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In 1804 the Coldstream Guards were quartered in Recruit House, which is now, the new Wellington Barracks near the Guards Chapel, which was badly bombed, causing great loss of life in the second world war. It was the night of 3 January a Coldstream Guard named George Jones was on duty between the Cockpit steps and the lake in St. James's park, when he saw the ghost of a headless woman. This is his…