If you are using TeXmacs and want to have arxiv or DOI bibliography entries show up with links, then use this bibliography style: golem.ph.utexas.edu/~distler/T

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You put it in ~/.TeXmacs/system/bib/, and then type "utcaps" for your bibliography style

@olynch Thanks for the nice tip!
Another possibility is to customise the internal TeXmacs bibtex parser: