We study information demand and supply at the firm and market level using data for 30 of
the largest stocks traded on NYSE and NASDAQ. Demand is approximated in a novel …

A representative agent fears that his model, a continuous time Markov process with jump
and diffusion components, is misspecified and therefore uses robust control theory to make …

Identical agents gather costly information, and then aggregate it through voting. Because
information is a public good, information is underprovided relative to the social optimum. A …

We present a dual process diffusion model to examine whether Bitcoin prices behave with
jumps attributed to informative signals derived from Twitter and Google Trends. The …

We study the information preferences and information demand of decision-makers facing
uncertainty. We focus on monotone decision problems in which the posterior beliefs induced …

We derive optimal time-dependent adjustment rules from Shannon's (1948) Information
Theory. In a continuous-time LQ prediction problem with a costly rate of information …

We propose a new framework for optimal experimentation, which we term the “A/B testing
problem.” Our model departs from the existing literature by allowing for fat tails. Our key …

A signal is a description of an information source that specifies both its correlation with the
state and its correlation with other signals. Extending Blackwell (1953), we characterize …

We study robust welfare comparisons of learning biases (misspecified Bayesian and some
forms of non-Bayesian updating). Given a true signal distribution, we deem one bias more …

This paper revisits the well-known result of R. Radner and J. Stiglitz (1984, in “Bayesian
Models of Economic Theory,” Elsevier, Amsterdam) which shows that, under certain …