An estimation of firms' commercial networks based on historical stock price

Abstract

In this paper, we introduce new approach to estimate firms' commercial networks based on their historical stock price. Recently commercial networks are keenly researched to expand the accuracy of risk management especially in estimating negative impacts from business counter parties. The standard approach to obtain networks is firstly we collect all firms' financial reports as of same timing with the corporation of all financial institutions, secondly extract business transactions by carefully checking details of their balance sheets, and thirdly unite each firms without any discrepancy. It would take enormous time and efforts. We utilize historical stock price to escape from having these difficulties. We introduce our approach with overviewing simple model guidance and explaining a few samples of numerical experiments.