Does he see any of his 2001 breakthrough role Donnie Darko in Bloom?
"Yeah, as some sort of strange cousin. I wouldn't want either of them together at a Thanksgiving dinner, but my family gets that every Thanksgiving, in one way or another," he says.
"I think there's a magical thinking to both of them ... there's a great innocence to both of them, too. I think that Donnie Darko had that innocence moving from adolescence into adulthood, and the hallucinogenic nature of that transition. Wth Lou there's a great innocence there too, and he has his own trippy vibe."
While many would be repulsed by Bloom, Gyllenhaal doesn't share that feeling, saying he "loves" the gaunt sociopath he lost 9kg to play.
The film, the directing debut of screenwriter Dan Gilroy is also a character study of Los Angeles by night.
Gyllenhaal loves the town where he was born and raised.
"This is going to be abstract - but I tend to speak and think like that - because the topography of LA is so vast, because it is so expansive, because it is so horizontal, I think there is an allowance for more to kind of seep up through the ground. I think you can feel something, particularly at night, and Dan [Gilroy, director] and I talked a lot about this."
To unwind from - and, perversely, to build - the intensity, Gyllenhaal got addicted to running during Nightcrawler's shoot.
"I wanted to be a coyote, you know? Dan and I talked about how coyotes are a staple of the landscape of Southern California. At night these coyotes come down from the mountains ... they're hungry and starving and ruthless and looking at you like they'll tear your throat out. "
He wanted Lou to look like a coyote. "I would run through Griffith Park in Los Angeles, which is sort of a training ground for coyotes, there are so many around. I would run [about] 15 miles [24km]. That was really the way I stayed in the mindset, but also relieved some of the thoughts and feelings that Dan's writing put in me when playing the character."
In contrast to his famous complaints about working for David Fincher on serial killer drama Zodiac, Gyllenhaal can't curb his enthusiasm about collaborating with Gilroy.
"Fincher paints with people," Gyllenhaal objected in 2007, "It's tough to be a colour."
Today, he's diplomatic when asked to compare the experiences. "No, I mean, we could be here forever ... any great storyteller, and I would include both of them in that - I mean, you would probably agree with me about Fincher because of his vast, eclectic oeuvre," he says, awkwardly stretching his arms wide.
"I think there's an ambition and there's a great desire to tell a story in the most complex, specific, detailed way. That's a huge similarity, the amount of preparation the two of them do."
Initially, Gyllenhaal demurs when asked how his A-lister experience being on the other end of the paparazzi informed Nightcrawler.
Instead, he cites End of Watch, where he played a cop, and more recent research rolling with stringer brothers the Rikers.
"It almost strangely felt like this second nature because I had done it before so often ... I'd been on the streets in Southeast LA for five months, with police officers three or four times a week, from 6pm till 4am. We'd been to so many crime scenes and accident scenes and there had been stringers there."
Later, though he ponders how audiences are complicit with the likes of Lou.
"We need to feed the beast, somebody going off and getting a coffee and somebody taking photographs of that or videos of that is right along the same homepage as the State of the Union, or some other major political issue."
He's referring, of course, to when he and then-girlfriend Taylor Swift were paparazzi targets.
"What does that say about how we take in information?" Gyllenhaal asks. "I do believe there is a hierarchy of importance. If I go on my phone right now, go on a webpage ... there's an equality of information. Which I think can be dangerous because it can create somebody like Lou. It's a fertile ground for someone like him to rule, ultimately."
Who: Jake Gyllenhaal
What: Nightcrawler
When: Screening now
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