Applying ANNs to the stock market

I was wondering if anyone else has bothered doing this.  I have a few PDFs sitting around that cover neural nets pretty well (representations & learning), and a few that are from 90s that illustrate (understandable) networks for projecting stock price.  Last I recall, one of those papers from early 2000 generally did better than random picks.

I want to try it, knowing that I won't likely make any money, thanks to the superior algorithms already playing in the market on sub-millisecond trades.  Sort of wanting to get shot down for infeasibility or have my anus haxed by someone better-versed than I am in this field.

ANNs are probably too small to do submillisecond trades, but beyond that, there's a definite possibility of success if you can find a way to deliver the *massive* amount of information needed to describe the stock market to it