Dynamically Aggregating Diverse Information

82 Pages Posted: 9 May 2019 Last revised: 1 Feb 2021

See all articles by Annie Liang

Annie Liang

Northwestern University

Xiaosheng Mu

Columbia University

Vasilis Syrgkanis

Microsoft Corporation - Microsoft Research New England

Date Written: January 31, 2021

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---where the agent chooses both which sources to sample from, and also how to allocate attention across them---until an endogenously chosen time, at which point a decision is taken. We provide an exact characterization of the optimal information acquisition strategy under weak conditions on the agent's prior belief about the different attributes. We then apply this characterization to derive new results regarding: (1) endogenous information acquisition for binary choice, (2) strategic information provision by biased news sources, and (3) the dynamic consequences of attention manipulation.

Suggested Citation

Liang, Annie and Mu, Xiaosheng and Syrgkanis, Vasilis, Dynamically Aggregating Diverse Information (January 31, 2021). PIER Working Paper No. 19-005, Available at SSRN: https://ssrn.com/abstract=3385451 or http://dx.doi.org/10.2139/ssrn.3385451

Annie Liang (Contact Author)

Northwestern University ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

Xiaosheng Mu

Columbia University ( email )

3022 Broadway
New York, NY 10027
United States

Vasilis Syrgkanis

Microsoft Corporation - Microsoft Research New England ( email )

One Memorial Drive, 14th Floor
Cambridge, MA 02142
United States

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