Dynamically Aggregating Diverse Information

TL;DR

This paper characterizes the optimal strategy for an agent to dynamically acquire and allocate attention across multiple information sources over time, with applications to binary choice, biased news, and attention manipulation.

Contribution

It provides an exact characterization of optimal information acquisition strategies in dynamic settings with multiple sources, extending understanding of strategic information gathering.

Findings

Optimal acquisition strategies are characterized under weak prior assumptions.

New insights into endogenous information acquisition for binary choices.

Analysis of strategic information provision by biased sources and attention effects.

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.