Dynamic Choice of Information Sources

California Institute of Technology Social Science Working Paper

ICEF Working Paper WP9/2019/05

59 Pages Posted: 3 Nov 2016 Last revised: 2 Oct 2020

See all articles by Tatiana Mayskaya

Tatiana Mayskaya

National Research University Higher School of Economics - International College of Economics and Finance; National Research University Higher School of Economics - Faculty of Economics

Date Written: October 1, 2020

Abstract

An agent has to choose among a finite set of actions with payoffs depending on an unknown state of the world with two (possibly correlated) binary components, (θ1, θ2), θi∈{0,1}. Before making the choice, the agent can learn about the state by dynamically allocating his limited attention over two information sources, modelled as search processes for conclusive evidence of θ1=1 or θ2=1. In the special case where θ1+θ2 ≤1, the agent searches for the most probable evidence up to some time t*, and after that he continues by challenging his current beliefs in the most effective way. The agent never changes his allocation of attention after t*. When the state (1,1) is possible, the attention rule before t* is different. Sufficient conditions for t*>0 are given. A negative correlation between the state components increases t*.

Keywords: dynamic information acquisition, Poisson process, limited attention, correlation, media consumption

JEL Classification: D83

Suggested Citation

Mayskaya, Tatiana, Dynamic Choice of Information Sources (October 1, 2020). California Institute of Technology Social Science Working Paper, ICEF Working Paper WP9/2019/05, Available at SSRN: https://ssrn.com/abstract=2863605 or http://dx.doi.org/10.2139/ssrn.2863605

Tatiana Mayskaya (Contact Author)

National Research University Higher School of Economics - International College of Economics and Finance ( email )

Pokrovski Bulvar 11, Korpus Zh, Office 715
Moscow, 109028
Russia

National Research University Higher School of Economics - Faculty of Economics ( email )

Shabolovka 26
Moscow, 119049
Russia

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