Dust devils are tornado-like formations of wind which are usually harmless and small, but the one in this video is fairly strong and taller than usual. This happened in a schoolyard in Japan where children are playing soccer.
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Dust Devil in Japan Interrupts Soccer GameDust devils are common and form during sunny weather, but are they possible under snowy weather? The answer is yes apparently, and instances of these are appropriately referred to as "snow devils". Snow devils are in every way, shape, and form similar to dust devils--their strength, how they form, how long they last, how big they are, et cetera--the only difference is that instead of dust you get a swirling white tower of snow.
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Snow Devil at Jackson Hole