I think for your purposes, you should pick a machine learning algorithm you find interesting and try it.
Regarding Efficient Market Theory, the markets are not efficient, in any time scale. Also, some people (both in academia and real-life quants) are motivated by the intellectual challenge, not just to get-rich-quick, and they do publish interesting results (and I count a failed result as an interesting one). But treat everything you read with a pinch of salt; if the results are really good, perhaps their scientific method isn't.
Data Mining With R might be a useful book for you; it is pricey, so try and find it in your university library. Chapter 2 covers just what you want to do, and he gets best results with a neural net. But be warned that he gets poor results, and spends a lot of CPU time to get them. The Amazon reviews point out the book costs $20 more because that chapter mentions the word finance; when reading it I got the impression the publisher had pushed him to write it. He's done his homework, read the docs, perused the right mailing lists, but his heart was not in it. I got some useful R knowledge from it, but won't be beating the market with it :-)