You can improve your cognitive skills precisely because they are a skill—an ability you acquire or sustain by making the effort. Cognitive skills include being able to learn, understand, remember, and use information, and that's essentially what being smart is all about. Here are hobbies you can have to be smarter, and because they're hobbies, they'll make becoming smarter a lot more fun:
Reading, whether it's the news, fan fiction, or the classics, lets you exercise your imagination and sympathy, and lets you pass judgment. You start to question who the good guy is, if there's even a good guy; you ask yourself what the best thing to do is in a given situation and what compromises you might make. Or you'll realize that it's not always so easy to tell the bad guy from the good, because people are so complex, and made more complex by their circumstances, desires, and motivations. If this latter one is the case, you'll soon realize what it is you value most in the world.
2. Learning and playing a musical instrument.
Studies have shown time and again that learning a musical instrument makes children smarter. A recent study from Boston Children's Hospital, as well as a study published in the journal PLOS ONE, showed that it can make adults smarter too by improving their memory, reasoning, problem solving, and execution.
All that is due to developing the ability to integrate information you hear (the melody), see (the notes on the sheet music), and touch (the instrument); and even developing your ability to improvise—you still use your memory, but you don't rely on it so much anymore; you're able to make new connections from the notes, chords, and rhythms, and create something on the spot from there.
3. Learning a new language.
This improves your memory since you'd be exerting your brain to recall words and remember their meaning, and to remember and apply the grammatical rules. It also betters your decision-making skills as you think about the right word to use in a given situation. (Words have nuances and implications, and they might imply different things in different languages.)
4. Playing video games.
Researchers at Brown University found that playing video games trains you learn tasks more accurately and helps you solve problems quickly and effectively. It even lets you improve your performance, hence helping you achieve more things. This is especially the case for visual tasks and skills.
5. Exercising regularly.
Scientists in Dana-Farber Cancer Institute and Harvard Medical School found that endurance exercise (like walking, jogging, and swimming) produces the molecule irisin, which activates genes involved in cognition, and increases the expression of brain-derived neurotrophic factor (BDNF), a protein that stimulates the growth of new brain cells. Irisin and BDNF make the neurons stronger, and possibly improve thinking.
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