  This paper studies the timing of trades under mean-reverting price dynamics
subject to fixed transaction costs. We solve an optimal double stopping problem
to determine the optimal times to enter and subsequently exit the market, when
prices are driven by an exponential Ornstein-Uhlenbeck process. In addition, we
analyze a related optimal switching problem that involves an infinite sequence
of trades, and identify the conditions under which the double stopping and
switching problems admit the same optimal entry and/or exit timing strategies.
Among our results, we find that the investor generally enters when the price is
low, but may find it optimal to wait if the current price is sufficiently close
to zero. In other words, the continuation (waiting) region for entry is
disconnected. Numerical results are provided to illustrate the dependence of
timing strategies on model parameters and transaction costs.
