  This note explores the consequences of nonlinear price impact functions on
price dynamics within the chartist-fundamentalist framework. Price impact
functions may be nonlinear with respect to trading volume. As indicated by
recent empirical studies, a given transaction may cause a large (small) price
change if market depth is low (high). Simulations reveal that such a
relationship may create endogenous complex price fluctuations even if the
trading behavior of chartists and fundamentalists is linear.
