A wave is a disturbance that propagates through space, often transferring energy. While a mechanical wave exists in a medium (which on deformation is capable of producing elastic restoring forces), waves of electromagnetic radiation (and probably gravitational radiation) can travel through vacuum, that is, without a medium. Waves travel and transfer energy from one point to another, with little or no permanent displacement of the particles of the medium (there is little or no associated mass transport); instead there are oscillations around fixed positions.
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