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cs.LG2025
NeuralSurv: Deep Survival Analysis with Bayesian Uncertainty Quantification
Mélodie Monod, Alessandro Micheli, Samir Bhatt
We introduce NeuralSurv, the first deep survival model to incorporate Bayesian uncertainty quantification. Our non-parametric, architecture-agnostic framework captures time-varying…
cs.LG2024
Deep Reinforcement Learning for Online Optimal Execution Strategies
Alessandro Micheli, Mélodie Monod
This paper tackles the challenge of learning non-Markovian optimal execution strategies in dynamic financial markets. We introduce a novel actor-critic algorithm based on Deep Dete…