The missing dimension of European energy sovereignty: The geopolitics of market infrastructure

European energy-security analysis has focused mainly on physical supply. This paper examines a less-examined dimension of European energy sovereignty: exposure to the mechanisms through which prices are formed, risks are managed and uncertainty is transmitted across interconnected markets. We distinguish physical dependence on a fuel from exposure to its price, and argue that the combination of weather-driven renewable variability, gas prices and carbon prices is closer to a Keynesian uncertainty than to a sum of insurable risks: their relationships are unstable, policy responses alter the rules of price formation, and hedging can turn price risk into liquidity risk. Nordic annual day-ahead prices for 2015–2025 illustrate the mechanism. In 2022, southern Norway (NO2) and southern Sweden (SE4), with almost no gas-fired generation, averaged €211/MWh and €152/MWh, against €24/MWh (NO4) and €59/MWh (SE1) in the north. This suggests that exposure depends on interconnection and congestion more than on national generation mix, although annual data cannot separate these from hydrology and nuclear availability. Norway and Sweden have since politically responded to this shock by postponing or withdrawing new interconnector investment. We then examine the infrastructure of price formation: Germany's retention of a single bidding zone despite the 2025 Bidding Zone Review, and the concentration of trading, clearing and benchmark functions across electricity, gas and carbon markets notably around EEX Group and ICE. We argue that limiting and distributing this uncertainty, rather than eliminating it, deserves treatment as a dimension of European energy sovereignty alongside security of physical supply.