Mix the almonds, sugar, and almond extract in a food processor until the ingredients come together; depending on how dry the almonds are, you will get a sticky to smooth consistency.
In a bowl, whisk the egg white until frothy. Mix in the almond mixture and the orange zest.
Divide the dough into 4 equal parts.
On a floured surface, roll each part with a rolling pin into a rectangle, about 10 by 4 inches (25.5 by 10 centimeters), with the longest side toward you. It is easiest to roll out the dough between 2 sheets of plastic wrap.
For each rectangle of dough, use a quarter of the filling, spreading it lengthwise down the middle of the rectangle, parallel to the longest side. This should take up the middle third of the dough, leaving one third of uncovered dough at the top and bottom edges.
Fold the top third down so that it completely covers the filling, then fold the bottom third up to meet the top, as if folding a piece of paper into thirds.
If any of the dough breaks in the process of folding, pinch it together with your fingers so that the filling doesn't leak out. Pinch the ends of the log closed. Repeat this process for each log.
When transferring to the baking sheet, carefully turn the logs over so that the folded section is on the bottom.
Bake for 15 minutes, until the edges are lightly browned. Remove from the oven and let cool on the baking sheet.