From the article:

The researchers say the improvements are due to a brain protein called brain-derived neurotrophic growth factor, which is released during aerobic exercise. A kind of Miracle-Gro for the brain, BDNF stimulates the hippocampus – the brain’s center of learning and long-term memory – to sprout new neurons, and it increases connections between neurons.

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McEwen said that in the second study, the amount of BDNF increased 35 percent in the group that had participated in both cognitive training and exercise – and half of that increase occurred within the first two weeks of the study. In contrast, BDNF levels did not change among those who only received cognitive training.