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Customer Relationship Management (CRM) is a developing direction for China Security Company in the future. Relative to abroad developed countries Securities Company, our China securities Company still is in a low level for the clients behavior observation. In this paper, author introduces the data mining technology into Security Company customer behaviors information management processes. Meanwhile, through construct the clients behavior model and data mining processing to refine some high value customers behavior character information, thus, to offer accurate data supports for the company Policy-makers. Also, a real case is analyzed in this article, having a very strong reference meaning in fact.