This paper presents the use of immune-based neural networks that include multilayer perceptron (MLP) and functional neural network for the prediction of financial time series signals. Extensive simulations for the prediction of one- and five-steps-ahead of stationary and non-stationary time series were performed which indicate that immune-based neural networks in most cases demonstrated advantages in capturing chaotic movement in the financial signals with an improvement in the profit return and rapid convergence over MLPs.