Download This PaperDynamic 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
There are 2 versions of this paper
Dynamic Choice of Information Sources
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: Suggested Citation
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