Artificial neural networks (ANNs) have been widely used as a promising altative approach for forecast task because of their several distinguishing features. In this paper, we investigate the effect of different sampling intervals on predictive performance of ANNs in forecasting exchange rate time series. It is shown that selection of an appropriate sampling interval would permit the neural network to model adequately the financial time series. Too short or too long a sampling interval does not provide good forecasting accuracy. In addition, we discuss the effect of forecasting horizons and input nodes on the prediction performance of neural networks.