      "Rosario N. Mantegna"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.TR"
    ],
    "title": "Market reaction to temporary liquidity crises and the permanent market   impact",
    "url": "https://arxiv.org/abs/physics/0608032"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "f276d88d-33e6-4e14-b093-6c614d825761",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}