There is an extensive literature claiming that it is often di*cultnto make use of arbitrage opportunities in *nancial markets. Thisnpaper provides a new reason why existing arbitrage opportunitiesnmight not be seized. We consider a world with short-lived securities,nno short-selling constraints and no transaction costs. We show thatnto exploit all existing arbitrage opportunities, traders should paynattention to all *nancial markets simultaneously. It gives a generalnresult stating that failure to do so will leave some arbitrage oppor-ntunies unexploited with probability one.