hi i have been wondering about the same question regarding arbitrage. i plan to do the same.

in my view, the hurdle you will face is how to transfer the money from India to abroad.

you can easily buy btc overseas and transfer to your Indian wallet (unocoin, coinsecure, etc), and then sell on indian exchange. then you will request withdrawal from the exchange, which can take 2-3 days as i understand. this is where it gets risky - withdrawal happens to your indian bank account (and here is where indian authorities can question the sudden influx of funds into an a/c).

in light of the current absence of regulations, you may do so at your own risk. i plan to do so in small quantities to test the waters.