A improved swarm optimization method based on particle swarm optimization (PSO) and simplified swarm optimization (SSO) is proposed to adjust the weight in artificial neural network. This method is a modification of traditional PSO and SSO, and combines them to a new optimization method (PSOSSO for short). The proposed method overcomes some of the drawbacks of SSO and improves its ability to train the weight of ANN. In the experiments, the PSOSSO is employed to train fuzzy wavelet neural network (FWNN) forecasting model to predict the prices of Hong Kong Hang Seng Index. The experimental results present that the PSOSSO is more efficient than traditional PSO and SSO methods.