There are a number of related definitions!
In linear algebra, a vector is a member of a "linear vector space".
Perhaps the definition you want, for the kind of applications that appear in physics, is really the definition of a "tensor of order 0" (don't worry, we don't need the full definition). The basic idea is that, given a coordinate system, we can write a vector as set of numbers, components,(the number depending on the dimension) that change "homogeneously" when you change the coordinate system. Basically that means that the new components are each a sum of the old ones times numbers depending on two coordinate systems.
That might be a little "disappointing" also but think about this. If a "vector" has all zeros as its components in one coordinate system, then in ANY coordinate system its components are just those zeros times the "change of coordinate systems"- which must be 0. If a vector has all zero components in one coordinate system, then it has all zero components in any coordinate system!
Why is that important? Suppose you have an equation that says one vector is equal to another, in some coordinate system: A= B (A and B can both involve complicated operations as long as the result of those operations is a vector). That just says A-B= 0- it has all 0 components in that coordinate system. But then it has all 0 components in any basis and so A'- B'= 0 (A' and B' are the component forms of A and B in the new coordinate system) and A'= B'.If a vector equation is true in one coordinate system, then it is true in any coordinate system!.
Since coordinate systems are not "natural" but imposed when writing a mathematical model for a physical system, that makes vectors (and their more general cousins, tensors) the natural way to write physics equations.
An "arrow" is something of a simplification, but it holds the essense of the idea- If you set up different coordinate systems, you get different components- but the vector itself if still their, with the same length, pointing in the same direction- the vector itself is independent of the coordinate system.