Thermal stresses are generated by temperature differential between different parts of the material.  Therefore, you will want to optimize for low CTE, high thermal conductivity and high strength and toughness.  Silicon nitride stands out in this regard, as it is used for rocket nozzles and valves in racing engines. 

Attached is a link to a paper where a process for silicon nitride slip casting was developed.

link.springer.com/content/pdf/10.1007/BF00591465.pdf

By slip casting (water solvent and plaster molds), you can produce the following thermal shock resistant materials (ceramics, glass-ceramics and glasses):

First you are better known the intensity of the thermal shock.

If the condition are severe  (see Biot number) the thermal conductivity of material does not matter. So you want a low Young modulus, low thermal expansion and high strengh. If the condition is not severe, you also want high thermal conductivity, Those are requirements for fracture initiation. 

If you material already contains damage, the resistance is proportional to E/(strength2(1-poisson)).

I´m not sure about the process of slip casting, nor the price you want to pay, but there are excellent glassceramic materials, SiC, SiAlONs, Alumina...

Dear  Hossein Javid,

All the answers are correct. But you mentioned industrial and mass amount, moreover slip casting in plaster mold.

It should noted that the complete answer requires to determine limitation in temperature service and cost limits.

However, i recommend "cordierite" or "cordierite-mullite" because of low cost, productibility, very low CTE and also clay contain formulations, that help you to obtain good slurry properties and compatibility with plaster mold.

So you can use kaolin, talc and feldespar for cordierite and the same materials with lower talc and with alumina adiition for cordierite-mullite.

Finally you can use waste materials for production of  "cordierite" or "cordierite-mullite" ceramics that can shorten the costs in mass production.

Dear Hossein,

I agree with Abbas, that all answers are correct. The only material which has not been mentioned jet is aluminum titanat Al2TiO5, which shows excellent thermal shock behavior but low strength. It is widely used in aluminum foundries as riser tubes etc.

Ceramics based on cordierite have high resistant to thermal shock and mechanical properties. Also this kind of ceramic materials may be produced from widely used natural materials, that is why its cost will be lower than other ones.

 I do not know the grade of the thermal shock resistance that you need, but a good raw material that has a proper behavior is the Talk that after the burning process transforms into esteatite, for small peaces is a good choice. You can do compositions using kaolin too.

Please have a look at this paper and let me know if you had any questions about it:

Article Thermal shock resistance of refractory composites with Zirco...

Here is a video summary: https://youtu.be/xla7EW_AMsM

Good Luck!