1. AAII Journal - American Association of Individual Investors. "The AAII is an independent not-for-profit organization formed in 1978 for the purpose of assisting individuals in becoming effective managers of their own assetts through programs of education, information, and research."
I found out about my first neural network shell, Brainmaker, through this group's periodical.
2. Technical Analysis of Stocks and Commodities. Not to be missed, and usually covers AI and pattern recognition on a regular basis, these days. Also, since many of the traditional technical analysis methods can be adapted as inputs for ANN, it's a must.
3. AI Expert. A magazine similar to PC AI, and just as valuable.
4. PC Artificial Intelligence The PC AI wesite is a wealth of information. Reviews and information regarding much of the software you will need are available on this site. The magazine itself is not to be missed.
5. Neurovest Journal. Advanced techniques for using neural networks to develop models for financial markets.
6. IEEE Journal. Institute of Electrical and Electronics Engineers. IEEE Don't let the journal / site name fool you...this is an essential resource for ideas on ANN structure and time series analysis.