Dynamically Aggregating Diverse Information

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, at which point a decision is taken. 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 stage a new provider is added to the set. We additionally apply this characterization to derive results regarding: (1) endogenous information acquisition in a binary choice problem, and (2) equilibrium information provision by competing news sources. * This paper grew out of and subsumes parts of our earlier working paper "Optimal and Myopic Information Acquisition," which studies a discrete-time setting. See Section 6 for a discussion of the relationship between the two papers.† We are grateful to Yash Deshpande,