In this paper, we apply independent component analysis and backpropagation neural network to prediction the price of Taiwan Stock and up and down. We separated explanatory variables into the several independent components by independent component analysis and delete one independent component (noise) to recover the variables, that is new explanatory variables. We use the new explanatory variables to building the backpropagation neural network model and compare it with originalmodel.We can see the new variables can reduce error and improve the accuracy in the prediction by the real data.