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If there were an asteroid orbiting its star within the habitable zone and this asteroid contained liquid water, would it be possible for simple life such as bacteria to form?

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It is not known how life formed. It is not known if there is life out of Earth. Without data there are few constraints on "possibilities" (and impossiblities). I think the only serious answer is: Don't know. –  LocalFluff Mar 19 at 17:40

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If you take a slowly rotating asteroid with a large basin of trapped water, some solved minerals, and may be some gases, close to the asteroid's surface, to get an environment similar to a black smoker by the heat of the sun, I wouldn't call it totally impossible.

The formation of such an asteroid is close to the limits of my imagination, might be as a remnant of a comet with a crust of dust baked together to a water-proof surface layer.

But that's pure speculation at the moment. May be we can learn more this year with Rosetta.

Some biochemistry details: By the rotating asteroid part of the water undergoes a heating/cooling cycle. Provided there are enough prebiotic molecules, by this heating/cooling cycle kind of polymerase chain reaction (PCR) could multiply short occasional RNA or DNA fragments (nucleotide sequences). The difficult part is providing polymerase. It has originally been isolated from a bacterium living in hot springs, not quite dissimilar to black smokers. Information storage and replication (e.g. in RNA/DNA) is one important ingredient for life.

Polymerase is an enzyme, mainly consisting of amino acids. Glycine is the first amino acid found in cometary dust in 2009. That's a first step, but there is a big gap. As an enzyme polymerase is a protein, hence can be encoded by RNA or DNA.

To decode RNA to a proteine, kind of ribosome is needed. A ribosome itself consists of RNA and protein (chain of amino acids). That's the basics of the replication mechanism.

Now we need a containment. The simplest form of a cell-like structure is a micelle. Organic molecules with a polar group can form micelles. This paper contains a list of organic molecules found in interstellar medium. Some of them could be used to synthesize appropriate molecules, but it's also quite a gap in this case.

A long way from what we know of extraterrestrial organic molecules to a bacterium.

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