Levy walks in R from http://stackoverflow.com/questions/19208502/levy-walk-simulation-in-r

levy_walks.r

# http://stackoverflow.com/questions/19208502/levy-walk-simulation-in-r

alpha=2.2
n=10000
x=rep(0,n)
y=rep(0,n)

# Note that you need 0 < fmin < fmax.

fmin <- 0.01
fmax <- 1000

theta <- runif(n-1)*2*pi
f <- runif(n-1, fmax^(-alpha), fmin^(-alpha))^(-1/alpha)
x <- c(0, cumsum(f*cos(theta)))
y <- c(0, cumsum(f*sin(theta)))


ggplot(data.frame(x=x, y=y), aes(x, y)) +
  geom_point() +
  geom_path() +
  theme_minimal()

ggplot(data.frame(f=f), aes(f)) +
  geom_histogram() +
  theme_minimal()