Herd behavior in the drybulk market: An empirical analysis of the decision to invest in new and retire existing fleet capacity

We examine whether investors herd in their decision to order or scrap vessels in the drybulk market. We decompose herding into unintentional and intentional, and test for herd behavior under asymmetric effects with respect to freight market states, cycle phases, risk-return and valuation profiles, and ownership of the vessel. We detect unintentional herd behavior during down freight markets and contractions. Furthermore, we find evidence of spill-over unintentional herding effects from the newbuilding to the scrap market. Finally, asymmetric herd effects are evident between traditional and liberal philosophy towards the ownership of the vessel, and during extreme risk-return and valuation periods

Freight options: Price modelling and empirical analysis

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are commonly traded in the freight derivatives market. By exploiting the computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the trip-charter route average Baltic Capesize, Panamax and Supramax Indices. We show that the jump-extended setting yields important model improvements over the basic lognormal setting

Freight Derivatives Pricing for Decoupled Mean-Reverting Diffusion and Jumps

We develop an accurate valuation setup for freight options, featuring an exponential meanreverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the freight rate dynamics. More specifically, we observe that jumps dissipate faster than the diffusive deviations about the equilibrium level. We benchmark against practitioners’ model of choice, i.e., the lognormal model and variants, and find that our approach reduces the pricing error while preserving analytical tractability and computational competence. We also find that neglecting fast mean-reverting jumps leads to nontrivial option mispricings

Shipping equity risk behavior and portfolio management

This paper investigates the dynamics of stock price volatility for different vessel-type segments of the U. S, water transportation industry . We measure market exposure by a portfolio of tanker, dry bulk, container, and gas stocks to examine tail behavior and tail risk dependence. The role of mixture distributions in predicting future volatility is studied from both statistical and economic perspectives. We further test for predictability in co-movements in the tails of sectors returns . Findings indicate that large losses are strongly correlated, supporting asymmetric transmission processes for financial contagion. Finally, using a non-parametric approach, we extend the model to the multivariate case and assess the value of volatility and correlation timing in optimal portfolio selection. The results can help to improve the understanding of time-varying volatility, correlation and tail systemic risk of shipping stock markets, and consequently, have implications for risk management and asset allocation practices, as well as regulatory policies

Shipping Investor Sentiment and International Stock Return Predictability

Stock return predictability by investor sentiment has been subject to constant updating, but reaching a decisive conclusion seems rather challenging as academic research relies heavily on US data. We provide fresh evidence on stock return predictability in an international setting and show that shipping investor sentiment is a common leading indicator for financial markets. We establish out-of-sample predictability and demonstrate that investor sentiment is also economically significant in providing utility gains to a mean-variance investor. Finally, we find evidence that the predictive power of sentiment works best when negative forecasts are also taken into account

Affine-Structure Models and the Pricing of Energy Commodity Derivatives

We consider a seasonal mean-reverting model for energy commodity prices with jumps and Heston-type stochastic volatility, and three nested models for comparison. By exploiting the affine form of the log-spot models, we develop a general valuation framework for futures and discrete arithmetic Asian options. We investigate five major petroleum commodities from Europe (Brent crude oil, gasoil) and US (light sweet crude oil, gasoline, heating oil) and analyse the effects of the competing fitted spot models in futures pricing, Asian options pricing and hedging. We find evidence that price jumps and stochastic volatility are important features of the petroleum price dynamics

Anatomical variation of a trifid (trifurcation) lateral root origin of the median nerve

Anatomic variations of the brachial plexus are common. Awareness of these variations is of paramount importance in clinical practice mainly in achieving best results in minimal invasive or surgical procedures. The aim of our study was to depict a case of a trifid lateral root origin of the medial nerve. This anatomical variation in the brachial plexus was encountered after dissection in upper extremities in a 90-year-old male cadaver

3-Bromophenyl 6-acetoxymethyl-2-oxo-2H-1-benzopyran-3-carboxylate inhibits cancer cell invasion in vitro and tumour growth in vivo

In search for new anticancer agents, we have evaluated the antiinvasive and antimigrative properties of recently developed synthetic coumarin derivatives among which two compounds revealed important activity: 3-chlorophenyl 6-acetoxymethyl-2-oxo-2H-1-benzopyran-3-carboxylate and 3-bromophenyl 6-acetoxymethyl-2-oxo-2H-1-benzopyran-3-carboxylate, Both drugs were able to inhibit cell invasion markedly in a Boyden chamber assay, the bromo derivative being more potent than the reference matrix metalloprotease (MMP) inhibitor GI 129471. In vivo, tumour growth was reduced when nude mice grafted with HT 1080 or MDA-MB231 cells were treated i.p. 3 days week(-1) with the bromo coumarin derivative. These effects were not associated with the inhibition of urokinase, plasmin, MMP-2 or MMP-9. The mechanism of action of the drugs remains to be elucidated. However, these two coumarin derivatives may serve as new lead compounds of an original class of antitumour agents

A Synthetic Coiled-Coil Interactome Provides Heterospecific Modules for Molecular Engineering

The versatile coiled-coil protein motif is widely used to induce and control macromolecular interactions in biology and materials science. Yet the types of interaction patterns that can be constructed using known coiled coils are limited. Here we greatly expand the coiled-coil toolkit by measuring the complete pairwise interactions of 48 synthetic coiled coils and 7 human bZIP coiled coils using peptide microarrays. The resulting 55-member protein “interactome” includes 27 pairs of interacting peptides that preferentially heteroassociate. The 27 pairs can be used in combinations to assemble sets of 3 to 6 proteins that compose networks of varying topologies. Of special interest are heterospecific peptide pairs that participate in mutually orthogonal interactions. Such pairs provide the opportunity to dimerize two separate molecular systems without undesired crosstalk. Solution and structural characterization of two such sets of orthogonal heterodimers provide details of their interaction geometries. The orthogonal pair, along with the many other network motifs discovered in our screen, provide new capabilities for synthetic biology and other applications.National Institutes of Health (U.S.) (NIH Award GM067681)National Institutes of Health (U.S.) (NCRR Award RR-15301