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Hundreds of people, including children, were earlier seen pouring out of the mall in Bangkok's commercial heart into torrential rain, according to videos on social media verified by Reuters.
In 2020, a soldier shot and killed at least 29 people and wounded 57 in a rampage that spanned four locations around the northeastern city of Nakhon Ratchasima.
The Central Investigation Bureau earlier posted a grainy image on its Facebook page of the suspected gunman dressed in khaki cargo pants and a baseball cap.
Siam Paragon is Thailand's most famous mall, drawing large numbers of people with its high-end stores, aquarium, movie theatre and hugely popular food court dining.
Susinee, a 35-year-old restaurant worker, said she and her colleagues bolted out of their Japanese ramen outlet when they heard gunshots.
The mall said it had evacuated shoppers and staff immediately, stressing safety was of the utmost importance.
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