Data mining is the process of finding the hidden knowledge from data warehouse or data marts. Data mining is the part of Knowledge Discovery in Databases (KDD) process. Artificial neural network as a tool has proved to be beneficial in extracting useful knowledge from the data warehouses which consists of large amount of data. Data warehousing firms are harvesting information by the process of data mining. This paper is to study the use of Artificial Neural Network (ANN) in the field of stock exchange market.