Make a new layer and Click on[ Custom Shape Tool (U) ].

Choose this arrow

click on its layer to make selection of it.

Go to Select > Modify > Contract … set amount of it to 2 pixel.

Now make a new layer and use  [ Gradient Tool (G) ] to make a gradient as shown below.

Result :

Making Layer Style
Double click the layer or go to Layers->Blending options and apply settings as shown.

Result :

Hold down Ctrl than click on its layer to make selection of it.

click on [ Rectangular Marquee Tool (M) ] and make a selection as shown (use Alt key for subtraction).

Now make a new layer and use  [ Gradient Tool (G) ] to make a gradient as shown below.

Press Ctrl + T and right click and choose Warp.

Hold Alt key and click between Layer 1 and Layer 2.

Final Result :