This study uses an artificial intelligence (AI) model to identify arbitrage opportunities in the retail marketplace. Specifically, we develop an AI model to predict the optimal purchasing point based on the price movement of products in the market. Our model is trained on a large dataset collected from an online marketplace in the United States. Our model is enhanced by incorporating user-generated content (UGC), which is empirically proven to be significantly informative. Overall, the AI model attains more than 90% precision (...) rate, while the recall rate is higher than 80% in an out-of-sample test. In addition, we conduct a field experiment to verify the external validity of the AI model in a real-life setting. Our model identifies 293 arbitrage opportunities during a one-year field experiment and generates a profit of $7.06 per arbitrage opportunity. The result demonstrates that AI performs exceptionally well in identifying arbitrage opportunities in retail markets with tangible economic values. Our results also yield important implications regarding the role of AI in the society, both from the consumer and firm perspectives. (shrink)