Keira Knightley on Friday conceded that she does do a lot of costume drama, from Elizabeth Bennet to Anna Karenina. "I don't know why. I love them. I think it's a taste thing. I love history and I love reading history books so it's a privilege that it's part of my job."

Knightley was speaking at the Venice film festival after the screening of her latest film, A Dangerous Method, in which she once again dons period costume, playing a Russian diagnosed with hysteria who has a pivotal role in the birth of psycho analysis. Her performance as Sabina Spielrein has gained considerable praise. The film, directed by David Cronenberg from a script by Christopher Hampton, charts the development of psychoanalysis with Viggo Mortensen as Freud and Michael Fassbender as Jung.

Knightley said she did a considerable amount of research, first turning to Hampton, who gave her a big pile of books. "It was biography, translations of books and notes, [Spielrein's] diaries. I spoke to psychoanalysts as well," Knightley said.

Fassbender's method was different: "I got a great book, it was like Jung for children – an idiot's handbook. I think I found pretty much everything that I needed to find in that little book."

If the energetic applause and cheers in Venice are anything to go by, this could be Cronenberg's year at the film festival. But there are other portents as well. Cronenberg said on Friday: "This is the 68th festival and I'm 68. The opening film was The Ides of March and that's my birthday."

At a good-natured press conference Cronenberg joked that his actors could do with some therapy. "My cast has a great need of psychoanalysis and that is why I cast them – to introduce them gently to the idea that they needed help."

Knightley was recently on the west end stage in Lillian Hellman's Broadway-bound The Children's Room and is soon to appear in Joe Wright's version of Anna Karenina

In A Dangerous Method she plays a patient who associates sexual pleasure with the beatings given to her by her father and manages to persuade Jung to beat her.Cronenberg has been making films for nearly 40 years, starting with Shivers and then making memorable movies such as Scanners, The Fly, Naked Lunch and Eastern Promises.

He told journalists that he shot less footage than he used to and edited more quickly but the way he makes films remained the same. "Each movie tells you what it needs and I give it that."

Making a period piece was exciting, he said: "It's a challenge, you can't just put people in costumes and film. There are some actors who somehow cannot transpose them in to a different time. They don't work somehow in the past whereas other actors can transform themselves.

"When you read what we read from that era, it is very different. I think people's brains were different in the past, I think our brains have changed because of technology and all kinds of things."The stars of A Dangerous Method join a slew of A-list stars who have been motorboating across to the Venice Lido this week, including George Clooney, Kate Winslet and Madonna. That trend is set to continue with the arrival of Matt Damon, Gwyneth Paltrow and Jude Law for Steven Soderbergh's global disaster movie Contagion, one of 22 movies competing for the Golden Lion.

And then the British arrive, with Steve McQueen's Shame, starring Fassbender and Carey Mulligan, which premiers on Sunday. On Monday, Gary Oldman, Colin Firth and John Hurt are expected on the Lido for Tinker, Tailor, Soldier, Spy and Andrea Arnold completes the UK challenge with Wuthering Heights on Tuesday.