3D sound
While vision integrates other senses, closing the eyes can help building up a better concept of what the sound suggests.
Background
As we construct a mental image of our surroundings based upon what we perceive, vision and hearing are integrated into this mental image. If we hear something, we tend to verify that it is there by looking, and we can, if necessary, demystify an illusion in an instant.
Spatialized sound has been an active research field in recent years; it makes use of our ability to hear in three dimensions with two ears, and resembles the necessary sound patterns for a 3D sound perception while wearing headphones.
Concept
In this experiment, the testing persons were asked to point at the virtual sound source that they heard via a pair of headphones and compare the experience to the same task with open eyes.
Implementation and user test ´
The sound that the subjects were listening to had been spatialized in advance with audio processing software 95 and had two sounds available: the sound of footsteps and an upbeat pop song.
Summary of findings
While not all users felt a difference between closed and open eyes while listening to the 3D sound, one comment was very valuable: the illusion is more perfect when the eyes do not verify that there is no actual sound source.
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Closing the eyes could be used as a 'switch' to move from stereo into spatialized sound. While 3D-enriched sound might be disturbing while being engaged in screen work, it might be desired for breaks.
The greatest benefit of closing the eyes here is to create an illusion - when closed, the eyes cannot verify the correctness of the impression.

