The forecasting of finance time series data is hot spot questions in forecasting fields.This paper gives out the learning algorithm of forecasting about petroleum futures price by combining the wavelet transform and neural network theory.The learning and testing results prove wavelet neural network forecasting algorithm superior to BP algorithm and radial basis function network algorithm(HCM algorithm) in common use.So,wavelet neural network forecasting method can provide some basis for the petroleum futures buying and sellinges, and can popularize in other finance time series forecasting.