Enea Monzio Compagnoni
Zürich, Schweiz
597 Follower:innen
500+ Kontakte
Info
I am an extremely motivated and scientifically mature PhD candidate. I love to learn and…
Aktivitäten
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It is my pleasure to collaborate with amazing people to push the boundary of molecular chemistry using machine learning method! #AIforScience…
It is my pleasure to collaborate with amazing people to push the boundary of molecular chemistry using machine learning method! #AIforScience…
Beliebt bei Enea Monzio Compagnoni
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This was such a great event, loved seeing so many talented and motivated people in one place. The energy was incredible. Let’s have more of this!…
This was such a great event, loved seeing so many talented and motivated people in one place. The energy was incredible. Let’s have more of this!…
Beliebt bei Enea Monzio Compagnoni
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🤖 Robots learned, experiments ran (mostly as planned), and the PhD is finally complete! Yesterday’s defense of my thesis “Robot Learning from Humans…
🤖 Robots learned, experiments ran (mostly as planned), and the PhD is finally complete! Yesterday’s defense of my thesis “Robot Learning from Humans…
Beliebt bei Enea Monzio Compagnoni
Berufserfahrung
Ausbildung
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University of Basel
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Activities and Societies: Research and Teaching.
Research Focus:
Stochastic Optimization for Deep Learning.
Teaching Duties:
Exercise Sessions for Deep Learning and Optimization classes.
Side Projects:
System Identification with Randomized Signature and Optimal Risk Sharing with Deep Neural Networks. -
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Master's Thesis under the supervision of Prof. Dr. Josef Teichmann:
"Learning Rough Dynamics: A Randomized Signature Approach"
Particular focus on:
- Machine Learning for Finance
- Portfolio Management
- Risk Management
- Quantitative Asset Management and Pricing
- Financial Engineering
Projects:
- Financial application of Neural Controlled ODEs and Reservoir Computing
- Dynamics of Implied Volatility Surface with Deep Neural Network
-…Master's Thesis under the supervision of Prof. Dr. Josef Teichmann:
"Learning Rough Dynamics: A Randomized Signature Approach"
Particular focus on:
- Machine Learning for Finance
- Portfolio Management
- Risk Management
- Quantitative Asset Management and Pricing
- Financial Engineering
Projects:
- Financial application of Neural Controlled ODEs and Reservoir Computing
- Dynamics of Implied Volatility Surface with Deep Neural Network
- Implied Volatility Surface fitting and modeling
- PD Model based on Merton Model -
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Focus on:
- Advanced Statistics
- Advanced Probability Theory
- Market Modelling
- Martingale Theory
- Stochastic Calculus
- Risk Measures
- Big Data
- Data Mining.
Master Thesis:
Systemic Risk Measures on Orlicz Spaces -
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Bachelor Project: Non-linear Schrödinger Equation
Bescheinigungen und Zertifikate
Veröffentlichungen
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An SDE for Modeling SAM: Theory and Insights
ICML 2023
We study the SAM (Sharpness-Aware Minimization) optimizer which has recently attracted a lot of interest due to its increased performance over more classical variants of stochastic gradient descent.
Our main contribution is the derivation of continuous-time models (in the form of SDEs) for SAM and two of its variants, both for the full-batch and mini-batch settings.
We demonstrate that these SDEs are rigorous approximations of the real discrete-time algorithms (in a weak sense, scaling…We study the SAM (Sharpness-Aware Minimization) optimizer which has recently attracted a lot of interest due to its increased performance over more classical variants of stochastic gradient descent.
Our main contribution is the derivation of continuous-time models (in the form of SDEs) for SAM and two of its variants, both for the full-batch and mini-batch settings.
We demonstrate that these SDEs are rigorous approximations of the real discrete-time algorithms (in a weak sense, scaling linearly with the learning rate).
Using these models, we then offer an explanation of why SAM prefers flat minima over sharp ones~--~by showing that it minimizes an implicitly regularized loss with a Hessian-dependent noise structure.
Finally, we prove that SAM is attracted to saddle points under some realistic conditions.
