Resources
Books - these are good easy to read introductions to wavelets, neural networks and their applications.
Hubbard, Barbara Burke(1998). The World According to Wavelets : The Story of a Mathematical Technique in the Making. A K Peters Ltd; ISBN: 1568810725
Masters, Timothy (1995) Neural, Novel & Hybrid Algorithms for Time Series Prediction. John Wiley and Sons, New York; ISBN 0471130419
Web Sites
Amara's Wavelet Page - The best wavelet page on the net.
Papers - these papers specifically address using wavelets as inputs to neural networks in financial applications but are not as accessible as the previous references.
'Wavelet-based feature extraction and decomposition strategies for financial forecasting.' A. Aussem, J. Campbell and F. Murtagh Journal of Computational Intelligence in Finance, Vol. 6, No. 2, March/April 1998, 5-12
'The Wavelet Transform for Filtering Financial Data Streams'. Murtagh, F., G. Zheng, J.G. Campbell and J.L. Starck, Journal of Computational Intelligence in Finance, Vol. 7, No. 3, May/June 1999