Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2018

Fair Value Hierarchy for Financial Assets and Liabilities Measured on Recurring Basis

The following tables represent the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of December 31, 2018 and 2017:



	As of December 31, 2018
	Level 1		Level 2		Level 3		Total
Assets:
Cash and cash equivalents	$	1,130	$	—	$	—	$	1,130
Short-term investments	—		503,810		—		503,810
Total assets	$	1,130	$	503,810	$	—	$	504,940
Liabilities:
Accrued warrant liability	$	—	$	—	$	78,637	$	78,637
	As of December 31, 2017
	Level 1		Level 2		Level 3		Total
Assets:
Cash and cash equivalents	$	551,088	$	—	$	—	$	551,088
Short-term investments	3,606,499		954,858		—		4,561,357
Total assets	$	4,157,587	$	954,858	$	—	$	5,112,445
Liabilities:
Accrued warrant liability	$	—	$	—	$	1,041,455	$	1,041,455

Schedule of Share-Based Payment Award Warrant Liability Valuation Assumptions

The following are the assumptions used to measure the accrued warrant liability at December 31, 2018 and 2017:

"Risk-free interest rate" means the range of U.S. Treasury rates with a term that most closely resembles the expected life of the option as of the date the option is granted.

"Expected dividend yield" means the anticipated dividend return for an investor over the expected life. For the Company, this amount is zero as it is not anticipated that dividends will be paid for the foreseeable future.

"Expected life" means the period of time that options granted are expected to remain outstanding, based wholly on the use of the simplified (safe harbor) method. The simplified method is used because the Company does not yet have adequate historical exercise information to estimate the expected life the options granted.

"Expected volatility" means a measure of the amount by which a financial variable, such as share price, has fluctuated (historical volatility) or is expected to fluctuate (implied volatility) during a period. Expected volatility is based on the Company’s historical volatility and incorporates the volatility of the common stock of comparable companies when the expected life of the option exceeds the Company’s trading history.



	December 31,
	2018			2017
Stock Price	$	1.01		$	4.01
Exercise Price	$ 3.64 - 24.40			$ 3.00 - 24.40
Term in years	0.04 - 2.60			0.25 - 3.60
Volatility	88.07 - 108.18%			71.48 - 139.58%
Annual rate of quarterly dividends	0		%	0		%
Discount rate- bond equivalent yield	0.12 - 2.48%			0.44 - 2.05%

Summary of Changes in Fair Value of Company's Level 3 Fair Value Measurements

The following table sets forth a summary of changes in the fair value of the Company’s Level 3 fair value measurement of the accrued warrant liability for the years ended December 31, 2018 and 2017:



	Year Ended December 31, 2018
Beginning Balance	$	1,041,455
Total (gains) or losses, realized and unrealized, included in earnings (1)	(962,818		)
Balance at December 31, 2018	$	78,637
	Year Ended December 31, 2017
Beginning Balance	$	949,419
Total (gains) or losses, realized and unrealized, included in earnings (1)	4,426,146
Settlements	(4,334,110		)
Balance at December 31, 2017	$	1,041,455


(1)	Unrealized gains or losses related to the accrued warrant liability were included as change in value of accrued warrant liability.

Summary of Unobservable Inputs in Fair Value Measurements

The following table summarizes the unobservable inputs into the fair value measurements:



	December 31, 2018
Description	Fair Value		Valuation Technique	Unobservable Input	Range in years
Accrued warrant liability	$	78,637	Black-scholes pricing model	Expected term	0.04 - 2.60