  We study the optimal timing strategies for trading a mean-reverting price
process with afinite deadline to enter and a separate finite deadline to exit
the market. The price process is modeled by a diffusion with an affine drift
that encapsulates a number of well-known models,including the
Ornstein-Uhlenbeck (OU) model, Cox-Ingersoll-Ross (CIR) model, Jacobi model,and
inhomogeneous geometric Brownian motion (IGBM) model.We analyze three types of
trading strategies: (i) the long-short (long to open, short to close) strategy;
(ii) the short-long(short to open, long to close) strategy, and (iii) the
chooser strategy whereby the trader has the added flexibility to enter the
market by taking either a long or short position, and subsequently close the
position. For each strategy, we solve an optimal double stopping problem with
sequential deadlines, and determine the optimal timing of trades. Our solution
methodology utilizes the local time-space calculus of Peskir (2005) to derive
nonlinear integral equations of Volterra-type that uniquely characterize the
trading boundaries. Numerical implementation ofthe integral equations provides
examples of the optimal trading boundaries.

Trading and Market Microstructure;Optimization and Control