  We investigate how the local fluctuations of the signed traded volumes affect
the dependence of demands between stocks. We analyze the empirical dependence
of demands using copulas and show that they are well described by a bivariate
$\mathcal{K}$ copula density function. We find that large local fluctuations
strongly increase the positive dependence but lower slightly the negative one
in the copula density. This interesting feature is due to cross-correlations of
volume imbalances between stocks. Also, we explore the asymmetries of tail
dependencies of the copula density, which are moderate for the negative
dependencies but strong for the positive ones. For the latter, we reveal that
large local fluctuations of the signed traded volumes trigger stronger
dependencies of demands than of supplies, probably indicating a bull market
with persistent raising of prices.
