Dynamic Choice of Information Sources

California Institute of Technology Social Science Working Paper

ICEF Working Paper WP9/2019/05

79 Pages Posted: 3 Nov 2016 Last revised: 6 Jun 2022

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

Multiple version iconThere are 2 versions of this paper

Date Written: June 5, 2022

Abstract

An agent learns in continuous time from two information sources, each associated with a hypothesis. If a hypothesis is true, the associated source confirms it at a positive rate. False hypotheses are never confirmed. The agent's optimal learning strategy has two phases. During the first phase, the agent follows his beliefs; that is, at each moment, he learns from the source associated with the most likely hypothesis according to his current beliefs. During the second phase, he follows the opposite rule and focuses on the least likely hypothesis.

Keywords: dynamic information acquisition, Poisson process, limited attention, search

JEL Classification: D83

Suggested Citation

Mayskaya, Tatiana, Dynamic Choice of Information Sources (June 5, 2022). 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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