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Following a path similar to Allan Pinkerton, William J. Burns and William Sheridan formed the Burns and Sheridan Detective Agency in 1909 after securing a contract with the American Bankers Association to provide protection to its 11,000 member banks. Sheridan left the company within a year, and the company changed its name to William Burns' National Detective Agency, generally shortened to Burns Detective Agency.

Although by the time Burns decided to provide private security to a number of major industries, federal policing had developed considerably from the 1850s, when Pinkerton began his firm, Burns also capitalized on his experiences as a public police officer to establish his firm. Burns, who was born in Baltimore, Maryland, and whose father had been the elected police commissioner of Columbus, Ohio, began his own career in law enforcement in 1889, when he joined the fledgling Secret Service, where he remained for 14 years until transferring to the Department of the Interior. At the time, most of the work of the Secret Service was investigating counterfeiting.

Reflecting a more fluid movement between public and private policing that existed at the time, he turned his company over to his sons, Raymond and W. Sherman, when he was named head of the Bureau of Investigation (BOI) in 1921, where he remained until 1925. Burns was the personal selection of Attorney General Harry M. Daugherty, whom he had known for more than 30 years. Although both he and his firm had a reputation for solving cases, albeit by resorting to techniques that may have skirted the law, he was confirmed for the position, replacing William J. Flynn, who had also made his reputation as chief special agent for the Baltimore & Ohio Railroad and had worked for the U.S. Rail Administration when the railroads—and their police—were nationalized during World War I. Daugherty became involved in a number of scandals that also engulfed Burns and resulted in claims that he had misused his office. Burns returned to his detective agency and was replaced at the BOI by J. Edgar Hoover, who would become responsible for transforming the BOI into the modern Federal Bureau of Investigation (FBI) in 1935.

Burns was flamboyant and his firm was successful due in large measure to his having solved a case in 1911 that involved the bombing of the Los Angeles Times Building on October 1, 1910, which occurred during midday and resulted in a number of deaths and more than 300 injuries. When a bomb went off in New York City's Wall Street financial district on September 16, 1920, Burns was also hired to investigate the case. Although the Los Angeles case resulted in criminal prosecutions, the New York case was never solved and no one was ever prosecuted for it. It is difficult today to imagine such cases being handled by a private security firm rather than by some combination of local police departments, the FBI, and possibly the Bureau of Alcohol, Tobacco, Firearms, and Explosives due to its expertise in arson and explosive devices.

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