Yes, and in that respect the markets are efficient. However EMT also says that: "at any given time, prices fully reflect all available information on a particular stock and/or market", which I disagree with.
Yes we do it (arbitrage) in "shifts". I was assigned the late shift last month. My job is to find inefficiences and arb them out of existence. Until now we were all sworn to secrecy, however I am pissed off that I have to work this crappy shift, while the guys over at Goldman and Merrill get to choose. I have decided to blow the lid on this thing and write a book entitled "Arbitrage My Ass"...under my handle Steve46
Arbitrage opportunities only seem to exist on extremely small scales so that the only way you can take advantage of such opportunities is if you are very highly leveraged. High leverage means high risk and even arbitrage opportunities pose at least some risk (i know i know, this is an oxy moron....but really, did you think there was free money laying around in the markets and that you could just pick it up without risk?) In trading we must define arbitrage as opportunities with extremely low risk profiles. There is no such thing as any opportunity that can be grabbed out without some risk...