Stock price prediction is a difficult task, since it very
depending on the demand of the stock, and there is no certain
variable that can precisely predict the demand of one stock each
day. However, Efficient Market Hypothesis (EMH) said that stock
price also depends on new information significantly. One of many
information sources is people’s opinion in social media. People’s
opinion about products from certain companies may determine
the company’s reputation and thus affecting people’s decision to
buy the stock of the company. When using opinion as primary
data, it is necessary to make a suitable analysis of it. A famous
example using opinion as data is sentiment analysis. Sentiment
analysis is a process to determine emotion/feeling within people
opinion about something, in this case products of some companies.
There are some researches about sentiment analysis used to
predict the stock prices. Bollen on his research concludes that
people opinion on social media such as Twitter can predict DJIA
value with 87.6% accuracy. This shows that there is a relation
between sentiment analysis and stock prices. Our purpose on this
research is to predict the Indonesian stock market using simple
sentiment analysis. Naïve Bayes and Random Forest algorithm are
used to classify tweet to calculate sentiment regarding a company.
The results of sentiment analysis are used to predict the company
stock price. We use linear regression method to build the
prediction model. Our experiment shows that prediction models
using previous stock price and hybrid feature as predictor gives
the best prediction with 0.9989 and 0.9983 coefficient of
determination.