Finley is the son of jazz musician, Cab Kaye, and the brother of noted guitarist, Caleb Quaye.
Finley went to school in London, Manchester and Edinburgh. He left school with no qualifications. Before making records he took employment painting cars, smoking fish, making futons and as a stage-rigger. His father was born in London and his mother, Sharon, was born in Edinburgh. Finley was inspired early on in his childhood by jazz-musicians, Pete King and Ronnie Scott and Lionel Hampton. Additionally, Duke Ellington was Finley's godfather. Finley heard jazz as a child living in London with his mother who would take young Finley with her regularly to Ronnie Scott's jazz club catching very rare performances of American jazz musicians touring Europe such as Buddy Rich who recorded his live album there in 1980. His mother introduced him to Lionel Hampton in Edinburgh. Duke Ellington made an indelible impact on Finley's life and his musical outlook.
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