The standard way to create an arrow is to combine a line with an arrow-head glyph.
However the line and the glyph will not follow the same scale when the global-staff-size changes.
Here's a markup function that helps create ready-to-use arrows without this problem.
The syntax is \arrow #'type #'fletching #'axis #'direction #'length #'boldness
.
Example (at default global-staff-size):
\markup{ \scale #'(1.8 . 1.8) \arrow #"open" ##f #Y #UP #3 #0.14 }
gives the same output as
\markup{ \combine \fontsize #5 \arrow-head #Y #UP ##f \override #'(thickness . 2.4) \draw-line #'(0 . -5.4) }
The arrows below are shown with optimal boldness (the one each arrow type was designed for).