Radio Kiss Kiss says Hickey has been identified as a potential target by Edu.
The left-back is flying in Serie A with five assists and one goal in the league this campaign.
Hickey is being watched carefully by the Gunners, who are looking for cover for Kieran Tierney.
Sources add that the Gunners remain unconvinced with Nuno Tavares, and believe the 19-year-old Scot could be fill the role.
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