Theta waves also have been observed in moments when a person recalls information from the past, and this may be what links them also to improvement in learning ability. We also experience theta waves when we go into automatic pilot mode, such as when doing a repetitive task like driving a familiar route where the mind become disconnected while you still drive safely toward your destination.

When stress overwhelms your nervous system, your body is flooded with chemicals that prepare you for “fight or flight.” This stress response can be lifesaving in emergency situations where you need to act quickly. But when it’s constantly activated by the stresses of everyday life, it can wear your body down and take a toll on your emotional and physical health.
Tracks that move from alpha to theta can be a perfect vehicle for transitioning from a hectic day into a relaxing and rejuvenating sleep. Beginning with alpha waves takes you into a light but still alert meditative mind state where the difficulties of the day can be resolved and put to rest. Later, theta waves go deeper into the unconscious, preparing you for sleep and dreams.
Binaural beats can easily be heard at the low frequencies (< 30 Hz) that are characteristic of the EEG spectrum (Oster, 1973). This perceptual phenomenon of binaural beating and the objective measurement of the frequency-following response (Hink, Kodera, Yamada, Kaga, & Suzuki, 1980) suggest conditions which facilitate entrainment of brain waves and altered states of consciousness. There have been numerous anecdotal reports and a growing number of research efforts reporting changes in consciousness associated with binaural-beats. "The subjective effect of listening to binaural beats may be relaxing or stimulating, depending on the frequency of the binaural-beat stimulation" (Owens & Atwater, 1995). Binaural beats in the delta (1 to 4 Hz) and theta (4 to 8 Hz) ranges have been associated with reports of relaxed, meditative, and creative states (Hiew, 1995), and used as an aid to falling asleep. Binaural beats in the alpha frequencies (8 to 12 Hz) have increased alpha brain waves (Foster, 1990) and binaural beats in the beta frequencies (typically 16 to 24 Hz) have been associated with reports of increased concentration or alertness (Monroe, 1985) and improved memory (Kennerly, 1994).
A study by Tina Huang, PhD, and Christine Charyton, published in the September 2008 issue of the journal, Alternative Therapies examined the results of twenty previous studies measuring the effectiveness of brainwave entrainment for improvements in cognitive dysfunction and deficits, stress reduction, pain management, migraine and headache control, pre-menstrual syndrome, and behavioral difficulties, and all showed significant improvement in symptoms using entrainment techniques.
You don’t have to run in order to get a runner’s high. All forms of exercise, including yoga and walking, can ease depression and anxiety by helping the brain release feel-good chemicals and by giving your body a chance to practice dealing with stress. You can go for a quick walk around the block, take the stairs up and down a few flights, or do some stretching exercises like head rolls and shoulder shrugs.
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Beware simple answers to complex problems, or easy methods for accomplishing difficult goals. If you combine this maxim with the advice to be skeptical of any claims that are being made in order to sell you something – then ironically you have a simple method (perhaps I should call it an “elegant” method) for protecting yourself from most scams and cons. Actually the application of this combination of maxims can be complex, but what it does do is trigger doubt and skeptical analysis. (And to be clear I am not saying that all simple solutions must be wrong – you should just beware them, meaning your skeptical senses should be tingling.)
It sounds like your brain might have initial trouble adapting to the binaural beats. The same thing happened to me when I listen to the Beta frequency (I got a headache), but then I discovered that I had the volume turned up too loud. I would say experiment with these frequencies, but at a low volume. See how you go. And if you continue to have anxiety, by all means, stop listening. Also, not all binaural beats are created equally. Some are amateurish, but the ones from Binaural Beats Meditation (mentioned and linked to in this article), are professionally created and the ones that I personally listen to. I love them (especially the Theta/Delta ones)! I hope this helps. :)
This research investigates the brainwave entrainment process and aims to demonstrate the usefulness of such an approach within the framework of cognitive performance improvements. In the introductory part the theories regarding the neurophysiological structure and the psychological processing of the cognitive system are discussed, for each of their components that are considered to be relevant for this research. The hypothesis states that the stimulation with binaural beats and stroboscopic light, synchronized at 10.2 Hz frequency, will produce a positive change in cognition. The research variables are the cognitive performance (the dependent variable) and the brainwave entrainment (the independent variable). The brainwave entrainment program consists in the synchronized application of Alpha binaural beats and stroboscopic light, at a 10.2 Hz frequency, in a 30 minutes long session. The difference was made by the stroop effect based exercise that was used as a frame. There were 60 participants, divided into two independent samples. The two independent samples t test for the means differences was used in the statistical analysis. The obtained results by evaluations and by statistics confirmed this research's hypothesis, stating that the stimulation with binaural beats and stroboscopic light, synchronized at 10.2 Hz frequency, will produce a positive change in cognition.
By simultaneously combining the sounds of two didgeridoos, a desired state of consciousness can be induced in the listener. For example, when one didgeridoo is played in the key of Bb (fundamental frequency of 58 Hz) and a second didgeridoo is played in the key of C (65 Hz), the difference between the frequencies is manifested as a subtle pulsing (in this case 7 Hz). The listener’s dominant brainwave state will sync with this pulsation in a frequency-following response known as brainwave entrainment.

Binaural beats are an auditory illusion where two oscillators, slightly detuned from each other, are played simultaneously with one perceived by each ear. The human brain mixes the audio from each ear, and the listener perceives a "beating" effect that isn't actually there. This is a well-studied phenomenon that has gained the interest of audiologists and neurologists, but it's most famous for being picked up by the alternative medicine community as a way to get high.

To get a full answer you should really get in touch with the owner of the app, because it does really depend on how their track is constructed and how they intend it to work. I have one 50-minute sleep track which takes you down into delta (http://www.mindamend.com/shop/sleeping-and-dreaming/sleep-induction-isochronic-tones/) and that is designed to just get you to sleep, so you just let play until the end. If you played that track on repeat it might make you jump and wake you up, as the track begins at a higher frequency. I have another 8-hour sleep track which is meant to be played all throughout the night (http://www.mindamend.com/shop/sleeping-and-dreaming/deep-sleep-8-hour-sleep-cycle/). So it does depend on the individual track you are using.
Changes in neural oscillations, demonstrable through electroencephalogram (EEG) measurements, are precipitated by listening to music,[20][21][22][23][24][25] which can modulate autonomic arousal ergotropically and trophotropically, increasing and decreasing arousal respectively.[26] Musical auditory stimulation has also been demonstrated to improve immune function, facilitate relaxation, improve mood, and contribute to the alleviation of stress.[27][28][29][30][31][32][27][33] These findings have contributed to the development of neurologic music therapy, which uses music and song as an active and receptive intervention, to contribute to the treatment and management of disorders characterized by impairment to parts of the brain and central nervous system, including stroke, traumatic brain injury, Parkinson's disease, Huntington's disease, cerebral palsy, Alzheimer's disease, and autism.[34][35][36]
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