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Alexander Y. Shestopaloff

University of Guelph

Guelph, Ontario

Canada

  • University of Guelph

SCHOLARLY PAPERS

10

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Rank 22,492

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Top 22,492

in Total Papers Downloads

5,590

TOTAL CITATIONS

7

Scholarly Papers (10)

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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 1,692 (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 777 (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 531 (216,367)

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

4.

ClusterLOB: Enhancing Trading Strategies by Clustering Orders in Limit Order Books

Number of pages: 34 Posted: 07 May 2025 Last Revised: 10 May 2025
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff and Stefan Zohren
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Guelph and University of Oxford
Downloads 504 (150,726)
Citation 2

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Limit order book, Order flow imbalance, Order flow imbalance decomposition, Unsupervised learning, Clustering, High frequency trading, Market microstructure

5.

Dynamic Time Warping for Lead-Lag Relationships in Lagged Multi-Factor Models

Number of pages: 31 Posted: 10 Oct 2023
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff and Stefan Zohren
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Guelph and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 409 (181,053)
Citation 1

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Dynamic Time Warping, High-dimensional time series, Lead-lag relationships, Unsupervised learning, Clustering, Financial markets

6.

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 387 (240,043)

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

7.

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 383 (240,043)

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

8.

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 367 (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

9.

Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models

Number of pages: 45 Posted: 13 May 2023 Last Revised: 19 Sep 2023
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff and Stefan Zohren
University of Oxford - Department of Statistics, University of California, Los Angeles (UCLA) - Department of Mathematics, University of Guelph and University of Oxford
Downloads 339 (223,475)

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High-dimensional time series, Lead-lag relationships, Unsupervised learning, Clustering, Financial markets

10.

Generalized Factor Neural Network Model for High-dimensional Regression

Number of pages: 43 Posted: 24 Feb 2025
Zichuan Guo, Mihai Cucuringu and Alexander Y. Shestopaloff
Univeristy of Oxford, University of California, Los Angeles (UCLA) - Department of Mathematics and University of Guelph
Downloads 201 (389,821)

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High-dimensional Regression, Generalized Additive Model, Factor Model, Neural Network, Hierarchical Composition Model, Generalized PCA