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

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

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

Analysis of Volatility and Correlation for CME Steel Products

Correlation and volatility between commodity prices is a very important factor to consider when designing risk management and investment strategies. The efficiency of hedging strategies for instance, depends on the existence of strong and stable correlation between spot and futures commodity prices; the absence of correlation on the other hand, or even sudden changes in the level of correlations may have detrimental implications not only for hedging and risk management but also in shaping the efficiency of a country’s energy, manufacturing and food policies. In general,co-movements between commodity markets may be attributed to common macroeconomic shocks on world markets, and the complementarity or substitutability in the production or consumption of related commodities. It is also an established fact that although the prices for related commodities are correlated, correlation changes over time and, in particular, correlation changes have become more erratic over the last five years. Recent research by Buyuksahin et. al (2010) and Silvennoinen and Thorp (2010) has found that returns correlation between commodities has increased substantially during the recent financial crisis. Tang and Xiong (2011) also highlight that the increase in the correlations between the returns of different commodity futures started long before the crisis and cannot be simply attributed to the onset of the crisis. In this report we attempt to identify whether the co-movement of HRC CRU, which is the underlying asset for the CME contract, and a basket of related steel commodities is strong enough

The genetic architecture of a host shift: An adaptive walk protected an aphid and its endosymbiont from plant chemical defenses

This is the final version. Available from American Association for the Advancement of Science via the DOI in this record. The RNA and DNA sequence data generated in this study have been deposited with NCBI under accession number PRJNA574571. The sequence of RPS11/ADAMTS9 has been deposited under NCBI accession number MF1555663, and the accession numbers of other genes characterized in this study can be found in data file S1. All other data needed to evaluate the conclusions in the paper are present in the paper and/or the Supplementary Materials. Additional data related to this paper may be requested from the authors.Host shifts can lead to ecological speciation and the emergence of new pests and pathogens. However, the mutational events that facilitate the exploitation of novel hosts are poorly understood. Here, we characterize an adaptive walk underpinning the host shift of the aphid Myzus persicae to tobacco, including evolution of mechanisms that overcame tobacco chemical defenses. A series of mutational events added as many as 1.5 million nucleotides to the genome of the tobacco-adapted subspecies, M. p. nicotianae, and yielded profound increases in expression of an enzyme that efficiently detoxifies nicotine, both in aphid gut tissue and in the bacteriocytes housing the obligate aphid symbiont Buchnera aphidicola. This dual evolutionary solution overcame the challenge of preserving fitness of a mutualistic symbiosis during adaptation to a toxic novel host. Our results reveal the intricate processes by which genetic novelty can arise and drive the evolution of key innovations required for ecological adaptation.European Union Horizon 2020Czech Science FoundationCzech Science FoundationEuropean Social Fund and the state budget of the Czech RepublicBiotechnology and Biological Sciences Research Council (BBSRC

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

Beneficial effect of the oxygen free radical scavenger amifostine (WR-2721) on spinal cord ischemia/reperfusion injury in rabbits

<p>Abstract</p> <p>Background</p> <p>Paraplegia is the most devastating complication of thoracic or thoraco-abdominal aortic surgery. During these operations, an ischemia-reperfusion process is inevitable and the produced radical oxygen species cause severe oxidative stress for the spinal cord. In this study we examined the influence of Amifostine, a triphosphate free oxygen scavenger, on oxidative stress of spinal cord ischemia-reperfusion in rabbits.</p> <p>Methods</p> <p>Eighteen male, New Zealand white rabbits were anesthetized and spinal cord ischemia was induced by temporary occlusion of the descending thoracic aorta by a coronary artery balloon catheter, advanced through the femoral artery. The animals were randomly divided in 3 groups. Group I functioned as control. In group II the descending aorta was occluded for 30 minutes and then reperfused for 75 min. In group III, 500 mg Amifostine was infused into the distal aorta during the second half-time of ischemia period. At the end of reperfusion all animals were sacrificed and spinal cord specimens were examined for superoxide radicals by an ultra sensitive fluorescent assay.</p> <p>Results</p> <p>Superoxide radical levels ranged, in group I between 1.52 and 1.76 (1.64 ± 0.10), in group II between 1.96 and 2.50 (2.10 ± 0.23), and in group III (amifostine) between 1.21 and 1.60 (1.40 ± 0.19) (p = 0.00), showing a decrease of 43% in the Group of Amifostine. A lipid peroxidation marker measurement ranged, in group I between 0.278 and 0.305 (0.296 ± 0.013), in group II between 0.427 and 0.497 (0.463 ± 0.025), and in group III (amifostine) between 0.343 and 0.357 (0.350 ± 0.007) (p < 0.00), showing a decrease of 38% after Amifostine administration.</p> <p>Conclusion</p> <p>By direct and indirect methods of measuring the oxidative stress of spinal cord after ischemia/reperfusion, it is suggested that intra-aortic Amifostine infusion during spinal cord ischemia phase, significantly attenuated the spinal cord oxidative injury in rabbits.</p