It's very difficult to touch the market independently. The amount of infrastructure that is needed for algorithmic trading is more than any single person could reasonably handle. Not to mention the markets are incredibly efficient already.
The overhead of developing a prediction algorithm is fairly low from what I understand. Implementing it into the existing trading market is impossible, I agree, but developing something that can predict stock changes does not sound out of reach.
It's likely a fun project and quant trading seems like an interesting job. If you include on your resume your machine learning quant algorithm, your white paper, how you've extend one market's train data to say altcoins/penny stocks, I'm pretty sure you'll peak an interviewers ear.
