Goods and services are produced from other goods and services. Production chains may be long and entangled. They may have constant parameters like risk, interest-rate, taxes, etc. If price model of intermediate products contains such parameters as multipliers then end product contains them multiplied by itself many times. This creates nonlinearity and lead to arbitrage opportunity.
Relativity of prices
Here I present a hypothesis that price efficiency is a relative conception. Efficiency depends on what you want to maximize. On efficient market prices are optimized to the goal. For example, price should not allow “free lunch”, i.e. making more than risk-free profit without taking a risk. If price is higher then demand rises and price goes down. If price is lower then demand falls and price goes up. But what if different people have different goals? If you want to make more euro then you have increased expectations of return from investments into USA companies comparing to EU companies. Moreover, is amount of currency what do you want the most? Maybe you want to consume more goods and services instead of currency? If so then in theory there are strategies that allow you to earn what you want.