Audio illusions, also known as Audio Paradoxes are sometimes to be found in nature. The best known audio paradox is known as Shepards paradox. It is the audio equivalent of the endless staircase illusion made famous by M. C. Escher. In this audio paradox a series of tones can be made to sound as if they are ascending or descending in pitch forever.
Link: Audio “Optical” Illusions
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