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This paper is to simulate the behavior of a natural gas exchange and to assess the impact that the latter has on the price volatility. To this end, the authors adopt the model of the Clearing House, where buy and sell orders are accumulated over time and the market is cleared periodically at the intersection of demand and supply curves. The results show that, in a natural gas exchange, the volatility of the market price decreases with the increasing number of investors. The price becomes more representative of supply and demand trends, not discriminatory, because equal for all transactions, and oil price independent.
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