He actually does!
via Eurogamer As teased earlier this week, Arkane founder Raphael Colantonio has today unveiled the first details of his next game at WolfEye Studios. While the game's name is still under wraps, this new project is a first-person action RPG that's set in an alternate America in the 1900s...
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Regarding the OP, this is just another case of veteran developers leaving and starting up their own studios. There's a shitload of them. The guy behind Deux Ex Humankind Revolution and Mankind Divided is working on Hell is Us, there's the creative director of Witcher 3 and Cyberpunk 2077 with a bunch of ex CDPR people working on a new dark fantasy RPG called Dawnwalker at Revel Wolves (will probably be announced at TGS this year, just my own speculation), the main guy behind Just Cause and even the creator of Assassin's Creed and it goes on and on.
Unfortunately with most of them they still haven't released anything, some even got shutdown without releasing anything. Others just released not so well-received games (like the guys behind Dead Space releasing Callisto Protocol) but it's absolutely a trend. I'm very interested in this development and I hope they succeed, western gaming needs more of these studios and less of these big ones that have been doing nothing but disappoint over the last years, most recently Ubisoft and Bethesda.