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Knowing When to Stop and Make a Choice, an Experiment on Optimal Sequential Sampling

We investigate how people make choices when they are unsure about the value of the options they face, and can invest in the acquisition of more information. The optimal sequential sampling solution to this problem identifies when, and at what level of risk, a decision maker should stop gathering costly information. We design a laboratory experiment to test our predictions. While participants choose a level of risk close to theoretical one, they deviate from the optimal strategy in a systematic manner: information is over-sampled when expensive and under-sampled when cheap. With time, participants tend to learn, without converging towards equilibrium.