– Legal restrictions for US traders on foreign prediction exchanges (BetFair, etc.)-

– Transaction fees (you would need to operate on 2 exchanges)-

– Currency risks and cost for hedging on that.

Eric Crampton (a Canadian exiled in New Zealand) says he has managed to turn a buck, though, by arbitraging between InTrade and iPredict New Zealand. He also makes 2 theoretical points. Go read it.