The shooting happened at about 3:37 a.m. in the 3800-block of West Harrison Street, police said.
Video shows police investigating outside the popular hot dog stand The Original Maxwell Street.
The victim, whose age is unknown, was outside when she got into an argument with a man, police said.
The man pulled out a gun and shot at the victim, police said.
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The woman was shot multiple times in the body and head. She was taken to Stroger hospital, where she died, police said.
The suspect drove off in a silver SUV, police said.
No other information was available.
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