Dynamically Aggregating Diverse Information

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. 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 subsequent stage a new provider is added to the set. We additionally apply this characterization to derive results regarding: (1) equilibrium information provision by competing data providers, and (2) endogenous information acquisition in a binary choice problem.

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