Time series forecasting is challenging, especially when working with long sequences, noisy data, multi-step forecasts and multiple input and output variables.
Deep learning methods offer a lot of promise for time series forecasting, such as the automatic learning of temporal dependence and the automatic handling of temporal structures like trends and seasonality. It has been demonstrated that a Neural Network can approximate any continuous function. Neural networks have been successfully used for forecasting of financial data series. The classical methods used for time series prediction like Box-Jenkins or ARIMA assumes that there is a linear relationship between inputs and outputs. Neural Networks have the advantage that can approximate nonlinear functions without any apriori information about the properties of the data