An Axiomatic Theory of Dynamic Information Acquisition

Abstract

Consider a decision-maker who has an opportunity to wait for information before making a choice. He can obtain more information by waiting more, but this is costly. As a result, he endogenously determines the length of time to choose an alternative, which is called response time. The Aoyama (2019) models such a decision-maker as if he solves an optimal stopping problem. The present paper summarizes the main result in that paper. The model incorporates dynamic information structure formalized as evolving information partition, which we call subjective filtration. We axiomatically characterize the model using the behavioral data consisting of choice and response time conditional on choice situations. From the data, we partially identify subjective filtration as well as other parameters, by which we explain the data. This result implies that using response time somewhat helps us understand the human cognitive process.