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Jakob Albers

University of Oxford - Department of Statistics

24-29 St Giles

Oxford

United Kingdom

  • University of Oxford - Department of Statistics

SCHOLARLY PAPERS

6

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Rank 32,144

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Top 32,144

in Total Papers Downloads

3,966

TOTAL CITATIONS

4

Scholarly Papers (6)

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1.

The Good, the Bad, and Latency: Exploratory Trading on Bybit and Binance

Number of pages: 54 Posted: 23 Jan 2024 Last Revised: 01 Dec 2024
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford and University of Guelph
Downloads 1,686 (26,631)
Citation 1

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latency, limit order book, order failure, slippage, adverse selection, high-frequency trading, algorithmic trading

2.

The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off

Number of pages: 46 Posted: 12 Feb 2025 Last Revised: 22 Nov 2025
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford and University of Guelph
Downloads 760 (86,637)

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market making, limit order book, fill probability, optimal execution, adverse selection, high-frequency trading

3.

An Open Book: Level 4 Order Book Data from the Hyperliquid Exchange

Number of pages: 13 Posted: 30 Mar 2026
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford - Mathematical Institute and University of Guelph
Downloads 456 (216,367)

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market microstructure, high-frequency trading, order flow, limit order book, rejected orders, Hyperliquid, cryptocurrency, perpetual futures

4.

Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets

Number of pages: 59 Posted: 07 Sep 2021
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford and University of Guelph
Downloads 365 (206,453)
Citation 3

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Limit order books, market microstructure, liquidity, market fragmentation, price impact, trading volume, high frequency data, Bitcoin futures, derivatives, cryptocurrency

5.

The Price Impact of Nothing: Rejected Orders as Predictors of Future Returns

Number of pages: 13 Posted: 05 Mar 2026
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford - Mathematical Institute and University of Guelph
Downloads 351 (240,043)

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price impact, limit order book, causality, correlation, high-frequency trading

6.

The "Neutrinos" of the Order Book: Pervasive, Weakly Interacting Order Flow and its Consequences

Number of pages: 43 Posted: 05 Mar 2026
Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Oxford - Mathematical Institute and University of Guelph
Downloads 348 (240,043)

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high-frequency trading, queue priority, spread refilling, flickering orders, market microstructure, rejected orders