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Dynamically Aggregating Diverse Information

Annie Liang, Xiaosheng Mu and Vasilis Syrgkanis

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Abstract: An agent has access to multiple information sources, each of which provides information about a different attribute of an unknown state. Information is acquired continuously\textemdash where the agent chooses both which sources to sample from, and also how to allocate attention across them\textemdash until an endogenously chosen time, at which point a decision is taken. We provide an exact characterization of the optimal information acquisition strategy for settings where the attributes are not too strongly correlated. We then apply this characterization to derive new results regarding: (1) endogenous information acquisition for binary choice, and (2) strategic information provision by competing news sources.

Date: 2019-10, Revised 2020-07
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Handle: RePEc:arx:papers:1910.07015