I'm not 100% sure about this one, but it seems that Mad World's Jack may actually be the main character of Anarchy Reigns. Jack was announced as one of the game's playable characters, but information leaking out of Famitsu points to him as being the main character during the game's story mode.
You apparently take control of Jack and take on missions. While you're free to take on missions as you please, certain missions will advance the story.
I'll be getting Famitsu in a bit, so I can check if you'll be able to control other characters as well, which would make some sense.