In real life, our names aren't our choices, and they are often arbitrary choices, or a name that meant a lot to your parents, but very rarely do they have meaning beyond that.
For the most part, this is false in literature. Sure, tons of names of characters were taken from baby name lists, but often times names give glimpses into a character, or has a deep meaning to the character in question. There are times when you'll really want to sweat your name. I'm going to talk about how to find that name with a huge meaning, or figuring out the name that foreshadows a bit plot event, but also how to find the less important names, or names that are just names.
If you want your name to be intertwined with the story, or show things about the character, then you'll have to get creative.
There are plenty of examples of names where authors picked them because they directly reference an aspect of the character of the plot, or because the names feel like the character's personality trait. As an author, you have the wonderful ability to get to know your character before naming them if you so choose.
This is done very well in Carson McCullers's, The Heart Is a Lone Hunter. Here, there's the name Antonapoulos, which greatly reflects the character's finicky or persnickety nature. Then, you also have Singer, a name which really nicely shows simplicity, and a more tranquil nature. These names were chosen because they feel like and show the characters.
So try a couple names out. See which one feels best, because a lot of times for authors the name has to feel right for the character as they're writing it.
If a character is very complex, or intelligent, name them accordingly; picking something like Solange or Cassiopeia will reflect this complex component, and it a hell of a lot more interesting to read than Sam or Joe.
Another technique you could use is a find a word that means something that your character does. This is best exemplified by Salinger's, The Catcher in the Rye. Now, this isn't my favorite book in the world, I can tell you that much, but one thing that Salinger does brilliantly is name our main character Holden. Holden, with the word "hold" directly in it, is so perfect because the entire story what Holden is doing is holding (get it?) onto things—the past, people, concepts, innocence. This name shows us how this character will act.
Another example of this is in Harry Potter and the Order of the Phoenix. J.K. Rowling, like everything else about this series, picked her names quite appropriately. This is the novel where Dolores Umbridge is introduced. While the word isn't spelled correctly—a choice you as an author can make—umbrage means an offense or an annoyance, which perfectly foreshadows just how her character will be.
On the topic of J.K. Rowling, she also named the antagonist of the series Voldemort. While not meaningful on first glance, any of you who speak French will know this name actually tells us just what Voldemort's goal is; in just one name, J.K. Rowling foreshadowed his goal and the majority of the plot in the later half of the series. Voldemort, broken into the words "vol de mort" translates to "flight of death." This showed his desire, as well as indicated everything we later learned about Horcruxes.
So if you want your name to mean something directly, put a significant descriptor of the character in the name, or change the spelling of a word, or turn an expression from a different language into a name—these will all increase the meaning of a name and give readers a connection to the character they wouldn't have otherwise had.
The last thing I wanted to talk about isn't as common in literature, but it's still an option if you're creating a character. You can have character's go nameless. If overused, this device becomes tiring and almost pretentious, but if used sparingly, you can create a great atmosphere of ambiguity and mystery, or it can separate the reader from the characters, which is sometimes a really interesting reading experience.
Now, if you have a couple irrelevant characters who waltz into a few scenes but aren't there to stay, or play an impactful role., you can always use babynames.com. That site, or sites like it will give you a wealth of names to choose, but I wouldn't recommend doing that for your main character.
A name can be all you use to characterize someone, so assign them carefully.
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