The title of this work is pure fantasy. You could think it refers to the four parts composing this piece.
1. Entry: a solemn overture starting in the minor and ending in the major key.
2. Dance: a quite light piece boasting very irregular rhythms.
3. Reverie: a short piece with a rather dreamy character with ups and downs and with a rather free tempo.
4. Cortege (Procession): the procession starts at a solemn pace and proceeds very merrily towards a final full of rich sounds.