I think arbitrage is too risky and will end up in losing money because of fees. Today, with high-speed trading, arbitrage opportunities last only for a few milliseconds seconds in widely traded markets. Arbitrage opportunities in the commodity futures market last for very short periods.
Yeah I recently read about arbitrage in the stock markets, and it lasts literally for seconds, but for Bitcoin, the time frame is better. So it might be risky but is definitely profitable
I've been doing this, it works, and it is profitable. The real problem is when an exchange doesn't fulfill your withdrawal request at once but withholds your coins (or doesn't deposit the money after the transaction is confirmed on the blockchain). Also, btc transactions are frustratingly slow, and you can end up waiting for half an hour for your transaction to get confirmed first.
This can be tackled with money being deposited in both the exchanges.