System and method for abnormality detection

A system and method for use in data analysis are provided. The system comprises a data processing utility configured to receive and process input data, comprising: plurality of neural network modules capable for operating in a training mode and in a data processing mode in accordance with the training; a network training utility configured for operating the neural network modules in the training mode utilizing selected set of training data pieces for sequentially training of the neural network modules in a cascade order to reduce an error value with respect to the selected set of the training data pieces for each successive neural network module in the cascade; and an abnormality detection utility configured for sequentially operating said neural network modules for processing input data, and classifying said input data as abnormal upon identifying that all the neural network modules provide error values being above corresponding abnormality detection thresholds.