Goalkeeper Anatoliy Trubin has revealed the Shakhtar squad are making light of the rumours by claiming he is 'already at Arsenal'.
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Ukrainian winger Mudryk - valued at £85million - was heavily linked with a switch to the Emirates Stadium in the final days of the summer transfer window.
But a move failed to materialise as Mikel Arteta instead opted to try and bring in central midfielder Douglas Luiz from Aston Villa following Mohamed Elneny's injury - a pursuit which ultimately ended in failure.
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And Arteta may be wishing he had pushed for Mudryk instead following the 21-year-old's explosive start to the season.
He has chipped in with seven goals and as many assists in 14 games this campaign - with three of his strikes coming in the Champions League.
Trubin has insisted the rumours of Mudryk moving to north London have had a positive impact on the forward, with the Shakhtar squad constantly teasing him about the Gunners.
He told Football24: "I like that he is focused only on himself, his and the team's game.
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"Fans don't really see that much. No-one sees what he is doing away from the football field.
"All these transfer rumours affect him only in a positive way, because he enjoys what he does.
"And, in the team, we can tell him, 'well, you're already at Arsenal, let's all go!'"
Should Arsenal look to snap Mudryk up, they may have to fork out a club-record £85m with Shakhtar sporting director Carlo Nicolini confirming the Gunners are keen.
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He told Calciomercato in October: "Together with Kylian Mbappe, Rafa Leao and Vinicius Jr, Mudryk is the strongest player in his role.
"Is £35m enough to buy him? We don't speak for these figures, not even for £45m, we don't even call the president to make the offer.
"We value Mudryk more than United's Antony - £85m. Floating between Arsenal and Man City? They are two teams that have taken an interest in the player.
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"But there are also other clubs that can spend right away. We are not obliged to sell, we do not want to lose phenomena.
"We don't want to shoot figures that aren't realistic. But in this team, he is the most decisive.
"If you want to take on certain players who make a difference in the top clubs, you also need the right money."
Mudryk's whopping price tag could be the reason why Arsenal are also weighing up a move to snap up Facundo Torres from MLS side Orlando City.
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