Several researchers at the University of Tokyo have created remote control roaches. They remove the wings and antennae and put a small electronic backpack on them that stimulates the nerves where the antennae used to be. When properly adjusted this allows someone to control the direction that the roach will move in. The suggested applications involve attaching small cameras to them and putting them places humans couldn't go (say a building that has collapsed)

Why does this work?

I remember reading some place else that this is related to the fact that when the wind blows it moves the antennae which sends a signal that basically bypasses the brain (I'm going out on a limb here) and causes the roach to move in the direction opposite of the source of the wind. Basically, if something runs at a roach it senses the wind and runs away.

I'm not sure the second bit of the writeup is actually the truth. I read that sometime ago so I may be remembering incorrectly

While I cannot validate the second part of the write-up, I can say that it is possible. What is being described is a reflex phenomenon, a basic stimulus-response mechanism.

For example, when the doctor taps your tendon below your patella during a physical, it sends a signal to the lumbar section of your spinal cord, which gives an automatic feedback to kick your leg up. Never is any signal involved in this route directly sent to the brain.

Roaches have extensive nerve systems, as I remember from the roach dissection in Bio 1A, in addition to having really small brains. It would not be a stretch to assume that this is the mechanism that evolved in cockroaches to escape predators and danger over millions of years.

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