Shuck and drain oysters, reserving the liquor.
Pat the oysters dry with a paper towel.
In a shallow bowl, mix the eggs with a fork.
Put the cornmeal in another shallow bowl and season with salt and pepper.
Dredge each oyster in the egg mixture, and shake off the excess cornmeal.
Heat the oil in a steel wok, or an 8-inch iron skillet to 375 degrees. Use a thermometer so you know when the oil is hot enough.
With a slotted spoon, place the breaded oysters in the hot oil. Fry in batches, and give them some space to brown evenly.
Fry the oysters for about two minutes, turning once. Very small oysters will cook faster, maybe as little as a minute. When golden brown, remove each one with the slotted spoon and drain on a paper towel.
Place 4-6 fried oysters between the halves of each roll, and tuck in some arugula.
Combine the horseradish and the mayonnaise, and drizzle over the sandwiches.