The algorithm of the adaptive resonant theory ART-2 is based on the ideas of dynamic clustering and the unsupervised learning model. The classic application of the ART-2 algorithm is related to the solution of pattern recognition problems in the framework of the neural network approach. The article proposes a modification of the adaptive resonance theory ART-2 as applied to the solution of the time series (TS) prediction problem. A description of the TS forecasting algorithm based on ART-2, its properties and application features, as well as the results of a study of TS free electricity prices of the “day-ahead market” (DAM) in Russia is here. The obtained results allow us to conclude about the prospects of using ART-2 to study the structure and prediction of TS with a periodic (seasonal) component.