Levy flight from a Cauchy Distribution compared to Brownian Motion (below). Central events are more common and rare events more extreme in the Cauchy distribution than in Brownian motion. A single event may comprise 99% of total variation, hence the "undefined variance".

Levy flight from a Cauchy Distribution compared to Brownian Motion (below). Central events are more common and rare events more extreme in the Cauchy distribution than in Brownian motion. A single event may comprise 99% of total variation, hence the "undefined variance".