When painting, drawing or creating anything that involves shadows, artists must take into account for the values of the composition.
Value is the tone of a color or hue that can range from extremely light and almost white values to the other end of the spectrum, almost black. But besides your classic white to black tints and shades, artists can also create value mixing other colors as well.
For example, ultramarine blue mixed with crimson might create a fairly dark shade for a shadow while orange and yellow could make a light enough tint to be used for a highlight.
What I find most interesting is experimenting with colors as value because you can create values that vibrate differently next to one another. A dark red might come off as a cool color next to a yellow-green which now appears warm next to its complimentary just because of the shade and the fact that they are two complimentary colors next to another.