I'm considering doing this. Have you tried playing around with simple neural nets? Andrew Ng's machine coursera course is really phenomenal and drops you into doing neural nets using octave, which makes the understanding really easy. After doing it in octave, and writing some simple discriminators, I was able to really rapidly write neural nets in several languages - I even wrote one in python - a language I don't 'know' - to play around with in quantopian. Needless to say, the neural net lost a lot of virtual money, but I figured out why. =)