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There are two parts to this. First is, "What is the physical significance of a wave function?" Secondly, "Why do we normalize it?"

To address the first:
In the Wave Formulation of quantum mechanics the wave function describes the state of a system by way of probabilities. Within a wave function all 'knowable' (observable) information is contained, (e.g. position (x), momentum (p), energy (E), ...). Connected to each observable there is a corresponding operator [for momentum: p=-i(hbar)(d/dx)]. When the operator operates onto the wave function it extracts the desired information from it. This information is called the eigenvalue of the observable... This can get lengthy so I'll just leave it there. For more information I suggest reading David Griffith's "Introduction to Quantum Mechanics". A math knowledge of Calculus II should suffice.

To address the second:
Normalization is simply a tool such that since the probability of finding a particle in the range of +/- (infinity) is 100% then by normalizing the wave function we get rid of the terms that muddy up the answer the probability.
An un-normalized wave function is perfectly fine. It has only been adopted by convention to normalize a wave function.

ex. un-normalized wave function (psi is defined as my wave function)
- The integral from minus infinity to positive infinity of |psi|^2 dx = 2pi

ex. normalized wavefunction
- The integral from minus infinity to positive infinity of |psi|^2 dx = 1

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Q: Why do you normalise a wave function of a particle?
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