I am reading a book on time series. To make a non-stationary series stationary, sometimes we need to difference the series. When it comes to finance, prices are non-stationary. Many authors fit ARMA models to return time series but returns are either log-return or % return which is different to simple differencing. I had a look at the ACF of % return and a simple diff and they are different.
My question is, is it valid to use percent or log return rather then diff to make a price series stationary?