Today I have been implementing some new strategy ideas which involve matrix inversion, I am using the Eigen matrix library. During testing I was getting a little depressed as the inversions were very slow on Windows (AMD Athlon 2.00 GHz, 2 Gig RAM, executable complied in release mode). Backfilling an indicator with 80 values was taking around 5 seconds! Just for a laugh I recomplied on Linux and uploaded the code to my server (bascially same spec as windows machine, -03 optimization level) and the same operation is taking in the order of 100ms. WTF!!??
The breaking of a wave cannot explain the whole sea.
