Arbitrage is the simultaneous purchase and sale of the same asset in different markets in order to profit from a difference in its price. How Does Arbitrage Contribute to Market Efficiency?What Are the Most Common Pitfalls in Arbitrage Trading for Beginners? How to Invest in ETFs for Beginners. Exchange-traded funds let an investor buy lots of stocks and bonds at once. An arbitrage is a transaction that involves no negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state. Arbitrage is the strategy of taking advantage of price differences in different markets for the same asset. In its simplest form, arbitrage involves taking advantage of price differences in different markets to make a profit. The idea is that you buy this asset in one market and then sell it in another market where it's a different price to profit off the difference.