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If you are using TeXmacs and want to have arxiv or DOI bibliography entries show up with links, then use this bibliography style: https://golem.ph.utexas.edu/~distler/TeXstuff/utcaps.bst
@olynch Thanks for the nice tip!
Another possibility is to customise the internal TeXmacs bibtex parser:
http://forum.texmacs.cn/t/about-bibliography-in-texmacs/133/9
An e-print friendly style should probably be included by default.
You put it in ~/.TeXmacs/system/bib/, and then type "utcaps" for your bibliography style