Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2016

Information about Company's Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following fair value hierarchy table presents information about the Company’s financial assets and liabilities measured at fair value on a recurring basis as of June 30, 2016 and December 31, 2015:


	Fair Value Measurement as of June 30, 2016
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Cash equivalents	$	10,418,791	$	—	$	—
Marketable securities		8,499,817		—		—
Warrant liability		—		—		185,659

Total	$	18,918,608	$	—	$	185,659


	Fair Value Measurement as of December 31, 2015
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Cash equivalents	$	9,607,134	$	—	$	—
Marketable securities		22,948,872		—		—
Warrant liability		—		—		444,324

Total	$	32,556,006	$	—	$	444,324

Assumption Used to Determine Fair Value of Warrant Liability

The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:


	As of June 30, 2016			As of December 31, 2015
Expected volatility		80.90	%		78.1	%
Remaining contractual term (in years)		3.17			3.67
Risk-free interest rate		0.71	%		1.54	%
Expected dividend yield		—	%		—	%

Reconciliation of Company's Financial Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)

The following tables present a reconciliation of the Company’s financial liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2016 and 2015:

Warrant liabilities


	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Balance at beginning of period	$	256,054		$	525,059		$	444,324		$	313,004
Increase (decrease) in fair value (1)		(70,395	)		(3,659	)		(258,665	)		208,396

Balance at end of period	$	185,659		$	521,400		$	185,659		$	521,400

(1)

The change in fair values of the warrant liabilities is recorded in other expenses in the statement of operations. The key inputs into the Black-Scholes option pricing model are the per share value and the expected volatility for the Company’s common stock. Significant changes in these inputs will directly increase or decrease the estimated fair value of the Company’s warrant liability.