Links only work in the header section which is rendered at the top, not in the rest of the code.
(Don't think I didn't try!)

I considered adding a full url anyway, but didn't for a few reasons...
(1) it's a pain because it is so long it doesn't fit pep8 80-column limit,  unless it's on a line to itself without even any quotes around it : 
 ``` http://matplotlib.org/api/colors_api.html#matplotlib.colors.BoundaryNorm ```
(2) such links will go stale and because they aren't interpreted we wouldn't easily spot when that happens.

@dkillick are you still keen to have this, or are you not bothered if it doesn't make an actual clickable link ?