Structured summaries of the academic papers, textbooks, and industry reports that feed the model. Grouped by research domain; sorted by importance (5 = seminal, 1 = niche).
ML Systems & Technical methodology
Importance 5 — seminal
- Leather & Sagi — Markov-switching CRE asset pricing
- Leather & Sagi — Riccati equation derivation for CRE pricing
- Cho & Moreno 2010 — Forward method for rational expectations
- Ang, Bekaert & Wei 2008 — Real rates and expected inflation
- Bansal & Zhou 2002 — Term structure with regime shifts
- Bikbov & Chernov — Monetary-policy regimes and the term structure
- Dai, Singleton & Yang 2007 — Regime shifts in the term structure
- Costa, Fragoso & Marques — MJLS textbook
- Hansen & Scheinkman 2009 — Long-term risk operator approach
- Murphy 1998 — Switching Kalman filters
- Understanding MSRE models (survey)
Importance 4 — influential
- Design brief — global optimization pipeline
- Leather & Sagi — 54-D constrained optimization benchmark
- Mazor et al. — IMM target-tracking survey
- Moon & Başar — Risk-sensitive MJLS control
- Runnalls — KL-bound Gaussian mixture reduction
- Determinacy classification for MSRE
- Ghysels — Forecasting real estate prices
Importance 3 — field-standard
- Crouse — Gaussian mixture reduction survey
- Synthesis — final day sprint decisions
- White 2017 — Unifying task specification in RL
- Yu, Mahmood & Sutton — Generalized Bellman TD learning
- Monetary-policy regime switches and macro dynamics
- Long-run Taylor principle revisited
- DSGE model-based estimation (New Keynesian)
Importance 2 — useful
Economics & Macroeconomics
- Regime switches & agents’ beliefs in the post-war world — importance 4
- Testing indeterminacy in monetary policy — importance 4
Real Estate & Industry
- CRE boom-bust: risk premia, regulation, CMBS — importance 4
- Expected returns & expected growth of rents (commercial) — importance 3
- 2026 US real estate market outlook — importance 2
- Cap rate — please explain (NCREIF practitioner note) — importance 2
- SitusAMC real estate report 2Q 2025 — importance 2
Finance & Asset Pricing
- Higher-order effects in asset pricing models — importance 4
- Pricing long-lived securities in a dynamic endowment — importance 4
- Arbitrage-free three-factor term structure — importance 4
- Generalized disappointment aversion & long-run volatility — importance 3