Time series prediction is an intensively studied topic in data mining. In spite of the considerable improvements, recent deep learning-based methods overlook the existence of extreme events, which result in weak performance when applying them to real time series... Extreme events are rare and random, but do play a critical role in many real applications, such as the forecasting of financial crisis and natural disasters. In this paper, we explore the central theme of improving the ability of deep learning on modeling extreme events for time series prediction. Through the lens of formal analysis, we first find that the weakness of deep learning methods roots in the conventional form of quadratic loss. To address this issue, we take inspirations from the Extreme Value Theory, developing a new form of loss called Extreme Value Loss (EVL) for detecting the future occurrence of extreme events. Furthermore, we propose to employ Memory Network in order to memorize extreme events in historical records.By incorporating EVL with an adapted memory network module, we achieve an end-to-end framework for time series prediction with extreme events. Through extensive experiments on synthetic data and two real datasets of stock and climate, we empirically validate the effectiveness of our framework. Besides, we also provide a proper choice for hyper-parameters in our proposed framework by conducting several additional experiments. (read more)