The Law of Large Demand for Information

The Law of Large Demand for Information

An unresolved problem in Bayesian decision theory is how to value and price information. This paper resolves both problems assuming inexpensive information. Building on Large Deviation Theory, we produce a generically complete asymptotic order on samples of i.i.d. signals in finite-state, finite-act...

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Bibliographische Detailangaben
Veröffentlicht in:Econometrica. - Wiley. - 70(2002), 6, Seite 2351-2366
1. Verfasser: Moscarini, Giuseppe (VerfasserIn)
Weitere Verfasser: Smith, Lones
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2002
Zugriff auf das übergeordnete Werk:Econometrica
Schlagworte:Demand for Information Logarithmic Demand Value of Information Bayesian Decision Theory Comparison of Experiments Large Deviation Theory Economics Behavioral sciences Mathematics Law
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520 |a An unresolved problem in Bayesian decision theory is how to value and price information. This paper resolves both problems assuming inexpensive information. Building on Large Deviation Theory, we produce a generically complete asymptotic order on samples of i.i.d. signals in finite-state, finite-action models. Computing the marginal value of an additional signal, we find it is eventually exponentially falling in quantity, and higher for lower quality signals. We provide a precise formula for the information demand, valid at low prices: asymptotically a constant times the log price, and falling in the signal quality for a given price. 
540 |a Copyright 2002 Econometric Society 
650 4 |a Demand for Information 
650 4 |a Logarithmic Demand 
650 4 |a Value of Information 
650 4 |a Bayesian Decision Theory 
650 4 |a Comparison of Experiments 
650 4 |a Large Deviation Theory 
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650 4 |a Economics  |x Microeconomics  |x Economic utility  |x Expected utility 
650 4 |a Law  |x Statutory law  |x Legislation  |x Congressional legislation  |x Information legislation 
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