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Heat oil in a stockpot over medium heat. Add shrimp shells and sauté 3 to 4 minutes, stirring until the shells look dry. Add celery, carrots, onions, and garlic, continue to sauté for 2 to 3 minutes.
Add water, wine, tomato paste, parsley, thyme, peppercorns, and bay leaf. Bring stock to a boil, then reduce the heat and simmer for 1 hour. Strain the stock through a fine mesh strainer.
Return to the heat and boil until reduced to 1/2 quart. Will keep 2 to 3 days refrigerated. Stock can be frozen up to 6 months.