RE:It's a big mistake to list AUE in LondonThe arbitrage, or cross market trading as you call it, will happen regardless. It happens on every stock that is dual listed - however, the LSE and TSX are only both open for a very limited amount of time at the beginning of the TSX's trading hours (end of teh LSE's trading hours) - if the arbitreur takes on a position past that, they are subject to any market swings and there's a lot more risk for the cross market trading.
Take for example yesterday- if someone held a position from the TSX with the intention to sell the equivalent on the LSE, the swing in the GBP FX rate would make a big difference on the arbitreur's profitability. If significant negative news was issued after TSX close (ie mine blows up), the arbitreur would be stuck holding the bag. For this reason, it's most likely that any sort of arbitrage happens while both markets are open, and effectively keeps both the markets at par.