AI's Role in Asset Pricing and Stock Market Prediction: A Narrative Literature Review

The stock market has always been a subject of significant attention and scrutiny. Financial analysts and investors are being equipped with innovative tools by new trends in AI-driven stock market prediction to better understand and adapt to the dynamic market environment. As this field progresses, more research is essential to fully dive into AI's potential for stock market applications. A narrative literature review—which is the method used in this study—examines and analyzes key AI and machine learning techniques used in stock market prediction and evaluates their effectiveness in outperforming traditional forecasting methods. The research reviews 52 peer-reviewed articles published between 2010 and 2024, identifying gaps in current research. An integrative AI-driven portfolio optimization model is also developed by the study based on the findings, using a narrative literature review approach.