Our theoretical results are supported by detailed experiments.Andere Autor:innenVeröffentlichung anzeigen -
On the effectiveness of Randomized Signatures as Reservoir for Learning Rough Dynamics
IEEE IJCNN 2023
Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs. A powerful tool to perform time series analysis in this context is rooted in rough path theory and leverages the so-called Signature Transform. This algorithm enjoys strong theoretical guarantees but is hard to scale to high-dimensional data. In this paper, we study a recently derived random projection variant called Randomized Signature, obtained…
Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs. A powerful tool to perform time series analysis in this context is rooted in rough path theory and leverages the so-called Signature Transform. This algorithm enjoys strong theoretical guarantees but is hard to scale to high-dimensional data. In this paper, we study a recently derived random projection variant called Randomized Signature, obtained using the Johnson-Lindenstrauss Lemma. We provide an in-depth experimental evaluation of the effectiveness of the Randomized Signature approach, in an attempt to showcase the advantages of this reservoir to the community. Specifically, we find that this method is preferable to the truncated Signature approach and alternative deep learning techniques in terms of model complexity, training time, accuracy, robustness, and data hungriness.
Andere Autor:innenVeröffentlichung anzeigen -
Risk Sharing with Deep Neural Networks
Under Review
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called optimal allocations. We propose a neural network-based framework to solve the problem and we prove the convergence of the approximated inf-convolution, as well as the approximated optimal allocations, to the corresponding theoretical values. We support our…
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of the risk metrics and finding the so-called optimal allocations. We propose a neural network-based framework to solve the problem and we prove the convergence of the approximated inf-convolution, as well as the approximated optimal allocations, to the corresponding theoretical values. We support our findings with several numerical experiments.
Andere Autor:innenVeröffentlichung anzeigen
Weitere Aktivitäten von Enea Monzio Compagnoni
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What if LLMs could embrace a "learning by doing" approach, like robots do? Reinforcement Learning (RL) in robotics is inherently interactive, agents…
What if LLMs could embrace a "learning by doing" approach, like robots do? Reinforcement Learning (RL) in robotics is inherently interactive, agents…
Beliebt bei Enea Monzio Compagnoni
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Exciting news! 🚀 The development of a legged robotic platform that will eventually enable missions like LunarLeaper will be supported by the…
Exciting news! 🚀 The development of a legged robotic platform that will eventually enable missions like LunarLeaper will be supported by the…
Beliebt bei Enea Monzio Compagnoni
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Apparently, our good old weight decay paper made it into the Stanford CS336: Language Modeling from Scratch course... I'm sometimes nostalgic about…
Apparently, our good old weight decay paper made it into the Stanford CS336: Language Modeling from Scratch course... I'm sometimes nostalgic about…
Beliebt bei Enea Monzio Compagnoni
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Excited to share that our co-founder Julian Nubert will be speaking at the AI+X Summit on Thursday, 2 October 2025 as part of the Zurich AI Festival!…
Excited to share that our co-founder Julian Nubert will be speaking at the AI+X Summit on Thursday, 2 October 2025 as part of the Zurich AI Festival!…
Beliebt bei Enea Monzio Compagnoni
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🚨 New paper alert! 🚨 Our latest work https://lnkd.in/eGeq8Vsk has been accepted to NeurIPS! We demonstrate how adapting the NGN stepsize with…
🚨 New paper alert! 🚨 Our latest work https://lnkd.in/eGeq8Vsk has been accepted to NeurIPS! We demonstrate how adapting the NGN stepsize with…
Beliebt bei Enea Monzio Compagnoni
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I know this is going to be a good one! Tommaso Bendinelli
I know this is going to be a good one! Tommaso Bendinelli
Geteilt von Enea Monzio Compagnoni
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Excited to announce that applications are now open for the Zurich Builds Simulation Hackathon, which we’re hosting together with NVIDIA & Jua.ai in…
Excited to announce that applications are now open for the Zurich Builds Simulation Hackathon, which we’re hosting together with NVIDIA & Jua.ai in…
Beliebt bei Enea Monzio Compagnoni
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🌟 Welcome to the DSI, Anastasia Koloskova. 🌟 We are delighted to welcome Anastasiia as a new DSI Professor in Artificial Intelligence (#AI)…
🌟 Welcome to the DSI, Anastasia Koloskova. 🌟 We are delighted to welcome Anastasiia as a new DSI Professor in Artificial Intelligence (#AI)…
Beliebt bei Enea Monzio Compagnoni