Erik Larson has said before in interviews that he does all of his own research. He doesn't have a research assistant to help him because he says he likes to encounter the sources himself. He likes to find then, follow them, and handle them all on his own.
For Devil in the White City, as with his other nonfiction historical books, he relied heavily on primary sources from the timeframe the book takes place. He tracked down documents that each of the people in the book had actually written, like in this example where he discusses the postcards from Prendergast:
I found it infinitely valuable to be able to touch the original postcards on which Patrick Prendergast revealed his insane delusion, one that would bring the fair to such a tragic end. The obvious pressure he placed on his pencil as he wrote brought his part of the story vividly to life (Crown Publishing interview).
He also found historical records of deaths, real estate sales, contracts related to the building of the fair site, blueprints for the fair and the murder mansion, arrest records, newspapers documenting the search for Holmes, and so on.
Larson also regularly travels to the places he is researching so that he can access the sources directly, as many are kept in historical societies, local libraries, cemeteries, and city records. His research methods also often require travel, as he does not typically use the Internet to do his research, as noted in a NY Times article:
It's worth noting that Mr. Larson insisted on doing research by himself, only with firsthand sources. (No researchers, no Internet.) When he found one of Mr. Prendergast's threatening notes at the Chicago Historical Society, he says, ''I saw how deeply the pencil dug into the paper.'' (New York Times).
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