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. These causal graphs can be used as preliminary feature selection for another predictive model or for policy design. We evaluate the performance of our algorithm using both synthetic linear and nonlinear experiments and apply it to the daily stock returns of U.S. listed firms and infer their interconnections.