Kalman filter pairs trading

http://www.thealgoengineer.com/2014/online_linear_regression_kalman_filter/

https://www.quantopian.com/lectures/kalman-filters

C# implementation
https://github.com/prozoroff/UKFSharp
https://stackoverflow.com/questions/39315817/filtering-streaming-data-to-reduce-noise-kalman-filter-c-sharp

Pair SPY - AMZN

Kalman filtered (rolling linear regression)