Market arbitrage is when investors, particularly institutional investors, find price discrepancies between one exchange and another and exploit the difference for their profit. It has the helpful side-effect of bringing the prices on all exchanges closer together.
Arbitrageurs are investors and brokers who bridge the gap between prices in one market and another. The price difference is similar to the bid/ask spread profit created by market makers. If a stock is listed on multiple exchanges, it is said to be cross-listed, and it may present an arbitrage opportunity.
Some studies have found that it has and can be done, but trades have to execute instantaneously and the two markets must be relatively slow and illiquid. Bonds are a traditionally large arena for arbitrage especially as a way to make a risk-less profit by offsetting one guaranteed instrument with another, or by separating the interest/coupon from a bond and selling it.
There is also arbitrage in Forex, derivative markets, and stock markets. Arbitrage opportunities are harder and harder to come by the more efficient markets get due to computing power and the dissemination of information. Only the largest and best-informed institutional investors are ever likely to see an arbitrage opportunity.