 The most famous argument in favour of preference transitivity is the money pump argument. The basic idea was developed by F.P. Ramsey (1928a, 182), who pointed out that if a subject’s behaviour violated certain axioms of probability and preference, then  he would be willing to buy a bet that yields a gain to the seller, and a loss to the buyer, no matter what happens. The argument was developed in more detail in Davidson et al. (1955). 