The purpose of this paper is to study the nonlinear characteristics of stock market price rise and fall, and optimize the characteristics of high-dimensional data for the challenges brought by the sparsity and complexity of high-dimensional data to the traditional clustering algorithms. Explore the impact of the multidimensional characteristics and sparsity of stock data on clustering analysis, and propose a high-dimensional clustering algorithm based on Pareto-optimal Steiner points. Traditional clustering algorithms are deficient in dealing with nonlinear data and spatial clustering, while randomly selected clustering centers are easily interfered by market noise, which affects the accuracy of clustering results. In this paper, more accurate clustering results are achieved by selecting Steiner points with Pareto optimality as clustering centers. And the algorithm is applied to the analysis of the stock market, which can effectively help investors choose the appropriate investment portfolio and has important practical application value. Meanwhile, the distance matrix is constructed as the basis of clustering analysis through the preprocessing of stock data and distance metric. The innovation of this paper is that the Steiner points can better represent the center of the clusters thus effectively reducing the computational complexity and storage overhead and improving the efficiency of the algorithm. And the principle of Pareto optimality is applied to the high-dimensional clustering algorithm, which improves the accuracy of stock market analysis.