Incorporating Stock Prices and Social Media Sentiment for Stock Market Prediction: A Case of Indonesian Banking Company

Forecasting the stock market is one of the most popular topics to be discussed in many fields. Many studies, especially in information technology have been conducted machine learning algorithms to achieve a more accurate prediction of the stock market. This research aims to find the effectiveness in predicting stock market performance by utilizing social media sentiment in combination with historical data. In addition, this research uses a machine learning algorithm to train a model to predict the stock price of each bank and training the model on a dataset that included the historical stock prices of the bank, as well as the sentiment scores of the social media posts about the bank and evaluate the performance of the model by comparing the predicted stock prices to the actual stock prices. The research shows that the R2 and RMSE score model that has been built with its historical data has slightly better performance than the model that has been built with the combination of historical data and social media sentiment. The finding indicates that the research method is closely correlated and affected to the performance of the stock market prediction.