“What better place to flood than New York?” says Douglas Gordon, whose epic water-and-music collaboration with pianist Hélène Grimaud is showing at the Park Avenue Armory.

Gordon’s flood covers 28,000 square feet of the drill hall. Sometimes he prefers to call it an inundation. Or a loch. Call it a lake and the Scottish artist will glare at you. On 10 evenings until 21 December, Grimaud plays the piano in the middle of it.

Turning the hall into a black reflecting pool is an impressive feat of engineering. As a performance, it’s thrilling at the outset and full of vertigo-inducing, reflective wonder, though by the fourth or fifth piece of Grimaud’s hour-long, water-themed recital of pieces by Debussy, Ravel, Liszt and others, some members of the audience were beginning to feel waterlogged and as marooned as the piano-player at the centre of the hall.

Gordon’s activities are mostly about the optimistic lunacy of their conception. Two years ago, he set a grand piano on fire on the border between Scotland and England. Burnt pianos, along with a video focused on Rufus Wainwright’s eye, are at a companion exhibition from Thursday evening at New York’s Gagosian gallery.

For several days leading up to the launch of the artwork, titled Tears Become … Streams Become …, Gordon could be found splashing around in the hall in what appeared to be a nightshirt. The engineers flooded and drained the floor, perfecting the sensation of water bubbling silently up through the cracks in nearly 1,000 sheets of jet-black Viroc.

Gordon, 48, announces his obsession with the pianist’s hands; with the late, self-sculpting performance artist Leigh Bowery and Scottish dancer Michael Clark; the eccentric Scottish balladeer Ivor Cutler and singer Robert Wyatt; and the band Fat White Family, who are playing this weekend in Williamsburg.

“I think Michael would understand a heterosexual Scotsman,” he says. “He’s an icon for me. If I could shag any guy it would be him.” The artist splashes out to the centre of the hall and, presently, marches back, throwing up showers of water like a small boy jumping in a huge puddle.

He returns to the subject of the flood. Creating a great barrel-vaulted reflecting chamber – a cathedral – out of the Armory is, he says, “the least a Scottish, Protestant Jehovah’s Witness could do”.

• Tears Become … Streams Become … runs until 4 January at the Park Avenue Armory, New York.