Chung-Ming Kuan and Tung Liu, "Forecasting Exchange Rates Using
Feedforward and Recurrent Neural Networks", Journal of Applied
Econometrics, Vol. 10, No. 4, 1995, pp. 347-364.

Data file: neuralfx.dat (in neuralfx.zip)

[1] The data are daily opening bid prices in  NY Foreign Exchange
    Market from March 1, 1980 through January 28, 1985.

[2] There are 5 exchange rates arranged as BP (British Pound),
    CD (Canadian Dollar),  DM (Deutshmark), JY (Japanese Yen), and
    SF (Swiss Franc).   Except BP, all series are US$ for one unit
    of foreign currency.