Just here to share my personal experience, as Arbitrage does work as I have moved coins to BTCChina from Gox, stamp and btce. With varying results, the most profitable example would be that massive rally earlier this week, where at one stage there was a 58% arbitrage spread. By taking it then would pretty much guarantee a solid ROI, which is way better than a gamble on it's continuous astronomical rise.

A word of warning, this has a different risk profile to speculating on Bitcoins, as Arbitrage has in all honesty not out performed Bitcoins insane increase in value over the past few weeks. But again, this is tailored to the segment of our investors that would rather want to see a steady X% return per round trip on their Government backed currency (Australian Dollars / US dollars / Chinese Yuan) than speculating on the unpredictable fluctuations in the value of Bitcoins.

I believe a mixture of speculation and arbitrage yields the best results, as both hold two very distinct risk profiles that complement each other during different stages of the cycle.

PM or skype me (id is "aspiringentrepreneur"), to discuss things further. as I'm definitely able to help people arbitrage their coins via our BTC -> CNY -> USD setup.