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The application of data mining technology with the development of database technology and constantly in-depth promotion, it is a process of knowledge discovery, using large amounts of information in the database, find implied the relationship between variables, through logical discernment, form business operating guidelines or aid decision making, forecasting, etc. The purpose of this subject is to study the implementation of the data mining classification techniques, as applied to the classification of the Shanghai stock exchange listed company, subdividing the group of listed companies and verification only based on financial indicators data is able to significantly distinguish different groups operating performance, financial index can give investors much reliable information, at the same time pay attention to whether there are abnormal group, suggests investors wary of their changes. This paper first introduces the concept of data mining, the current state of development, and related algorithm. In the actual problem as the starting point, adopted EXCEL2007, SPSS, SQL2005, C
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