A hearing aid includes at least one electrode located at a surface of a housing of the hearing aid to allow the electrodes to contact the skin of a user during use of the hearing aid, at least one electrode being adapted to pick up a low voltage signal from the user's brain, an amplifier unit operationally connected to the electrode(s) and adapted for amplifying the low voltage signal(s) to provide amplified brain signal(s), and a signal processing unit adapted to process the amplified brain signal(s) to provide a processed brain signal as well as to apply a time and frequency dependent gain to an input audio signal and to provide a processed audio output signal. Also a method of operating a hearing aid and a hearing aid system.