Azealia Banks, O2 Shepherd's Bush Empire, London

Azealia Banks in concert at O2 Shepherds Bush Empire, London, Britain - 12 Oct 2012 (Rex Features)

That's no way, as Leonard Cohen once pointed out, to say goodbye. After a measly 45-minute-set the skimpily-clad Harlem rapper has like, Keyser Soze, vanished, without an encore, or a bye your leave. It does, to be fair, fit the whole explosive, truncated experience, which contains zero padding, no filler.

In fact, most of Banks's salacious tracks - "Liquorice", "1991" and "Bambi" - appear to just tail off. They don't appear to come to any natural conclusion. They just stop. Is this the future? Incomplete songs...

The 21-year-old, who is still to release her debut album, Broke with Expensive Tastes (due out next February), has had a giddy year: she topped NME's cool list, featured on the cover of Dazed and Confused smoking a blown-up condom and was directed by Rankin for her unhinged "Liquorice" video.

Samantha Cameron is also allegedly a fan of the bisexual hip-hopper, which is alarming given Banks's ear-curling, filthy lyrical content ("Now she wanna lick my plum in the evening" on her breakthrough "212"), but the Prime Minister's wife, her hubby and the Tory high command are absent tonight, in their place are gaggles of mini Sam Cams enjoying the rap diva's first headline tour.

Banks is clearly a compelling character and her lyrics are exquisitely tangy, but her personality doesn't shine through here, she's reduced to platitudes such as "this is an oldie" and "this is my favourite". Plus, her vocals are not especially robust, as they're often swamped by DJ Cosmo's chunky, Heavy D-like, ragga-infused beats. It doesn't bother the joyous crowd, though, who bark out lyrics such as "Real bitch all day, uptown, Broadway" on standout number "Jumanji" and they never cease jumping.

Banks ceaselessly jumps up and down too in her formidable outfit: sparkly silver bra, adorned by flashing blue lights, black boots and denim hotpants. And in this brief set - Bruce Springsteen encores last longer - she even manages an outfit change.

Ultimately, what comes across most is an artist not fully formed, like a callow Madonna singing "Holiday" on The Tube in 1984. In fact, there's quite a bit of the Material Girl about Banks - the balletic dancers, the grubby content and "Vogue"-style beats - and there's a similar buzz too, even if the hype seems slightly disproportionate to the New Yorker's actual sound and performance.

However, her final number, the extremely rude "212", the song that made her name, is sensational. It’s worthy of the cool tag alone. But then, like Soze, poof, she's gone...