Welcome to the theater of the bizarre!
Even though it seems a weird movie with nine different stories that are not connected, there are in fact ten stories, the tenth being the one of the actor.
Here’s what I make of he story [possible SPOILERS]
I think that the story is set somewhere in near future Paris, where theaters and cinema has taken on a whole new level of existence, where the real world is a stage and actors are given assignments and scenarios by agency (in this case the studio/agency is Holy Motors which is a sort of a parody to Holy Wood) and actors play them out during the day. And all of it is filmed somehow by tiny tiny cameras for the audience to see (the start scene of the movie in the cinema is indicator that there’s audience and the tiny cameras are referenced by M. Oscar where he says that he misses the large and heavy visible cameras).
It looks like one role could be during several days if needed but in parts and possibly by different actors considering the incredible make up skills by the actors themselves. Also it seems that some roles take death quite seriously and it’s expected by the actor to take it seriously too. (Eva Grace/Jean character).
It’s evident that Jean and Oscar were in love before when real theaters existed yet. (that Samaritain hotel was possibly where they worked together)
All the acting is made possible by a limousines and a chauffeur who pays the actor after all the scenes/appointments have been done.
Of course it doesn’t have to be in “near future” as I said above it all just could be a metaphore of an actor’s life and state of mind. It’s a movie about actors and how they dive into their different characters, their metamorphosis into the people they are suppose to be. It also asks the question as to where the line is drawn, what is an act and what real life. Do we live our life or do we pretend to live it? (too philosophical if you ask me, just watch the movie and enjoy the performance by Denis Lavant and the unexpected in the movie).