Dynamically Aggregating Diverse Information

Annie Liang*, Xiaosheng Mu, Vasilis Syrgkanis

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


An agent has access to multiple information sources, each modeled as a Brownian motion whose drift provides information about a different component of an unknown Gaussian 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 demonstrate conditions on the agent's prior belief under which it is possible to exactly characterize the optimal information acquisition strategy. We then apply this characterization to derive new results regarding: (1) endogenous information acquisition for binary choice, (2) the dynamic consequences of attention manipulation, and (3) strategic information provision by biased news sources.

Original languageEnglish (US)
Pages (from-to)47-80
Number of pages34
Issue number1
StatePublished - Jan 2022

ASJC Scopus subject areas

  • Economics and Econometrics


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