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Air compresses (change in volume) and it creates pressure. It's the internal energy (momentum of each molecules) creates that pressure. But in liquids as it can't be compressed (may be by .3% if I am sure about water) it can't be pressurised, right? This is only possible by an external force on water itself. Does it means that work done to generate same pressure on liquid is lower than gas?

In this case pressurized water holds less energy that pressured gas of same pressure.

This is my thought, could someone tell me my thought is right or wrong?

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All molecular forms of matter can be compressed and consequently pressurized. Generally speaking you can pressurize fluids by adding energy to them. This includes heat transfer as well as external forces performing work. The energy needed to achieve a given pressure change in a liquid will in general be less than it would be for a gas at the same initial temperature and pressure. The energy added to a fluid by work done is simply the force applied multiplied by the distance acted over. It is then easy to understand why it requires less energy to modify a liquid's pressure since the distance required for the force to act over will inevitably be smaller in comparison to that for a gas in order to achieve the same pressure change.

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