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Judges donning traditional dress, process from Westminster Abbey in London

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A judge holds on to her wig in a sudden gust of wind as she processes to Parliament from Westminster Abbey on October 3, 2011 in London, England. The start of the legal year is marked with a traditional religious service and procession from Westminster Abbey. The judges arrive from the Royal Courts of Justice for the service followed by a procession to The Houses of Parliament where the Lord Chancellor hosts a reception.

Peter Macdiarmid / Getty Images

Judges process to Parliament from Westminster Abbey on October 3, 2011 in London, England.

More information about the history and tradition of the Lord Chancellor's breakfast.  

Apparently there have been some who favor jettisoning the wigs which went out of style long ago, but for now, they remain.

According to the Guardian (2007 article):

In the late 17th century, during the reign of Charles II, wigs became essential wear in society. The fashion came from the court of Louis XIV. Wig is short for periwig, which derives from the French perruque.

When wigs went out of fashion during the reign of George III, judges and barristers continued to wear them in court.