I used to work at a sand and gravel company and we sold materials and did sitework all the time for horse arenas. This is quite an expensive hobby.
Start with excavation of about 18", place 6" of 3/4 minus crushed rock and compact, then place 12" of fine sand like mason sand on top. I suppose concrete sand would do. Concrete sand here has 3/8" pebbles in it.
Here, because of the rains, the riding arenas us sand to cushion the horses hooves, allow liquids to drain, easily re-grading, minimal dust. Check out this website for a unique grading tool,
www.tr3rake.com
I am always amazed at the money people spend to keep a horse. Many here have private riding arenas, elaborate barns, wash down areas, etc.
Good Luck