The Lost Generation is a term attributed to American writer Gertrude Stein, a fellow expatriate and friend of Ernest Hemingway at the time he wrote The Sun Also Rises. Hemingway uses it as an epigraph at the beginning of the novel.
In the years following World War I -- the time in which the book is set -- many Americans were drawn to Paris as a modern city with a favorable exchange rate. In particular, writers including Hemingway flocked to Paris because they found greater artistic freedom there. They also found a large circle of like-minded people who carried wounds, visible and invisible, from the brutal war that had recently ended.