Working with alternative data

We will illustrate the acquisition of alternative data using web scraping, targeting first OpenTable restaurant data, and then move on to earnings call transcripts hosted by Seeking Alpha.

Scraping OpenTable data

Typical sources of alternative data are review websites such as Glassdoor or Yelp, which convey insider insights using employee comments or guest reviews. Clearly, user-contributed content does not capture a representative view, but rather is subject to severe selection biases. We'll look at Yelp reviews in Chapter 14, Text Data for Trading – Sentiment Analysis, for example, and find many more very positive and negative ratings on the five-star scale than you might expect. Nonetheless, this data can be valuable input for ML models that aim to predict a business's prospects or market value relative to competitors or over time to obtain trading signals.

The data needs to be extracted from the HTML source, barring...