@article{nonlinearpriceimpactfromlinearmodels,
  title = {Nonlinear price impact from linear models},
  author = {Felix Patzelt and Jean-Philippe Bouchaud},
  year = {2017},
  eprint = {1708.02411},
  archivePrefix = {arXiv},
  url = {http://arxiv.org/abs/1708.02411v1},
}