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Arlanda North and South stations are only used by the Arlanda Express trains, so you will not be able to access Intercity services from there. Sky City is sort of a hub in the middle of the airport complex for hotels, offices, services and transport links: that's where you'll find the entrance to Arlanda Central station. It's a short walk from Terminal 5, and you won't need to brave the Swedish weather as it's all through interior walkways.