The nature of the stock market data is briefly discussed first. It follows a brief discussion on the nature of the methodology of computational intelligence and their application perspectives for data mining. An experimental system for discovering the trend of market price changing and the prediction model from the stock exchange data records are proposed, in which, the training parameters of a neural network are optimized and defined by running the genetic algorithm along with the training procedure of the neural network.The ideas of design and the techniques of implementation are described in detail in this paper.Taking arbitrary the Shanghai First Department Store for case study,the experimental results are given finally.