In a large mixing bowl, stir together the warm milk and yeast along with 1 ½ cups bread flour and ¼ cup sugar until smooth. Cover with a towel or plastic wrap and let stand for about an hour. It will inflate and the surface will be covered with small bubbles.
Using a stand mixer fitted with the dough hook attachment, stir together the remaining 3 ½ cups flour, ¾ cup sugar, almond flour, anise seed, salt, and orange orange zest. Make a well in the center and scrape in the yeast mixture along with the eggs, yolk, and melted butter. Knead on medium speed until a smooth dough forms, 5 to 7 minutes. The dough should be slightly tacky, but will release from the sides bowl. Add extra flour by the spoonful if necessary, but try not to add too much.
(You can also make the dough by hand, mixing it first in a large bowl and then kneading for 10 to 12 minutes on your work surface, adding flour as necessary.)
Shape the dough into a ball and rub it all over in a light coating with oil. Place it back in the mixing bowl and cover it with plastic wrap. Set in a warm place to rise until doubled in size, 1 ½ to 2 hours.
Turn the dough onto a clean work surface. You shouldn’t need much more flour, but use it sparingly to prevent sticking if you do. Divide it into two even portions, then divide each one into three portions.
Roll three of these portions into long ropes, about 18 inches long. Pinch the tips together and then braid them to shape the first loaf, pinching and tucking the ends together so that they’re sealed. Place the shaped loaf on a parchment lined baking sheet. Repeat this process with the remaining three portions of dough, placing the second loaf on a second parchment-lined baking sheet.
Cover each one loosely with plastic and set in a warm spot to proof until doubled in size, another 1 ½ to 2 hours.
Preheat the oven to 350°F.
Brush the egg white all over the top and sides of the loaves. Sprinkle the sliced almonds on top. Transfer the pans to the oven and bake until golden brown all over, 25 to 30 minutes, rotating the pans halfway through. Cool completely on wire racks before slicing.
Notes
Loosely wrapped, the breads will keep for 2 days at room temperature, or for up to a month in the freezer in an airtight bag.