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From The Collaborative International Dictionary of English v.0.48:
Wednesday \Wednes"day\ (?; 48), n. [OE. wednesdai, wodnesdei, AS. W[=o]dnes d[ae]g, i. e., Woden's day (a translation of L. dies Mercurii); fr. W[=o]den the highest god of the Teutonic peoples, but identified with the Roman god Mercury; akin to OS. W[=o]dan, OHG. Wuotan, Icel. O[eth]inn, D. woensdag Wednesday, Icel. [=o][eth]insdagr, Dan. & Sw. onsdag. See Day, and cf. Woden, Wood, a.] The fourth day of the week; the next day after Tuesday. [1913 Webster] Ash Wednesday. See in the Vocabulary. [1913 Webster]