Arbitrage Example

1. Buy 100 XCOIN for 100 EUR (1EUR/XCOIN) on Exchange A
2. Send 100 XCOIN to exchange B minus transaction fee of 1 XCOIN
3. Wait for X confirmations before Exchange B will let you trade to your 99 XCOIN
4. Sell 99 XCOIN at 1.1 EUR/XCOIN for 108.9 EUR
5. Repeat

Risks and Fees

1. There are sometimes fees for purchasing coins
2. Transaction fees exist on many blockchains.
3. Confirmation times can take several minutes to several hours. During this time the price can drop below the price you bought it at, causing a loss.
4. There are fees for selling and converting coins to Fiat.

These opportunities exist because price is set by the market. Each exchange is its own market with different people selling different amounts of coins for different prices.