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You can stream Red Garden (2006) on Crunchyroll with a subscription.

Four students of the same age have nothing in common except that they attend the same elite New York City school. Kate, Rose, Claire and Rachel all belong to different cliques and hardly notice each other's existence. Then one day they gain something in common, something very important, something mysterious. They find themselves drawn together by the death of a fellow student and the secret of their own missing memories. Suddenly they are thrown into a world of hidden warfare on the city streets and are caught up in secrets which would not be believed by others. These four all have their own problems to struggle with, things that seem more important than such strange conflicts. Can they escape from this fate? The only thing they know is that despite coming from four different worlds they now have to rely on each other or die without a hope.

Red Garden is a show that explores themes of new york city, psychological, horror. It also touches on thriller.