Automatic arrhythmia detection using 12-lead electrocardiogram (ECG) signal plays a critical role in early prevention and diagnosis of cardiovascular diseases. In the previous studies on automatic arrhythmia detection, most methods concatenated 12 leads of ECG into a matrix, and then input the matrix to a variety of feature extractors or deep neural networks for extracting useful information. Under such frameworks, these methods had the ability to extract comprehensive features (known as integrity) of 12-lead ECG since the information of each lead interacts with each other during training. However, the diverse lead-specific features (known as diversity) among 12 leads were neglected, causing inadequate information learning for 12-lead ECG. To maximize the information learning of multi-lead ECG, the information fusion of comprehensive features with integrity and lead-specific features with diversity should be taken into account. In this paper, we propose a novel Multi-Lead-Branch Fusion Network (MLBF-Net) architecture for arrhythmia classification by integrating multi-loss optimization to jointly learning diversity and integrity of multi-lead ECG. MLBF-Net is composed of three components: 1) multiple lead-specific branches for learning the diversity of multi-lead ECG; 2) cross-lead features fusion by concatenating the output feature maps of all branches for learning the integrity of multi-lead ECG; 3) multi-loss co-optimization for all the individual branches and the concatenated network. We demonstrate our MLBF-Net on China Physiological Signal Challenge 2018 which is an open 12-lead ECG dataset. The experimental results show that MLBF-Net obtains an average $F_1$ score of 0.855, reaching the highest arrhythmia classification performance. The proposed method provides a promising solution for multi-lead ECG analysis from an information fusion perspective.