It's not possible today because the infrastructure just isn't there. You'll experience trading lag which is just too risky and it offsets the profits. Also, getting money off an exchange takes forever.

Someone organized a fund on bitcointalk which tried to arbitrage prices on mt.gox and bt-china (This is cumbersome because you need physical presence in china to be part of bt-china). It sounded promising but it failed and everyone had to be refunded.

https://bitcointalk.org/index.php?topic=330209.0

In fact, the reason the BTC price on Mt.Gox is so high is because you can't get your money off there in a reasonable amount of time. This means that to get your money off of Mt.Gox you do not send a sell order to convert to USD, you instead transfer the BTC to an external wallet and sell it elsewhere. This leads to more buy orders than sell orders on Mt.gox (leading to higher BTC/USD prices).