The academic circle usually adopts qualitative study method for the comparison of the competitiveness of Shenzhen，Beijing and Shanghai，while the research achievements acquired through quantitative research method are rarely seen. This paper tries to design an indexical evaluation system based on the fundamental connotation of the competitiveness of financial industry and from the dimensions of competiveness on development environment and competiveness on development level，and further makes quantitative analysis of the true levels of competitiveness of the financial industries in the 3 cities through utilizing the time series data from 2011-2016 of the 3 cities，thus finds out the shortcomings of the competitiveness of the financial industries in Shenzhen and the paths for improving the competitiveness of the financial industries in Shenzhen.