Artificial Neural Network (ANN) has been shown to be an efficient tool for non-parametric modeling of data in a variety of different contexts where the output is a non-linear function of the inputs. These include business forecasting, credit scoring, bond rating, business failure prediction, medicine, pattern recognition, and image processing. A large number of studies have been reported in the literature with reference to use of ANN in modeling stock prices in the western countries However, not much work along these lines has been reported in the Indian context. In this paper we discuss modeling of Indian stock market (price index) data using ANN. We study the efficacy of ANN in modeling the Bombay Stock Exchange (BSE) SENSEX weekly closing values. We develop two networks with three hidden layers for the purpose of this study which are denoted as ANN1 and ANN2. ANN1 takes as its inputs the weekly closing value, 52-week Moving Average of the weekly closing SENSEX values, 5-week Moving Average of the same, and the 10-week Oscillator for the past 200 weeks. ANN2 takes as its inputs the weekly closing value, 52-week Moving Average of the weekly closing SENSEX values, 5-week Moving Average of the same, and the 5-week volatility for the past 200 weeks. Both the neural networks are trained using data for 250 weeks starting January, 1997. To assess the performance of the networks we used them to predict the weekly closing SENSEX values for the two year period beginning January, 2002 The root mean square error (RMSE) and mean absolute error (MAE) are chosen as indicators of performance of the networks. ANN1 achieved an RMSE of 4.82% and MAE of 3.93% while ANN2 achieved an RMSE of 6.87% and MAE of 5.52%.