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Dynamically Aggregating Diverse Information

Annie Liang (), Xiaosheng Mu () and Vasilis Syrgkanis ()
Additional contact information
Annie Liang: Department of Economics, University of Pennsylvania
Xiaosheng Mu: Columbia University
Vasilis Syrgkanis: Microsoft Corporation - Microsoft Research New England

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: An agent has access to multiple data sources, each of which provides information about a different attribute of an unknown state. Information is acquired continuously where the agent chooses both which sources to sample from, and also how to allocate resources across them until an endogenously chosen time. We show that the optimal information acquisition strategy proceeds in stages, where resource allocation is constant over a fixed set of providers during each stage, and at each subsequent stage a new provider is added to the set. We additionally apply this characterization to derive results regarding: (1) equilibrium information provision by competing data providers, and (2) endogenous information acquisition in a binary choice problem.

Pages: 40 pages
Date: 2019-04-15
New Economics Papers: this item is included in nep-bec, nep-gth and nep-mic
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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:19-005

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