Laurie Carver writes over at Risk.net:

The flash crash was statistically distinct from other market panics, and can be understood with a little help from the physics of supercool magnets

The flash crash in May this year was marked by persistent kurtosis levels, in contrast to most market panics where the measure drops, and can be modelled using the physics of spontaneous self-organization, says a top quant.

I was thinking of a panic as a kind of regime change, and it reminded me of spontaneous symmetry breaking in physics, when a system will undergo a phase transition and change many of its fundamental properties

Lisa Borland, head of derivatives strategies at San Francisco-based hedge fund Evnine & Associates, has designed a model inspired by the physics of supercool magnets that captures this statistical signature...