Can you give an example of a pure arb that takes years to close?
During the next three years, you keep evaluating the opportunities to reverse your transactions, but always calculate that you will make more by continuing to hold the short futures contracts and the copper. You thus end up in the arb for three years.
Commodities futures contracts are a very tangible example, but my understanding is that the pattern is much more general. Most futures arbitrage trades made by large multinationals are fundamentally these sorts of storage cost arbitrage and/or funding cost arbitrage. (Funding cost can be thought of as a storage cost for money/debt.)
For instance, my understanding is that trading stock index futures vs. a replicating basket of single-stock futures is usually a matter of finding ways to secure funding more cheaply than your competitors. In this case, your competitive advantage is fundamentally linked to time, and exiting early reduces your competitive advantage.
Not a pure ARB bc of dividend and interest rate risk, but it's close.