I am looking out for some material where I can study about Kalman Filter applied to Equity using Excel or R?
A great example of kalman filtering is in the Kyle Model. I have attached a presentation on the application of R to the kalman filter in the Kyle Model.
Basically in the Kyle Model, a market maker finds the likelihood an asset is ending up at a certain price given that a person is an informed trader. Given this, you update what the final price will be by each successive trade through a kalman filter