Dynamically Aggregating Diverse Information
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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.
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