A securities trading simulation method and system that is capable of performing a series of simulated securities trades of a security using actual or potential market data to obtain distribution of simulated trade prices of the security. The distribution of simulated trade prices may then be used in a number of ways, including to measure the quality of an actual trade, to estimate the opportunity available for a security, to estimate the fair value of a derivative security, or to otherwise characterize the volatility and momentum behavior of securities.