Arbitrage is the practice of buying a security/product in one market and selling it in another, in an effort to capitalize on price difference.
Arbitrage can take many forms in trading: buying a security in one market and selling it in another for a better price (market arbitrage); borrowing money in one currency at a lower interest rate in order to pay off debt in another currency with a higher interest rate (currency arbitrage); buying and selling the same security on different exchanges or between spot prices of a security and its future contract; and so on.
Opportunities for arbitrage exist but only very rarely, and once they’re discovered the market tends to correct the price inefficiency very quickly.