This chapter presents the details about Artificial Neural Network (ANN) that controls human intelligence, its structure and learning techniques. It outlines how an ANN substantially contributes towards neural network’s learning as well as how node, weight, and layers can be adjusted to construct an appropriate ANN for a given scenario. Various types of ANN is discussed in this chapter along with its application to solve time series prediction. The chapter concludes with the direction of appropriate learning algorithm based on the investigation.