An example shows that when preferences change over time and consumers are sophisticated, it is possible that arbitrage opportunities exist in frictionless markets, even in equilibrium.

Arbitrage, Equilibrium, Time-inconsistent preferences,
Economic Theory
Erasmus Research Institute of Management

Rohde, K.I.M. (2008). Arbitrage opportunities in frictionless markets with sophisticated investors. Economic Theory, 34(2), 389–393. doi:10.1007/s00199-006-0183-6