CFM challenge
First place code for the CFM Challenge in 2018. Academic score : 20.8711
You can find details of the challenge here: https://challengedata.ens.fr/fr/challenge/34/volatility_prediction_in_financial_markets.html
If you want more details about the model and how does it work, you can find it on the attached slides (pdf). This presentation was given at CFM at the end of the academic competition and gives some insights of what worked and what did not.