This paper surveys recent literature in the area of Neural Network, Data Mining, Hidden Markov Model and Neuro-Fuzzy system used to predict the stock market fluctuation. Neural Networks and Neuro-Fuzzy systems are identified to be the leading machine learning techniques in stock market index prediction area. The Traditional techniques are not cover all the possible relation of the stock price fluctuations. There are new approaches to known in-depth of an analysis of stock price variations. NN and Markov Model can be used exclusively in the finance markets and forecasting of stock price. In this paper, we propose a forecasting method to provide better an accuracy rather traditional method. Forecasting stock return is an important financial subject that has attracted researchers’ attention for many years. It involves an assumption that fundamental information publicly available in the past has some predictive relationships to the future stock returns.