I'm doing GOTM21 now, and saw a vivid example of AI city changing its demand while my caravan was plodding its way there. Also, once I had all 3 trade routes, I noticed one of MY demanded items was (xxxx), but no AI caravan came near my city so there must be some sort of reciprocal routing. The other thing I got was one of my supply items (Hides, actually) became available again after I delivered the caravan and got a route. I've been exploiting this to deliver more caravans than the first three (I'm doing OCC) for extra gold/beakers, without disturbing the three original trade routes (I think). I was playing some other test games in cheat mode to see what the AI was doing (looking for AI caravans, etc); now I have another set of data to collect on my-demanded items and recurring supplies. Sigh.
Any other "odd" events anyone notices about caravans, supply, and demand, let me know as I am slowly exploring this issue, trying to gather some data to see if this can be predicted.