Matplotlib: draw between subplots

Last week, I was preparing a data analysis report using Jupyter, Pandas and Matplotlib (to only quote a few bricks of this wonderful framework). One of the figures had two subplots, the second being an enlargement of a region of the first. To make it obvious, and at the same time show the old MATLAB Fanclub how so 90 they were, I decided to put an arrow from the first to the second subplot.

Matplotlib figure showing two subplot with an arrow spanning over bothAlas, from this simple idea started a three hours long research on the Internet, many trials and errors, even a bunch of crashes, and I was close to surrender against the technology of the last century… No way!
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