The word 'mall' comes from a 16th-century Italian alley game that resembled croquet. It was called pallamaglio, or pall-mall in English; the alley on which the game was played came to be known as a 'mall'.
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The Galleria, or to give it its full name – the Galleria Vittorio Emanuele II – dates back to 1861, when it was first designed. It took 12 years to build and was completed in 1877. It's a four story double arcade that takes its name from the first King of Italy.