Stock market is a place where buying and selling of stocks/shares takes place. When an investor buys stocks of a certain company they become a part owner of that company according to the number of shares held by him. To make maximum profit, right investment should be made at the right time. Data mining is being actively applied to stock market. This paper has mainly concentrated on applications of data mining algorithms in stock markets. An overview of data mining techniques such as decision tree, neural network, association rules, factor analysis and etc. in stock markets is provided.