In this paper a predictor model using Legendre Neural Network is proposed for one day ahead prediction of financial time series data. The Legendre Neural Network (LENN) is a single layer structure that possess faster convergence rate and reduced computational complexity by increasing the dimensionality of the input pattern with a set of linearly independent nonlinear functions. The parameters of the LENN model are estimated using a Moderate Random Search Particle Swarm Optimization Method (HMRPSO). The HMRPSO is a variant of PSO that uses a moderate random search method to enhance the global search ability of particles and increases their convergence rates by focusing on valuable search space regions. Training LENN using HMRPSO has also been compared with Particle Swarm Optimization (PSO) and Differential Evolution (DE) based learning of LENN for predicting the Bombay Stock Exchange and S&P 500 data sets.