Development of SentAMaL
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The Jamaica Stock Exchange (JSE) has been defined by Standard and Poor's as a frontier market. It has undergone periods where trading gains exceeded that of major markets such as the London Stock Exchange. The randomness of the JSE was investigated over the period 2001 - 2014, using statistical tests and the Hurst exponent to reveal periods when the JSE did not follow a random walk. This dissertation focuses on machine learning algorithms including decision trees, neural networks and support vector machines used to predict the JSE. Selected algorithms were applied to trading data over a 22 month period for price and trend forecasting and a 12-year period for volume forecasts. Experimental results show 90% accuracy in the movement prediction with mean absolute error of 0.4 and 0.95 correlation coefficient for price prediction. Volume predictions were enhanced by a discretization method and support vector machine to yield over 70% accuracy. Being aware of the rapid impact social media comments have in the past had on stock markets, we decided to develop a model that incorporated social media input. This dissertation investigates the sentiments expressed on the social media platform Twitter and their predictive impact on the Jamaica Stock Exchange. A hybrid predictive model of sentiment analysis and machine learning algorithms including decision trees, neural networks and support vector machines are used to predict the Jamaica Stock Exchange. The architecture created, SentAMaL, investigated the impact of sentiments on medical marijuana legalization on relevant stock indices. Due to the unstructured nature of tweets, a customized pre-processing routine was developed prior to determining sentiment and to perform the prediction. Experimental results show 87% accuracy in the movement prediction and a 0.99 correlation coefficient and reduced mean absolute error of 0.2 for price prediction.