Analysis of Large Market Data Using Neural Networks: A Causal Approach
We develop a data-driven framework to identify the interconnections between firms using an information-theoretic measure. This measure generalizes Granger causality and is capable of detecting nonlinear relationships within a network. Moreover, we develop an algorithm using recurrent neural networks and the aforementioned measure to identify the interconnections of high-dimensional nonlinear systems. The outcome of this algorithm is the causal graph encoding the interconnections among the firms.